Nifty saw rollover of 51% compared to 59% in the previous month - Asit C Mehta Investment Intermediates

The March series began on a negative note on the back of Budget cues which were not taken positively soon slipped below 5700. However, on the rate cut expectation recovery was seen and the market again rose to 5950 levels. However, the inherent weakness in mid-caps which was visible in Feb itself coupled with constant negative cues on the domestic front as well as Cyprus issue again resulted in a sell-off which threaten to break the 5600 levels. Finally some buying in the final session of the expiry day resulted in the market closing above 5650. Despite the huge volatility the market shed just 30 points for the March series though sharp cuts were seen in several sectors. Levels of 5550 could be expected in the April series and on the upside levels of 5800 will be a hurdle.

The Nifty saw rollover of 51% compared to 59% in the previous month. The rollover was below par compared to the 3-month average(63%) and the 6-month average(62%). This have been at a premium of 36 basis points as compared to 33 points in the previous month. Market-wide rolls were at 76 % vs 3-month average of 83%.

The index saw rolls of 56% compared to 51% in the previous month. Rollover has been at a premium of 60 points compared to 102 points in the Feb series. The sector could be expected to be stable at best.

The Implied Volatility closed at 15.44% against 13.92% of the previous month while Historical vols closed at 16.06% vs. 15.74% of previous month. The sharp rise in volatility on m-o-m basis indicates wide range movement in the index in the upcoming days; another leading Derivative Indicator, the Nifty PCR opened on a positive note this month at 0.98 against last month's 0.90. From the Nifty options activity it is evident that maximum addition of Open Interest on the call options front exists at strike price of 5700 & 5800 (with nearly 36.83 lacs & 29.63 lacs shares outstanding) indicating these levels will act as the resistance zone on the upside whereas on the put options front, maximum addition of open interest is at strike price of 5600 (with nearly 61.99 lacs shares respectively) indicating the stronger support zone on the downside.

Source : Equity Bulls

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