NSE stock futures: 59% of Sept volume came in 4 sessions; why average volumes can mislead

As many as 59.4% of September’s trading volume in the top 100 NSE single-stock futures contracts was concentrated in just four sessions around expiry, according to a study by market analytics platform Vtrender. The data highlights how monthly average volumes can give a distorted picture of liquidity, as the sharp concentration of trading activity around expiry can make average daily volumes appear higher than liquidity on a typical trading day.

The four sessions between September 24 and 29 accounted for 59.4% of the month’s volume, while the remaining 16 sessions contributed just 40.6%, the Vtrender data showed.

That makes the average daily volume look far healthier than what traders typically saw on most sessions.

The top 100 stock futures averaged 11.40 lakh contracts a day in September. But the median session recorded only 6.59 lakh contracts, just 58% of the average. For 62 of the 100 names, the median daily volume was less than 60% of their respective average.

“The effect on a headline average is the real point. Top 100 averaged 11.40 lakh contracts/day. The median session was 6.59 lakh, 58% of that. Heaviest session ran 7.8x the quietest,” Shai Coelho, founder of Vtrender, explained.

Why does stock futures volume spike around expiry?

The surge is largely mechanical rather than a reflection of investor sentiment. “It is the rollover, and it is arithmetic rather than sentiment. To roll a position you cover the front month and open the next one. One position becomes two trades. So the last few sessions of any series print roughly double on construction alone,” Coelho said.

In September, the four sessions from September 24 to 29 accounted for 59.4% of the month’s single-stock futures volume.

The effect varies sharply across individual stocks. Axis Bank averaged 22,739 contracts a day in September, ranking seventh among the top 100. But its median session volume was only 8,628 contracts, with a rollover multiple of 9.5 times.

NTPC ranked 33rd, with average daily volume of 10,469 contracts against a median of 4,116 and a rollover multiple of 8.6 times.

Importantly, the sharp gap was not driven by a stock-specific event in either case.

“Axis Bank: rank 7 on average volume at 22,739 contracts, median session 8,628, a 9.5x rollover ratio, and the stock itself moved only 3.6% across the month. NTPC: rank 33, average 10,469, median 4,116, 8.6x ratio, stock moved 1.2%. No news in either. That gap is pure rollover mechanics in large, continuously traded names,” Coelho said.

At the other end, BSE and MCX both had rollover multiples of 3 times and traded through the month at levels closer to their respective averages.

Sept activity was broadly stable

Despite the sharp concentration around expiry, overall activity in the top 100 stock futures was broadly stable in September. Average daily volume rose 1.3% to 11.40 lakh contracts from 11.25 lakh in August, while median activity increased 1.5%.

The composition of the top 100 also remained largely stable, with 89 names overlapping between August and September.

“Roughly 70 to 80% of the Top 100 carries over month to month: 77 of 100 from July to August, 89 of 100 from August to September,” Coelho said.

In September, Coal India recorded the biggest increase in ordinary-session activity, rising 72% from August. HCL Technologies followed with a 64% increase, while Tata Steel, IDFC First Bank, IndusInd Bank and HDFC Bank saw increases of 60%, 58%, 56% and 38%, respectively.

On the other hand, ordinary-session activity fell 68% for LIC, 51% for Trent, 45% for Grasim and 38% for MCX.