Roll – September - 2013

Rolls in NIFTY futures higher than last month with NIFTY rolls at 65% (last month 52%), higher than 6-month average of 59%, also in value terms, it is at 11249 Cr. versus 8729 Cr. (NIFTY was up by 9% in last series, number of shares also have increased to 189 lakh versus 161 lakh shares). On other hand, market wide roll also increased at 75% (last month 71%) in value terms 24195 Cr which is more than last month 24400 Cr., (in share terms decrease also there, along with price action as some of heavy weights stocks have gained 15-20 % on price chart) leading to overall position of 37036 Cr Vs 35211 Cr. (higher than last month, in line with avg. of last six month) in futures positions, also Roll Cost is at 1.04 which is much higher than last month of 0.42, also 6mth avg. of 0.40, with NIFTY cost itself zooming 1.11 (which is much higher than  0.34 avg. of 6 months, and last month 0.11),as a result Arbitrage trades have been initiated in Index. Also, NIFTY/STOCK Fut. ratio has jumped to 0.43 (last month 0.32), implies market participants have increased bets on Index, also Individual stocks have seen long unwind and short squeeze.

Nifty front PCR_OI opened at 1.02 (well below last month 1.16 even less than 6mth Avg. 1.09.); with 5700 and 5800 PE having highest OI across options as 35 and 31 lakh, (6 and 9 lakh shares add on Thursday), implying PE writers are convinced NIFTY will find support around 5620-5690; on resistance side CE OI  is at  6000 and 6100 (29 and 24 lakh shares), implying 6090-6135 will be crucial resistance zone; Index options positions have  increased to 60515 Cr (last month 58003 Cr) clearly can be attributed to hedging increased as movement either side expected (with VIX in one month corrected by 20%). We feel in short term Nifty trading range would be 5650-6090, as we enter the OCT. 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 outperform Index in the OCT. Series, Overall PHARMA, METALS, CAP. GOODS, MEDIA, POWER (heavy weights), TELECOM should be watched carefully as they have shown C-o-C improve heavy weights. On other hand, sectors which might underperform are BANKING, FINANCE, OIL & GAS, REALTY. Over all across sectors Mid Caps showing more strength.

 

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