Market Snapshot for September Series – Gained ~551 points in September series
September series traded positive after broking its narrow range and crucial level of 5,550 and hit a 32-month high. In current month series, Nifty has gained 551 point or 10% to 6029.5. FII were net buyers in 20 trading sessions out of 22 trading sessions. This is consecutive fourth series for the market to close in a positive zone.
We expect the upside to be capped at 6,100 and the downside to be limited to 6,000 and below that 5,900 for September expiry in worst case scenario.
Rollover– Positive Rollover cost of ~37bps in October series
Nifty has rolled 47.5% positions into next series, which higher as compared to D-2 of last expiry (42%). Nifty holds an OI of 810,247 contracts (` 245 bn), which is 7% (OI of ` 229 bn) more than D-2 of August expiry. Around 82,236 contracts got rolled whereas the total OI added by 13,481 contracts.
Market wide futures OI is currently ` 818 bn, which is 1.7% higher than the (OI of ` 805) D-2 of August expiry. Market wide rolls is 50% which is higher as compared to D-2 of last expiry (47%).
Sector-wise Rollovers (See: Exhibit 1&2)
Highest long Roll: Bullish Signal
SUGAR (64.6%), TELECOM (55.6%), POWER (55.3%),
Highest Short Roll: Bearish Signal
INFRASTRUCTURE (45.3%)
Lowest Rollover
PHARMA (42.9%), BANKING (44.5%) , MEDIA (44.7%)
Stocks Rollovers (Exhibit 4-6)
Highest long Roll: Bullish Signal
CROMGREAV(31.7%), BHUSANSTL (31.3%), POLARIS (30.7%)
Highest Short Roll: Bearish Signal
RENUKA (75.6%), SUZLON (64.2%), RELCAPITAL (60.2%)
Lowest Rollover
ADANIENT (11.9%), JISLJALEQS (17.3%), BEL (17.7%)
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