Rollover Report for March-April 2020 - Angel Broking
Mr. Ruchit Jain (Equity Technical Analyst, Angel Broking):
- Index witness sharpest fall in last 12 years - Lower rollover of positions to April series - Higher volatility likely to continue - Biggest fall in an expiry post 2008 - India VIX spikes sharply - FII's cover some shorts in expiry week - Rollover in indices lower than average
"The March series was disastrous for the bulls as the index corrected sharply to even breach the 8000 mark, registering the biggest fall in an expiry post 2008. The increasing cases of the COVID-19 across the world lead to a fear amongst the market participants due to which the INDIA VIX rallied significantly to surpass the 86 mark. FII's were sellers in cash segment throughout the series and they sold equities worth more than 60000 crores.
In Index futures segment, FII's began March series with a 'Long Short Ratio' around 12% and were net short for most part of the series. However, in last one week, they covered some of their short positions and even formed marginal longs due to which the indices witnessed a sharp pullback in last three sessions to end the series above 8600. The rollover in Nifty is at 62.12% v/s 3-month average of 68.69%, whereas in BankNifty it is at 55.19 percent v/s 3-month average of 64.10%. This indicates that much of the short positions formed have been covered and has not been rolled to the April series.
FII's 'Long Short Ratio' in the index futures segment is now at 29.63 percent and they are light on positions. The overall activity in options segment in last couple of weeks is muted which is mainly due to the high IV's. Looking at the recent activity, the market direction going ahead will be determined by how fresh positions get formed in next few sessions. The immediate support for the index is placed around 8200-8000 range whereas resistance is seen in 9300-9500 range. Until we see a significant cool-off in the IV's, the range for the index will continue to be high and hence, traders are advised to properly manage the risk and book profits as we approach the higher end of the range."