Rollover Analysis – July 20
Smooth July, time for August’s whipsaw
Weak end on expiry day for headline indices on back of negative global cues, However Nifty posted back to back strong series with gains of 7.8% on (eoe) basis, while on sectoral front, only IT sector which gained 26% has managed to outperform the benchmark index post March month’s vertical fall, BankNifty underperformance remained area of concern as it gained modest 0.7% on (eoe) basis. Highlights for the July series are a) Massive underperformance from Banking stocks b) Leadership seen on Reliance and IT stocks c) VIX remained at lower band throughout the series near 25mark d) Cost of carry remained negative for Nifty ~10 points on expiry day and stock wide ~20 bps coc. Rollovers for Nifty/Bank‐Nifty stood at 78% (1.11cr shrs)/75% (13.5lakh shrs) vs 79% (1.14cr shrs)/81% (13lakh shrs) previous month, Market wide rolls remained lower than averages ~88% vs 3month avg. of ~90% on back of low cost of carry across the market.
FII’s derivative stats index futures long rolls stood at 81% vs 3month avg of 75% while index futures short rolls at 47% vs 60% on 3month avg. August series starts with index futures long to short ratio of 1.96x for FII’s. On options front, August series starts with the buildup on monthly series 11k put strike holding ~3.1mn shrs while on call 11,500 strike holding ~1.8mn shrs, We expect bouts of profit booking on rise towards 11,200‐ 11,300 mark with volatility spike likely in near term.
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