F&O Rollover Calculation

#1
Hey,

Could someone please tell me the formula or such to calculate rollover in futures and options. I'm talking about both, market wide and stock specific F&O rollovers. I've seen the figures on CNBC, stating 'Nifty rollover stand at 44% with a positive bias', and have tried looking everywhere on how they arrive at these figures.

So if someone could enlighten me, please.

Thanks,

Deadfoot
 
#3
There are hordes of softwares doing the same. CNBC or any brokerage firm uses them.
Essentially during expiry last week it calculated decrease in OI in a particular script or nifty and simultaneous increase in OI in next month.
Positive or negative bias is based on cost of carry if it is negative or positive.
They also give you average of last three months on each of pre expiry day thus comparing that days roll over with previous months gives some idea if market it carrying over or not..

Hope this helps
 

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