Market Snapshot for June Series – Gained of ~319 points in June series
Nifty June series settle with triple digit gain of ~317 points or 6.3% to Rs 5,321. The above gain was followed by positive Foreign Institutional Investors (FIIs) in derivative market of Rs 18,837 crore and Rs 4,535 crore in Index Futures.
Rollover– Positive Rollover cost of ~11bps in June series
Nifty rollover was weak as compared to market wide rollover by ~1000bps to 85.2% and positive rollover was observed with average cost of ~11bps. Current month expired contract was lower by ~16.9 lakh and rollover higher by ~500bps as compared to May series. Lower expired contract and higher rollover despite positive rollover cost indicates current momentum to continue for next few trading sessions.
Outlook for July Series – Range bound with less volatility
In July series, concentration of call is observed at 5,500 of ~50.8 lakh shares and put at 5,200 of ~52.3 lakh shares. By observing concentration, option premium, KRC derivative proprietary model and volatility, we expect next series Nifty may trade/settle between 5,550 and 4,850.
The strategy to be adopted by a trader should be to Sell 5,400 CE and 4,600 PE at combined premium of 95.10 with target of Rs 10, Stop-loss of Rs 194. Expected ROI would be 9.1% with investment of Rs 52,000.
Sector-wise Rollovers (See: Exhibit 1&2)
Highest long Roll: Bullish Signal
Infrastructure (89.8%), FMCG (88.9%), Finance (88.2%)
Highest Short Roll: Bearish Signal
Transport (88.7%), Cement (86.0%), Technology (85.2%)
Lowest Rollover
Banking (80.2%), Media (79.4%), Metals (76.8%)
Stocks Rollovers (Exhibit 4-6)
Highest long Roll: Bullish Signal
GTL (98.0%), GLAXO (95.3%), GMRINFRA (94.7%)
Highest Short Roll: Bearish Signal
INDIACEM (95.5%), CENTURYTEX (93.6%), ICSA (93.5%)
Lowest Rollover
BGRENERGY (52.9%), ABB (56.9%), ROLTA (57.0%)
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