Money Deri-Roll – June 2013

Rolls in NIFTY futures lower than last month with NIFTY rolls at 57%, lower than 6-month average of 60%, also in value terms, it is at 11308 Cr. versus 11512 Cr. (NIFTY was up by 4% in last series, number of shares also have increased to 185 lakh versus 158 lakh shares). On other hand, market wide roll also lower at 77% in value terms 28602 Cr which is more than last month 23959 Cr., (in share terms also higher, as lot of stocks have gain 5-10 % on price chart) leading to overall position of 41765 Cr Vs 35460 Cr. (higher than last month, and also highest in last three month) in futures positions, however Roll Cost is at 0.25 which is lower than last month even after adjusting dividend cost is positive, but declining lower than 6mth avg. of 0.53, with NIFTY cost at 0.12 (which is much lower than 0.48 avg. of 6 months),as a result Arbitrage trades have seen unwinding. Also, NIFTY/STOCK Fut. ratio has come down to 0.25 (last month 0.35), implies market participants have taken bets on individual stocks and not on Index.

Nifty front PCR_OI opened at 1.07 above 1 (last month 1.05), highest level at open in last 6 months (stable zones); with 6000 PE having highest OI across options as 51 lakh, (14 lakh shares add on Thursday), implying PE writers are convinced NIFTY will find support around 5950-6000; on resistance side CE OI is at 6200 and 6300 (32 and 33 lakh shares), implying 6260-6320 will be crucial resistance zone; Index options positions also has reduced to 58954 Cr (last month 60110 Cr) clearly can be attributed to hedging being reduced positive for market. We feel in short term Nifty trading range would be 5950-6270, as we enter the JUNE Series.

Among stock futures lot of sectors have shown mixed sentiment, implying it will be Stock Specific market with in a sector also some stocks are showing more strength than others; some of the sectors that can help Index to gain further in the JUNE. Series, Overall OIL & GAS (heavy weights), FINANCE (HSG. FIN.), AUTO, PHARMA, FMCG, TELECOM should be watched carefully as they have shown C-o-C improve heavy weights. On other hand, sectors which might underperform are CAP.GOODS, CEMENT, INFRASTRUCUTRE, REALTY and IT.  

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