Markets Today - 23/6/2010 - Disclaimer POst Applies

Market Snapshot for June Series – Gained of ~319 points in June series  

In June Series, Nifty has gained ~319 points or 6.3% to 5,323 points and FIIs were net were buyers in 16 trading sessions out of 17 of Rs 17,282 crore. We expect this series to settle below 5,300 but above 5,200. 

Rollover– Positive Rollover cost of ~11bps.

As compared to market wide rollover, Nifty rollover was lower by 1191bps to 54% indicates activity more towards stock specific than Nifty. As compared to last 6 month average, current month rollover is lower by ~400bps indicates less volatility in coming month. We have observed “Long roll” on account of positive rollover cost of ~11 bps. In today trading sessions, we have seen built-up of fresh positions of ~35 lakh.

Outlook for July Series

In July series, concentration of call is observed at 5,400 of ~42 lakh shares and put at 5,100 of ~41.5 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.    

Sector-wise Rollovers (See: Exhibit 1&2)

Highest long Roll: Bullish Signal 

Infrastructure (71.1%), FMCG (68.4%), Finance (67.9%)

Highest Short Roll: Bearish Signal 

Transport (78.3%), Technology (69.1%), Cement (66.8%)

Lowest Rollover

Banking (61.3%), Media (59.4%), Metals (53.5%)

Stocks Rollovers (Exhibit 4-6)

Highest long Roll: Bullish Signal

GTL (97.2%), GLAXO (84.5%), ULTRACEMCO (79.0%)

Highest Short Roll: Bearish Signal

INDIACEM (87.3%), AUROPHARMA (86.6%), UNIPHOS (86.0%)

Lowest Rollover

CHENNAPETRO (29.6%), JISLJALEQS (30.3%), ASIANPAINT (34.5%)

FIIs and DIIs activity in capital market segment

·         FIIs were net buyers of Rs 265.33 crore with Gross buyers of Rs 1842 crore and Gross Sellers of Rs 1,576 crore.

·         DIIs were net sellers of Rs 866 crore with Gross buyers of Rs 672 crore and Gross sellers of Rs 1,538 crore.

India VIX (Inverse relationship between Nifty and Indian VIX)

·         Volatility for 23^rd June, 2010 close at 20.34 which is 1.45% lower as compared to previous close, after touching an intraday high of 21.86 and low of 20.28.

Implications: Indian VIX is trading at its support and thus we expect it to move up and are “Bullish” on the same.