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Wobble at top for Nifty‐Sector rotation seen

Massive swings seen during the month as index rallied sharply after budget fueled in fresh optimism for growth, Nifty settled the Feb expiry day at 15,098 levels gaining ~9% while large gains were baked in from Banking stocks as Bank Nifty rallied ~20% expiry to expiry. Highlights for the February series are a) Rising US 10yr bond yields towards 1.4x levels creating narrative for cyclicals and rate sensitive to rally

b) Reliance taking back index leadership with gains of ~15% eoe basis

c) India VIX mirroring CBOE VIX back towards 22‐mark

d) Sector rotation seen as heavy positioning seen on energy & metals stocks as commodities rally globally

e) 16 new stocks will make entry in F&O space from March series.  

Rollovers for Nifty/Bank‐Nifty stood at 78% (1.04cr shrs)/77% (14lakh shrs) vs 77% (1.02cr shrs)/74% (17.8lakh shrs) previous month, Nifty rolls remained in line while Bank Nifty rolls lower in shares term indicates short squeeze. Nifty roll expanded on expiry day from ~45 points to ~65 points hinting refueled optimism above 15k mark. Market wide rolls in line with previous month ~92% vs 3month avg. of ~92%.

FII’s derivative stats, index futures long rolls gained in absolute terms it stood at 99% vs 3month avg. of 84% while index futures short rolls at 56% vs 54% on 3month avg. March series starts with index futures long to short ratio of 3.3x vs 3month avg. of ~2.66x at start of series. On options front, Max. call/put OI on Nifty for March monthly series stands at 16k calls (OI 1.9mn) and 14k put (OI ~3mn) shares. We expect consolidation in the current series with upper band of 15450 to 14650 trading range.

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