Market Rollover - July Series - 27/07/2010

Market Snapshot for July Series – Gained of ~98 points in July series Nifty July series had been volatile for first half of series but then it turn to trade in narrow range of 5,300 to 5,450 for last 2 weeks. Currently, Nifty has gained 98 point or 1.8% for July series as compared to June series. We expect Nifty July series to settle between 5,350 and 5,450 on back of concentration and activity in options side. This would be consecutive second series it will close on a positive note. Rollover– Positive Rollover cost of ~11bps in June series Nifty rollover was weak as compared to market wide rollover by ~342bps to 28.5% and average positive rollover of ~11bps. The rollover was higher by ~200bps as compared to average of last 6 months but total open interest stood at 361.9 lakh shares. Lower rollover and open interest indicates traders are skeptical of positive momentum to continue for the August series which would invite some correction in August series. Review of Nifty Strategy On June 26, 2010, we had recommended a Short Strangle strategy on Nifty, by selling July 5,400 Call and 4,600 Put options, giving a total premium inflow of Rs 95.1. Currently, the strategy is trading at net premium of ~Rs Rs 45, representing a profit of Rs 2,500 per lot. We recommend traders to hold the positions for next 3 trading sessions. Sector-wise Rollovers  Highest long Roll: Bullish Signal Hotels (41.5%), Banking (38.8%), Finance (37.3%) Highest Short Roll: Bearish Signal Media (37.0%), Transport (30.9%), Oil & Gas (30.2%) Lowest Rollover Power (24.4%), FMCG (20.6%), Fertilizers (14.4%) Stocks Rollovers Highest long Roll: Bullish Signal NTPC (62.7%), BHARTIARTL (55.4%), BHEL (54.8%) Highest Short Roll: Bearish Signal ABB (60.0%), POWERGRID (55.7%), M&M (55.2%) Lowest Rollover ASIANPAINT (10.0%), PATELENG (10.1%), HCLTECH (10.8%)