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Nifty

Nifty futures has rolled at around 76% vs 72% which is slightly higher with respect to the previous series. The Open Interest for the new contract is higher by around 7 lakhs w.r.t the last month contract implying more Long Positions. The majority of the rolls which happened to the July series was on the Long side. For July futures with an average price of around 23750 which becomes a pivot for the month. Till the time Nifty trades above 23,700-750 on spot, the index is in a BUY ON DIPS mode for the first weekly expiry. We expect the Nifty to find strong resistance around 24,400-500 levels for July series. On spot basis 23,700-24,400 might be the range for Nifty for first fortnight of July series. FIIs Long ratio is now at 82% vs 13% previously in Index futures implying less hedged positions into the July series. The IVs for options have declined substantially now at 14% vs 24% implying less swing in July series.

Banknifty

Banknifty futures rolled at 71% vs 68%, higher than the previous month. Banknifty futures have seen addition of open interest of around 4 lakh w.r.t. the last month. This might be because of the higher positions in Banknifty during the June expiry. Banknifty had outperformed against the benchmark in the June series. Going forward, we believe this would continue. For this series, ratio wise (Banknifty/Nifty) has a resistance at 2.21 and support at 2.14. The ratio between Banknifty and Nifty currently at around 2.19. The major support for Banknifty would be around 51,500 levels. We expect Banknifty to be in 51,500-54,000 levels for the first fortnight of July series.

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