>ROLLOVER ANALYSIS JUNE'09 (ANAGRAM)

LOWEST ROLL OVER SINCE MAY 2005

Wild swing was witnessed in the June series where at one point of time nifty was up by 8% during the first half of the series, only to retreat almost 12% from the high in the later half of the series and finally settled with a marginal loss of 2.2%. This muted dose came on the back of highest ever gain of 25% witnessed in the May series.

We have seen overall rollover of 74% as against 77% last month and last three months' average rollover of 76%. This Roll-over of 74% is at four year low - the lowest since May'05 when rollover of 72% was seen. We are starting the July series with a slightly lower OI of 109Cr shares as against 111Cr shares with which we had started June series. Even if we consider only stock futures, OI at the beginning of July series is slightly lower at 97.5 Cr as against 98.5 Cr indicating subdued confidence among the market players' in terms of rolling over of positions ahead of the budget which is going to be announced early next month.

LOWEST EVER ROLLOVER IN NIFTY

• LOWER OPEN INTEREST IN NIFTY OPTION SEGMENT: PUT WRITING IS SEEN AT 4200 LEVEL.

OUTLOOK FOR THE JULY SERIES- BE BEARISH ONLY BELOW 4200 LEVEL ON CLOSING BASIS : In a nutshell, considering aggressive put writing at 4200 level and subdued rollover in stock futures which in-turn indicates that there is a higher possibility of positions being built in the first few days of the series before we see any major correction. Therefore our advise would be to remain bullish till 4200 level gets broken on the downside, the level at which we have seen aggressive put writing. One more notable thing is the lowest rollover in Nifty futures coupled with higher Nifty future premium, which shows lack of confidence among bears to build short positions ahead of the budget. This lower short rollover can be a negative factor during the time of correction, as market will not get enough support from short covering unlike past few months.Any close below 4200 level would result into unwinding of long positions, which might drag nifty to even 3950-4050 level. On the higher side we advise booking profit in long positions around 4500-4550 levels, the level which consists of second highest OI among the Nifty July calls.

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