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Headline index consolidates in narrow band 

Indian markets showcasing resilience amid the global equity volatility seen past two weeks as Indian VIX continue to trade below 16 mark (historical averages) during the June series. Highlights for the June series were a) Swings between the band on Nifty continues however follow up on either side missing b) FII’s trimming long positions on index futures in second half of the series at higher levels c) India VIX cracked ~25% to trade near 15‐mark d) Bank Nifty underperformed as IT stocks continued to power Nifty ahead. 

Rollovers for Nifty/Bank‐Nifty stood at 84% (97lacs shrs)/84% (19lakh shrs) vs 77% (1.04lacs shrs)/80% (17.7lakh shrs) previous month, positioning remained light as participants wait for directional move. Nifty roll cost remained around ~28bps and Market wide rolls stood at 89.5%vs 91% previous month with signs of consolidation seen on midcaps also.

FII’s derivative stats indicates long short index futures ratio at 4.59x for july series vs 3 months avg. of 4.4x levels. while Index futures short carry forward at 77% vs 3 months avg. of 47%. On options front, Max. call/put OI on Nifty for July monthly series stands at 16,000 calls (OI 1.5mn) and 15,500 put (OI ~2.9mn) shares. Outlook for next series remains positive with Nifty likely to make dash above 16k its impending resistance mark while downside 15400 now to be formidable support zone.

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