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Heavy weights dragging on unabated FII’s selling

Indian markets traded under pressure as FII’s continues to dump heavy, Nifty/BankNifty finished series with losses of 1.8/5.4% each. Highlights for the Nov series were a) Expiry week saw selling ~2bn $ b) Divergence widened for net stock futures positions for clients and FII’s c) We highlighted heavy shorting on BankNifty previous expiry ended with cuts of ~5.5% eoe basis d) Index options PCR marked low of 0.6x mark as markets trying  to bounce from oversold ground.

Rollovers for Nifty/Bank‐Nifty stood at 83% (1.09cr shrs)/84% (23.7lakh shrs) vs 82% (1.1cr shrs)/80% (21lakh shrs) previous month, roll cost expanded mildly Nifty stood at ~45 points as avg for past 4 days, Market wide rolls stood at 94%vs 92.5% previous month.  

FII’s derivative stats indicates long short index futures ratio at 2.29x for December series vs 3 months avg. of 1.44x levels, while Index futures 3 months average long roll stood at 95% and index future 3 months short roll seen at 65%. On options front, Max. call/put OI on Nifty for Dec monthly series at 18k calls (OI 2.3mn) and 17k put (OI ~2mn) shares. Outlook, last series we mentioned downside opening till 17500 mark, going forward we expect 18000 now as supply zone while meaningful support at 17k mark. BankNifty correcting ~10% from previous month highs, expecting periodic bounce with 36,500 now seen as support.

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