*Rollovers to Aug Series – Par Rolls, Higher MW Position & Subdued Basis, Probability of Range bound move with Sector Rotation*
*Nifty Roll @ 83% (v/s 85%), OI base (9.5 Mn shrs v/s 9.7 Mn shrs), BankNifty Roll 81% (v/s 84%), OI base (20 lac v/s 19 lac ), MW 92%(v/s 89%),OI base up by 3%, in absolute no of shrs(4367 Mn v/s 4230 Mn), Roll cost level in most of stocks is ~30 -32 (48 -49 v/s 56-58 v/s 47 -48 bps).*
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• Market remained sluggish for July series.
• Writers ruled the July series as Indices & stocks remained rangebound unlike previous three series.
• FII sold highest (~19k cr) since Jan’21 in cash for Jul series whereas DII continue to remain buyers (~15k cr).
*Volatility:*
• India VIX maintain lowest band (8-15) since two series. Skews remained flat in July series.
• *Current series skews comparatively flat indicating range bound move & drift may continue.*
*Marketwide:*
• In absolute number of shares Aug series will start with ~3% higher OI of 4367 Mn shrs(~INR 1886 Bn) as against 4230 Mn shrs(~INR 1767 Bn) of previous expiry - *indicating majority position rolled over to next series despite of big drifts.*
*Option Data:*
• Nifty PCR_OI for Jul series opened at 1.27 (1.39 v/s 1.56 v/s1.70 ).15000 PE having highest OI of ~26 lac followed by 15500 OI of 21 lacs. 16000 CE with 18 lacs followed by 16500 @15 lacs(26th Aug) *indicating lowest hedge in previous 6 series.*
*Road Ahead:*
- Implied vol touched lowest band (~10-12,) first time post Mar’20sell off. Fear receding but probability of mean aversion increases.
*Above 15950 -16k probabilities of up move towards 16200, 15500 immediate supports. Sentiment may turn negative below 15400.*
*Sector:*
• Long Creation/ Carry Fwd :Banking & POWER
• Short Creation/ Carry Fwd: IT & Auto
*Stocks:*
• Stocks where rolls picked up: NTPC, BJAUT, AL, LPC, PIDI & LT.
• *Equirus Rollover Picks(Long Bias Based on Rollover (10-12% move, sl 3.5%):, BOB, PIEL & BPCL.*
Stay Safe |Quant Desk |Equirus
*Nifty Roll @ 83% (v/s 85%), OI base (9.5 Mn shrs v/s 9.7 Mn shrs), BankNifty Roll 81% (v/s 84%), OI base (20 lac v/s 19 lac ), MW 92%(v/s 89%),OI base up by 3%, in absolute no of shrs(4367 Mn v/s 4230 Mn), Roll cost level in most of stocks is ~30 -32 (48 -49 v/s 56-58 v/s 47 -48 bps).*
================================================
• Market remained sluggish for July series.
• Writers ruled the July series as Indices & stocks remained rangebound unlike previous three series.
• FII sold highest (~19k cr) since Jan’21 in cash for Jul series whereas DII continue to remain buyers (~15k cr).
*Volatility:*
• India VIX maintain lowest band (8-15) since two series. Skews remained flat in July series.
• *Current series skews comparatively flat indicating range bound move & drift may continue.*
*Marketwide:*
• In absolute number of shares Aug series will start with ~3% higher OI of 4367 Mn shrs(~INR 1886 Bn) as against 4230 Mn shrs(~INR 1767 Bn) of previous expiry - *indicating majority position rolled over to next series despite of big drifts.*
*Option Data:*
• Nifty PCR_OI for Jul series opened at 1.27 (1.39 v/s 1.56 v/s1.70 ).15000 PE having highest OI of ~26 lac followed by 15500 OI of 21 lacs. 16000 CE with 18 lacs followed by 16500 @15 lacs(26th Aug) *indicating lowest hedge in previous 6 series.*
*Road Ahead:*
- Implied vol touched lowest band (~10-12,) first time post Mar’20sell off. Fear receding but probability of mean aversion increases.
*Above 15950 -16k probabilities of up move towards 16200, 15500 immediate supports. Sentiment may turn negative below 15400.*
*Sector:*
• Long Creation/ Carry Fwd :Banking & POWER
• Short Creation/ Carry Fwd: IT & Auto
*Stocks:*
• Stocks where rolls picked up: NTPC, BJAUT, AL, LPC, PIDI & LT.
• *Equirus Rollover Picks(Long Bias Based on Rollover (10-12% move, sl 3.5%):, BOB, PIEL & BPCL.*
Stay Safe |Quant Desk |Equirus
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