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Focus shifting to sector churning as Nifty consolidates at top

Nifty/BankNifty up ~6/2.5% for the series while mid/small cap index lost ground on profit booking.

Highlights for the August series were

a) Nifty aggregate OI base carry forward up ~35% vs Bank Nifty down (~25%) compared to last month

b) FII’s created massive longs on stock futures ~1.8lacs contracts added in past 2weeks

c) IT index rank outperformer with ~11% gains eoe basis, while from financials HDFC/BAJAJ twins saw stellar price performance. Rollovers for Nifty/Bank‐Nifty stood at 84% (1.3cr shrs)/79% (15lakh shrs) vs 83% (95lacs shrs)/81% (20lakh shrs) previous month, Roll cost remained under pressure with Nifty rolls at ~25 points on expiry week + dividend impact of ~23points, Market wide rolls stood at 89%vs 92% pre. month as skewed performance seen on select sectors.  

FII’s derivative stats indicates long short index futures ratio at 1.8x for Sept. series vs 3 months avg. of 4.9x levels, while Index futures long roll stood at 75% vs 3 months avg. of 108%. On options front, Max. call/put OI on Nifty for Sept monthly series stands at 16500 calls (OI 1.8mn) and 16k put (OI ~2.6mn) shares. Outlook, bouts of profit booking likely, we expect volatility likely come back as global back drop of Federal Reserve’s annual symposium (taper news flows), rising dollar index and geo‐political tension likely to fuel volatility in near term.

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