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Nifty

Nifty futures has rolled at around 70% vs 72% which is slightly lesser with respect to the previous series. The Open Interest for the new contract is lower by around 14 lakhs w.r.t the last month contract implying less Long Positions.

The majority of the rolls which happened to the August series was on the Short side. For August futures with an average price of around 24500 which becomes a pivot for the month. Till the time Nifty trades above 24,200-24,250 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 24,800-24,900 levels for August series. On spot basis 24,100-24,800 might be the range for Nifty for first fortnight of August series.

FIIs Long ratio is now at 57% vs 82% previously in Index futures implying more hedged positions into the August series. The IVs for options have remained at around same levels now at 14% vs 14% implying more or less same swing in August series.

Bank Nifty

Banknifty futures have seen the rollovers of 62% however its expiry is still a week away.

Banknifty futures have seen addition of open interest of around 5 lakh w.r.t. the last month. This might be because of the higher Short positions in Banknifty during the July expiry. Banknifty had underperformed against the benchmark in the July series. Going forward, we believe this might not continue.

For this series, ratio wise (Banknifty/Nifty) has a resistance at 2.16 and support at 2.08. The ratio between Banknifty and Nifty currently at around 2.09.

The major support for Banknifty would be around 50,300 levels. We expect Banknifty to be in 50,300-52,000 levels for the first fortnight of August series.

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