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Below is Note on F&I By Mr. Manojh Vayalar, VP- Equity Derivatives, Religare Broking Limited

Nifty futures has rolled around 76% vs 75% compared to the last month. The Open Interest for the new contract is lower by around 23lkh w.r.t to the last month contract.  Nifty futures in the last three day of expiry has seen good long rollovers at a weighted average price of around 16600.

Hedge ratio(Nifty  fut value vs Market wide value) which is a good indicator of the risk prevailing in a derivative series shows that in Aug series the ratio is at 8.11 vs 10.18 in July.

A significantly lower positioning in the Nifty Index followed by lower hedge ratio strongly implies that Vix has a possibility to fall towards 14% in this month from an average of 18.5%.So we believe 17500-16500 might be the range for Nifty for the next fortnight.

Sector-wise, highest rollover was seen in Technology and Pharma, However price wise it was Banking that lead the month. We like  HDFC Bank ,Rain and Power grid for this series.

Rain (CMP:167) :- The stock has seen long rollover in the last 3 days of expiry. The scrip has rolled around 85% with fresh long build up of around 28% in Open Interest vs July contract. We expect the scrip to trade in the 160-185 levels.

Power grid(CMP:214) :- The stock has rolled around 90% Month on Month. It has also seen short covering from 5.6 Cr to 3.6 Cr in Aug vs July Open Interest. we expect the scrip to be in 208 to 228 levels.

HDFCBANK(CMP:1416) :- The stock surged 5.5% in Jul series with a short covering of around 5.5%. We expect the scrip to trade in a range of 1350-1550 in the Aug Series.

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