Rollover Report for May-June 2019 by Ms. Sneha Seth (Derivatives Analyst, Angel Broking):
"The June series had no major triggers as we saw index consolidating for the first three weeks and then some respite in the final week led the expiry tad above 11800 mark. For the major part of the series, the benchmark index was hovering in the range of 11600-11850 without any relevant open interest change in F&O space. The 11600-11650 acted as a sheet anchor for the June series and during the expiry week rally fresh longs were formed in future segment. We believe this development in the final week of June series could be due to the positive sentiment by traders ahead of the Union Budget 2019 scheduled on July 05 i.e. coming Friday.
Now, let's dig into the rollover data and try to find out some cues for the forthcoming series. Rollover in Nifty stood at 80.35%, which is certainly above the 3-month average of 77.89%. This suggests that the longs formed in June series have been rolled over to the next series. As far as Foreign Institutional Investor (FIIs) activity is concerned, they formed short positions in index futures throughout the last series. As a result, their 'Long Short Ratio' which was at 60% during the start of June series plunged to 53%. But, they seemed reluctant in rolling these bearish bets in the coming series and hence, once again this ratio has shot up to 62%, indicating they are starting the July series with majority of long positions in the system. Now, such a shift in stronger hands position ahead of the Union Budget is likely due to the anticipation of positive development during the budget announcement. The volatility index is currently around 15%, such low IV's are again an indication of strength in the market. Considering above data points, we believe if Nifty holds 11600-11650 during the upcoming event, the probability of rally beyond the important psychological figure of 12000 may increase. Hence, traders are advised trading with a positive bias and should maintain a strict stop loss below the above mentioned support zone."