Rollover Report for March-April 2021 : Angel Broking

Mrs. Sneha Seth (Derivatives Research Analyst, Angel Broking):

- Nifty and Bank Nifty rollover above its 3-month averages
- FIIs 'Long Short Ratio' plunged from 76% to 62%
- Banking index appears short, heavy

"Post the fabulous run in the February series; we started the very first day of the March series with a downside gap and sneaked below the 14500 mark. However, decent recovery was seen thereafter to reclaim 15300 marks. At these higher levels, the benchmark index lacked momentum and hence, the bears took charge resulting in Nifty correcting below the lows hit on the first day of March series (14467.75). In fact, pullback moves in between also got sold into during last week and the index plunged below 14300. Finally, we concluded the last series of the financial year 2020-2021 slightly above 14300 mark and with a cut of almost 5%.

Now let's see how things shaped up in F&O space, throughout the series we hardly saw any meaningful open interest activity in Nifty; however, the banking index added decent shorts during every price correction. Rollover in Nifty futures stood at 82%, indeed very much above 3 month averages. On the face of it may appear short rollover but if we glance at month of month change in open interest, there has been some reduction which clearly suggests we are beginning new financial year with lower base. Unlike Nifty, the banking index added huge shorts in March series and a rollover of 88% indicates majority of them have been carried forward too. Considering the quantum of outstanding positions in Bank Nifty; some recovery in the coming week can't be ruled out. As far as FIIs activities are concerned, since last few days the consistency in their activity seems missing a bit as we can see one or two days buying figures and then opposite to it. On a net basis, they have been net buyers to the tune of Rs. 2212 crores. In derivatives segment, they preferred exiting longs and rolling over bearish bets. Hence, their long short ratio has plunged from 76% to 62% MoM. As we are starting new series with lower OI base, we would prefer staying light until any meaningful positions are formed in either direction."

Source : Equity Bulls

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