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Nifty

Nifty futures has rolled around 76% vs 75% compared to the last month. The Open Interest for the new contract is lower by around 23lkh w.r.t to the last month contract. Nifty futures in the last three day of expiry has seen good long rollovers at a weighted average price of around 16600.

Hedge ratio (Nifty fut value vs Market wide value) which is a good indicator of the risk prevailing in a derivative series shows that in August series the ratio is at 8.11 vs 10.18 in July.

A significantly lower positioning in the Nifty Index future followed by lower hedge ratio strongly implies that Vix has a possibility to fall towards 14% in this month from an average of 18.5%. So we believe 17500-16500 might be the range for Nifty for the next fortnight.

FIIs have sold around Rs 9000 Cr in the cash market in July.

Banknifty

Banknifty futures rolled at around 82% vs 87% compared to the last month.

Banknifty futures have been outperforming Nifty in the last few days. For this series, ratio wise (Banknifty /Nifty) 2.24 is resistance and 2.17 the support. The ratio between Banknifty and Nifty currently at around 2.20. Below 2.14 the support for this ratio is around 2.10.

However the major support for Banknifty would be around 36000 levels. We expect Banknifty to be in 36300-38800 levels in the first fortnight of August series.

Strategy

Sell Nifty 25 August 17100 CE @305 and Sell 17100 PE @285,

Net Sell Premium at 590 and Buy 17700 CE @ 70 and 16300 PE @70 each,

Net Buy Premium at 140 Strategy Net Premium at 450, STOPLOSS at 650, Target 150.

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