It was yet another historical expiry for the Indian market as benchmark indices crossed their February highs and registered new all-time highs. Market started the June series with some long positions and the bulls continued to control the market from initial days.
Nifty kept on making higher highs and registered a record high of 15,900. However, it moved in consolidative phase in two weeks. Eventually, index concluded the June series a tad below 15,800 zone, with gains of 2.95% over its May expiry close. It was Nifty’s third consecutive positive expiry. The up move was supported by good amount of long formation.
However, we witnessed some unwinding of positions in last few sessions. As a result, open interest has decreased by 7.17% on expiry-to-expiry basis. Rollover in Nifty stood at 84.61%, which is higher than its quarterly average of 75.08%.
The sentiment turned in favour of the bulls on back of speeding vaccination process, falling Covid cases and better quarterly numbers. Market Breadth also remained in favour of the advancing counters as Mid-cap and Small-cap space continued their positive momentum. Except negligible loss in Banking and Pharma space; all major sectoral indices ended June series in positive territory. Among them, IT, CPSE, Energy and FMCG indices were major gainers.
India VIX decreased by 24.16% to 15.10 levels in June series. India VIX has come to the levels of Feb 2020 when it spiked to higher zones. Lower volatility indicates an overall bullish market bias but small bounce in VIX could give some volatile cues to the market.
FIIs turned net buyer in cash market segment in June series and cumulatively bought equities worth more than Rs 7168 crores in June series. On the other hand, DIIs were also marginal buyers (2058 crores) in June series. FIIs added mixed positions in Index futures; however they exited some of their long positions from Stock futures in last few days. Their ‘Long Short Ratio’ in index futures has decreased marginally from 88.87% to 82.12% in June series. Still FIIs are long heavy on index futures.
On option front, Maximum Put OI is at 15500 followed by 15000 strike while maximum Call OI is at 16000 followed by 16500 strike. Option data suggests a wider trading range in between 15350 to 16250 zones. Considering overall derivatives activity, we are expecting the Nifty to remain sideways for coming few days; wherein resistance can be seen at 16100 and 16250 zone, while major support is now placed at 15450 and then 15200 zone.
Bank Nifty underperformed the benchmark indices as it ended the June series with marginal loss of 0.76%. We witnessed some buying interest in banking index in initial days of the June series; but it failed to hold at higher levels and started correcting. It breached 34000 mark during the month and eventually, concluded the series at 34827 level.
We witnessed formation of some short positions in recent corrective move of Bank Nifty. Some of these shorts got carried to July series as open interest has increased by 7.52% on expiry-to-expiry basis. Rollover in Bank Nifty also stood at 83.88%, which is higher than its quarterly average of 77.85%. Rollover data indicates that some shorts are intact in banking index and thus, it may face selling pressure at higher levels.
As far as levels are concern, crucial support for banking index is placed at 33200 and then 32000 zone. On the flip side, immediate resistance can be seen around 35800 and then 37700 zone.
On stocks front, we witnessed good amount of long rollovers are United Breweries, ONGC, Pfizer, Reliance Industries, Gujarat Gas, Indiabulls Housing Finance, Muthoot Finance, etc. While stocks like Aurobindo Pharma, Petronet LNG, Ashok Leyland, Mahanagar Gas, Adani Ports, Mahindra & Mahindra, Shriram Transport Finance, etc had short rollovers.
Note: This note is just an interpretation of derivative data and not a trading advise.
The author is Technical and Derivatives Analyst, Motilal Oswal Financial Services
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