Rollover Report for June – July 2020

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Post forming a support base near the 9000 mark in May series, the index started the June series on an optimistic note around 9400. Within a few sessions, Nifty surpassed the 10000 mark and registered a high around 10300. The index corrected during mid of the series upto 9600, but traders took this decline as an opportunity to buy and the Nifty resumed the momentum to test the 10500 mark ahead of expiry.

During the series, Nifty witnessed formation of long positions whereas a combination of short covering and long formation was seen in the Bank Nifty. Rollover in Nifty is at 79% v/s 3-month average of 75%; whereas rollover in BankNifty is at 81%, which is in line with its average. We witnessed a good amount of long formation in the June series and higher rollovers indicate long positions being rolled.

However, FII’s have not rolled much of their index futures long positions. Hence, their ‘Long Short’ Ratio at the start of the series stands around 42 percent. If we look at the stock specific data, many beaten down counters witnessed sharp up move with good amount of open interest addition. As per the options data, 10000 - 10500 is seen as the immediate trading range for Nifty. Since the data indicates long positions being rolled, traders are advised to continue to trade with a positive bias and use declines as a buying opportunity