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Nifty

Nifty futures has rolled at around 72% vs 65% which is slightly higher with respect to the previous series. The Open Interest for the new contract is higher by around 20 lakhs w.r.t the last month contract implying more Short Positions. The majority of the rolls which happened to the June series was on the Short side. For June futures with an average price of around 22850 which becomes a pivot for the month. Till the time Nifty trades below 22,950-23,000 on spot, the index is in a SELL ON RISE mode for the first weekly expiry. We expect the Nifty to find strong support at 21,800-22,000 levels for June series. On spot basis 21,800-23,500 might be the range for Nifty for first fortnight of June series. FIIs Long ratio is now at 13% vs 40% previously in Index futures implying more hedged positions into the June series. The IVs for options have rose substantially now at 24% vs 12% implying more swing in June series.

Banknifty

Banknifty futures rolled at 68% vs 74%, lower than the previous month. Banknifty futures have seen addition of open interest of around 5.6 lakh w.r.t. the last month. This might be because of the higher positions in Banknifty during the May expiry. Like we mentioned previously, Banknifty had traded in tandem with the benchmark for the upcoming series. Going forward, we believe this would continue. For this series, ratio wise (Banknifty/Nifty) has a resistance at 2.2 and support at 2.1. The ratio between Banknifty and Nifty currently at around 2.16. The major support for Banknifty would be around 47,000 levels. We expect Banknifty to be in 47,000-40,500 levels for the first fortnight of June series.

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