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Rollover Report for July-August 2019: Angel Broking

Posted On: 2019-07-27 13:00:24

Ms. Sneha Seth (Derivatives Analyst, Angel Broking):

"We began July series with full of hopes expecting positive triggers from the Union Budget 2019. However, the kind of reaction seen post announcement, clearly suggested disappointment and hence we witnessed a sharp sell-off thereafter to drag index towards 11500 mark in merely two trading sessions. After some respite towards 11700, once again fresh selling got attracted to conclude the series almost at the lowest points and down nearly 5% series on series.

Now, let's dig into the rollover data and try to find out some cues for the forthcoming series. Rollover in Nifty stood at 73.73%, which is certainly below the 3-month average of 75.43%. During the major part of the series, we hardly saw any relevant build-up in index futures; however, good amount of shorting was seen in the expiry week. Stronger hands continued their selling streak for the third consecutive month, they sold to the tune of Rs. 12,520 cr this month and nearly Rs.15,218 cr in last 3 months. Prior to this, they were net buyers from January to April series for the quantum of Rs. 58, 813 crores. This hints good amount of longs formed during start of this calendar year are still in system. In F&O segment, they sold index futures throughout the series and also rolled these positions in August series. They are beginning new series, with index futures 'Long Short Ratio' at 40%.

After quite some time, we witnessed PCR-OI plunging below 1 and we believe this was mainly because of call writing during the series. Surprisingly, despite such a sharp sell-off the fear index too tumbled below 12% which has been unusual situation so far. We are beginning the series with lower base and good amount of short rollovers in majority of individual counters. For the coming series, it's important to see FIIs positioning and their follow-up activity going ahead before any kind of bottom fishing. At current juncture, 11100-11200 is an important support zone; whereas, 11400-11500 shall act as a hurdle in the near term."

Source: Equity Bulls

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