On the September expiry day, FIIs covered 34% of their shorts from their index futures portfolio, which at least partly explains the strength of the vertical rise we saw in the closing hour of last Thursday. Now, while this took up their long proportion to 79.9%, a near term extremity this was not a one off event borne out of expiry dynamics. The day after expiry also saw long addition, but more importantly, it also saw short reduction by nearly 6%.
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