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Indian markets depicting epitome of resilience  

Steady rise for Indian markets as Nifty marching towards fresh highs nearing 15400 mark. Nifty shut shop for may series expiry at 15,340 mark with last hour sharp rise.  

Highlights for the May series were a) Rally stretching beyond Nifty stocks as Midcap/Small cap Index rose by 6.2/8.8% during the series b) Last week of expiry FII’s seen covering Index futures short positions c) India VIX traded below 20 mark for most part of the series d) Bank Nifty strong positioning carry forward as aggregate OI base jumping from 13.9lacs to 17.7lacs rolled in June series.     

Rollovers for Nifty/Bank‐Nifty stood at 77% (1.04lacs shrs)/80% (17.7lakh shrs) vs 66% (1.02lacs shrs)/65% (13.9lakh shrs) previous month, overall strong positioning on index carry forward to next series. Market wide rolls stood at 91%vs 85% previous month while strong traction is seen on midcap stocks.    

FII’s derivative stats, index futures long rolls spiked in absolute terms it stood at 97% vs 3month avg. of 86% while index futures short rolls stood at 23% vs 44% on 3month avg. Lowest short rolls seen from FII’s in last 6 month data. June series starts with index futures long to short ratio of 7.9x vs 3month avg. of ~2.8x at start of series. On options front, Max. call/put OI on Nifty for June monthly series stands at 15,500 calls (OI 1.4mn) and 15k put (OI ~1.8mn) shares. We expect Nifty to carry forward the momentum moving above fresh life time high levels.

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