Rollover Analysis - Aug 20: Volatility likely to pick up - YES Securities

August series proved nightmare for short sellers as midcaps rallied on back of short covering, while rotation trades visible as laggards likes of Banking/Financials made smart come back in second half. Nifty settled penultimate session at 11,560 mark. Nifty/BankNifty gained ~4/8.5% on eoe basis. Highlights for the August series are a) India VIX falling ~24% for the series remained below 19 levels b) 3 midcap stocks rallying greater than +50% eoe largely remained in ban period during the series c) FII's remained net sellers in stock futures while massive cash based buying seen d) Cost of carry turned positive for Nifty ~20 points on expiry day and stock wide ~35 bps coc.

Rollovers for Nifty/Bank-Nifty stood at 80% (1.21cr shrs)/78% (13.2lakh shrs) vs 78% (1.11cr shrs)/75% (13.5lakh shrs) previous month, Market wide rolls remained in line with averages ~89% vs 3month avg. of ~89.5%. Sector wise: Realty stocks saw sharp gains with massive long buildup in past couple of days, high flyers likes of metals and pharma stocks saw slight dip in OI going in sept series likely gained capped on upside.

FII's derivative stats index futures long rolls stood at 94% vs 3month avg. of 77% while index futures short rolls at 49% vs 58% on 3month avg. September series starts with index futures long to short ratio of 2.98x for FII's highest at start since April. On options front, Sept series starts with the buildup on monthly series 11k put strike holding ~2.7mn shrs while on call 12,000 strike holding ~1.8mn shares, volatility remained at lower end likely to pick up, long vols and delta move likely during the series.

Source : Equity Bulls

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