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FIIs’ short positions remain higher in beginning of July series

• Nifty rolls were nearly 74.81% against 3M average of 77.27% while marketwide rolls were at 91.16% vs. the 3M average of 91.62%

• Among index stocks, Adani Ports (98.73%), HDFC Life Insurance (98.07%), HDFC (97.75%), Infosys (97.71%) and Grasim (97.67%) are witnessing high rolls into the next series while Mahindra & Mahindra (76.14%), Power Grid (82.62%), ONGC (83.99%), BPCL (85.65%) and NTPC (87.09%) are seeing relatively low roll into the June series

• Despite the Nifty starting June on a positive note by making high of 16790. Due to lack of follow-on buying and continuous FII outflow, it failed to hold on its positive momentum thereby made fresh 52 week low of 15183. Though over the past few days the Nifty witnessed some rebound, the undertone of broader market remains fragile

Select heavyweight rollover remains in line with average…

• The Nifty rollover was around 74%, below its three month’s average. In the recent weakness, liquidation of positions was observed and Nifty futures open interest marginally declined from 1.16 crore shares to 1.12 lacs shares. Sectorally, major sectors witnessed short rollover. Continued FII selling and weak global cues have kept stocks under pressure

• India VIX has remained near 22% due to sell-off in global equites and commodities. We believe India VIX will remain above 20% as the earnings season begins. However, post FOMC meeting we believe it will subside

• In the last series, we saw the Nifty breach its two major Put base of 16000 and 15500 in the June series and registered a low of 15200. However, in 15500 Put we did not see closure, which helped the Nifty to recover in the expiry week and ended the series above 15700. We believe in July, the Nifty may consolidate in a broader range. Call OI base is still visible at 16000 and also June VWAP level is placed at 15900, which may remain immediate hurdle. On downsides, 15500- 15200 levels will be crucial support

• Sectorally, shorts rolled to the next series in select NBFC, technology and metal stock whereas short covering witnessed in pharmaceuticals, media and select FMCG stocks. However, outperformance can be seen from auto and auto ancillary in the July series

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