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How Have Stocks Done In a Month of High Carry?


Last week was the Futures and Options expiry and something strange happened. The Nifty October Future – 1 month away – was at a 1.1% premium to the Nifty, something that hasn’t happened too often. This is effectively a 13% “carry” for a month.

Let’s take a look at high carry situations in the past. When the Nifty next month premium (the difference between the next month future price and the Nifty spot) on expiry day has been very high, how has the Nifty performed in the next month? (HT to Vish for this post)



The big -34.7% move was in the 2008 time – the big Lehman move.

The stats show:

  • Average move: -4.7% (without the big Lehman move: -1.9%)
  • Upmoves: 4 (average +3.2%)
  • Downmoves: 8 (average -8.6%, without the outlier -4.9%)

With today’s and Friday’s downmoves we are already -2.8% from the close on Thursday. So yes, I know what you’re thinking – Why the heck didn’t I do this analysis on Thursday evening instead?

I had of course written one day earlier that a proprietary indicator I’d developed was showing a potential fall.

Interestingly, trades around on my other proprietary strategy – MACD + Bollinger Band Reject – were only showing short positions. A separate post on that.

Disclosure: Short a lot of stocks and indexes.


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