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Nifty Rollover Comparison

During the October expiry, bulls dominated Dalal Street and finished with healthy gains. Positive global & domestic cues, sliding crude oil prices, and favorable Q2 corporate earnings, boosted the investor's sentiment. Finally, Nifty settled the expiry above 17500 levels on a positive note at 17737 (EoE) with a gain of 919 points (EoE), indicating positive bias for the short term. Meanwhile, High inflation risk, economic 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 76%, which is lower as compared to the last three series average rollover of 79%. Nifty will start the November series with an open interest of 1.19 Cr shares compared to OI of 1.22 Cr shares at the beginning of the October series. Market-wide rollovers stood at 93% as compared to the average rollovers of 92% in the last three series. Going forward, monthly auto sales data, Rupee movement against the Dollar, RBI policy, bond yields, the US Fed Policy, Fiis flow, economic data, tensions between Russia and Ukraine, Q2FY23 earnings and crude oil price movement will dictate the trend on the bourses next month.

Banknifty Rollover Comparison (MoM)

DERIVATIVES INDICATORS

During the month, India VIX cooled off by 22.07% (EoE) and closed at 16.60% vs. 21.30% of the previous month. However, we expecting market to remain volatile due to increasing fears of economic slowdown, geopolitical issues and Fed policy. Another leading derivatives indicator, Nifty PCR, opened on a higher note this month at 1.10 against last month’s 1.02.

BANKNIFTY

The index saw lower rolls of 77% as compared with the 3M average of 83%. BankNifty will start the November series with higher OI of 1.89 Mn shares as compared with OI of 2.35 Mn shares at the beginning of the October series. As per options data, support for the index stands around 38000 and 36000 whereas resistance stands at 42000 and 45000 for the short term.

OPTION ANALYSIS

From the OI Concentration (24-Nov), Maximum open Interest on the call options front exists at strike prices of 18000 and 18500 (with nearly 16.85 lacs and 18.94 lacs shares outstanding respectively). This indicates 18000 and 18500 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, 17500 and 17000 (with nearly, 19.06 lacs and 28.72 lacs shares outstanding respectively) indicating 17500 and 17000 levels will be stronger support zone.

SECTOR/STOCK ROLLOVER ACTIVITY:

From the sectoral action, rollovers accelerated for TEXTILE, REALTY, INFRASTRUCTURE, CEMENT, FINANCE, FMCG and TELECOM, sectors in November expiry. However, low rollovers were seen in METALS, CHEMICALS, POWER and BANKING 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 SBILIFE, ONGC, NESTLEIND, ITC, and BAJAJFINSV saw aggressive rollover in the November series while low rolls were seen in POWERGRID, DIVISLAB, HCLTECH, TECHM and AXISBANK compared with the 3M average rollover.

From the midcap space, CUB, IDEA, ACC, LICHSGFIN, and TVSMOTOR saw high rollovers whereas AARTIIND, ALKEM, PNB, PFC, and HAL saw lower rollover compared with the 3M average.

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