Dear All,

Rolls in NIFTY futures higher than last month with NIFTY rolls at 71% (last month 59.6%), higher than 6-month average of 62.4%, also in value terms, it is at 11109 Cr. versus 11650 Cr. (NIFTY was up by 3.5% in last series, number of shares have decreased to 147 lakh versus 160 lakh shares). On other hand, market wide roll was flat at 79% (last month 78%) in value terms 58284 Cr which is more than last month 55985 Cr., (in share terms it saw decrease, along with price action as some individual stocks have increased 10-15% on price chart) leading to overall position lower  69393 Cr Vs 67635 Cr. (flat M-o-M) in futures positions Roll Cost is at 0.54 which is lower Month on Month of 0.59, also below 12mth avg. of 0.59, with NIFTY cost however moved up at 0.55 (in line with  0.55 avg. of 6 months, and last month 0.41). Also, NIFTY/STOCK Fut. ratio has decrease to 0.19 (last month 0.22), implies market participants have increased bets on Individual stocks, implying market participants feel NIFTY may consolidate.

Nifty front PCR_OI opened below 1 at 0.73 (higher last month 0.68, but less than 6mth Avg. 1); with 8000 CE having highest OI across options as 45.2 lakh, (11 lakh shares add on Thursday), implying CE writers are convinced NIFTY will find resistance around 7850-7930; on support side PE OI  is at  7200 and 7400 26 and 25 lakh shares each, (Thursday 7200 add 8.3 and 7400 7.43 lakh Shares add), implying 7250-7350 will be crucial support zone; Index options positions have  decreased to 59847 Cr (last month 61208 Cr) however if we take premium in consideration, Options have increase as market participants clearly placing bets on VIX which refuses to move above 19.9, till it remains below 19.9-20, Bulls will have upper hand NIFTY will continue to consolidate positive bias, We feel Nifty trading range for this series would be 7250-7930, as we enter the JULY Series.

Among stock futures positions have declined in Large Caps and increased in Mid Caps implying FIIs booking profits as we approach event, however traders continue to bet on this market (though base has become bigger); making stock specific activity crucial; sectors that can outperform Index in the JUNE Series BANKING (Mid Cap Banks), AUTO, IT (barring INFY), INFRASTRUCTURE, FERTILIZER, MEDIA, CAP.GOODS, FMCG (Mid Caps), PHARMA C-o-C improve; On other hand Shorts seen CEMENT, METALS, OIL & GAS (barring OMC), BANKING (large Caps), TELECOM; Individual stock picking required.