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OCTOBER SERIES VIEW

The domestic benchmark index witnessed sell-off with high volatility during September expiry month. Weak global cues, fears of a recession as a result of aggressive Fed policy tightening, rising dollar index, continuous selling of domestic shares by FIIs, higher bond yields and a fresh escalation of tensions between Russia and Ukraine, dented the sentiment. Finally, Nifty settled the expiry below 17000 levels on a negative note at 16818 (EoE) with a loss of 704 points (EoE), indicating neutral to negative bias for the short term. Moreover, High inflation risk, economy slowdown, and higher Dollar index will remain a concern for the markets. Thus, investors should remain cautious on the higher side. On the expiry day, the Nifty futures rollover stood at 78%, which is inline as compared with the last three series average rollover of 78%. Nifty will start the October series with an open interest of 1.22 Cr shares compared with an OI of 1.14 Cr shares at the beginning of the September series. Market-wide rollovers stood at 92% as compared with the average rollovers of 92% in the last three series. Going into October month, monthly auto sales data, Rupee movement against the Dollar, the RBI policy, Fiis flow, economic data, progress of monsoon, Q2FY23 earnings and crude oil price movement will dictate the trend on the bourses next month.

DERIVATIVES INDICATORS

During the month, India VIX shoot up by 8.85% (EoE) and closed at 21.30% vs. 19.57% of the previous month, expecting market to remain volatile due to increasing fears of economic slowdown, geopolitical issues and RBI policy. Another leading derivatives indicator, Nifty PCR, opened on a flat note this month at 1.02 against last month’s 1.05.

BANKNIFTY

The index saw lower rolls of 82% as compared with the 3M average of 84%. BankNifty will start the October series with higher OI of 2.35 Mn shares as compared with OI of 2.20 Mn shares at the beginning of the September series. As per options data, support for the index stands around 36000 and 35000 whereas resistance stands at 39000 and 40000 for the short term.

OPTION ANALYSIS

From the OI Concentration (27-Oct), Maximum open Interest on the call options front exists at strike prices of 17000, 17500 and 18000 (with nearly 19.32 lacs, 15.52 lacs and 24.40 lacs shares outstanding respectively). This indicates 17000 and 18000 levels will act as the resistance zone on the upside for the short term. On the put options front, Maximum open Interest is at strike prices of, 17000, 16500 and 16000 (with nearly, 24.68 lacs, 22.48 lacs and 25.83 lacs shares outstanding respectively) indicating 16500 and 16000 levels will be stronger support zone.

SECTOR/STOCK ROLLOVER ACTIVITY:

* From the sectoral action, rollovers accelerated for TEXTILE, REALTY, POWER, TECHNOLOGY, OIL&GAS, FMCG and METALS, sectors in October expiry. However, low rollovers were seen in TELECOM, PHARMA, and AUTOMOBILE sectors stocks on expiry day as compared to three month’s average as highlighted in the chart.

* Within the Nifty50 space, index heavyweights such as M&M, LT, SBILIFE, NTPC, and HINDALCO saw aggressive rollover in the October series while low rolls were seen in BHARTIARTL, CIPLA, SHREECEM, HDFCLIFE and NESTLEIND compared with the 3M average rollover.

* From the midcap space, SUNTV, ACC, COROMANDEL, SRTRANSFIN, and RECLTD saw high rollovers whereas IDEA, ALKEM, SYNGENE, LICHSGFIN, and ESCORTS saw lower rollover compared with the 3M average.

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