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DERIVATIVES MONTHLY ROLLOVER REPORT

August Expiry Derivatives Summary

For the August series NIFTY closed at around 17520 after Volume weighted average price (VWAP) based selling activity was witnessed in the last hour of the trade.

Nifty September Futures contract started with around 106 lkh vs 89 lkh in August. Banknifty futures have seen an Open Interest of around 20.23 lkh vs 18 lkh. At expiry, VIX was at around 19.5% levels implying around 770 odd points swing in the NIFTY in next 30 days. The highest Nifty Sep monthly options Open Interest now is at 16000 PE and 18000 CE. Nifty 18000 Put Open Interest stands at around 67000 contracts and 18000 Call Open Interest at around 37000 contracts.

In August series, Infrastructure @ 97% is the sector where highest rollover was witnessed, whereas Telecom @ 88% is the sector where lowest rollover was witnessed.

We expect Oil & Gas and FMCG Sector to outperform the Index this Series.

ICICIBANK @ 850 and NTPC @ 150 are our top preferred picks.

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