Street rolls over bullish bets, Nifty range seen at 11,600-12,000

Traders carried forward bullish derivative bets to the July series on expiry of the June contracts on Thursday but the optimism was relatively muted because of geopolitical tensions and concerns over the economic slowdown and a delayed monsoon. While the rollovers ahead of the Union Budget usually tend to be relatively high, analysts said this time traders will watch for announcements before betting on the market direction. The Budget is on July 5.

In the June series, the Nifty snapped its gaining streak of the last three derivatives series and ended the June series with a fall of 0.9 per cent. The index ended flat at 11,841.55 on Thursday. The Sensex also closed flat at 39,586.41.

“Longs positions have been rolled over with caution as the market is near the psychological level of 12,000," said Yogesh Radke, head of alternative and quantitative research at Edelweiss. "The news flow brewing around the US-China trade war, US-Iran tensions, delayed onset of the monsoon and weak macro (in India) are some of the factors that make us cautious at the moment," said Radke.


Nifty futures rollovers stood at 80 per cent versus average rollovers of 73 per cent in the last three series. The open interest in Nifty was at Rs 22,800 crore, or 1.9 crore shares, compared to open interest of Rs 22,900 crore, or 1.92 crore shares, on expiry day of the May contracts. Market-wide rollovers stood at 88 per cent.

Analysts said, in the July series, 117 stocks out of the 162 F&O stocks will shift to physical settlement and the rollover percentage in stock futures will go up by October series when all stock derivatives will be physical settled.

“The roll cost was lower this time which shows that the market is in a wait-and-watch mode ahead of the Budget. The roll cost was lower because HDFC Bank is trading at a discount and there is less aggression in rollovers,” said Chandan Taparia, derivative analyst at Motilal Oswal.

“We have not seen a jump in option premium and India VIX, which indicate that market participants are not expecting much volatility based on the Budget,” the brokerage said.

Analysts said the Nifty is likely to move in 11,600-12,000 range in the new series.

A fall below 11,600 may take the Nifty to 11,400. Highest concentration among calls in the July series for the Nifty is at 12,000 strike. Among puts, the 11,000 strike holds the highest open interest followed by the 11,500 strike.

"As per options data, 11,480-11,500 is a strong support on the downside. In the June series, the Nifty has made multiple lows around 11,600-11,630 zone 12,050-12,100 will be the immediate resistance,” said Jay Purohit, derivative analyst at Centrum Broking.