>ROLLOVER REPORT: JULY 30, 2010 (ANGEL SECURITIES)

Rollovers in Nifty (76.55%) has been on the higher side but its open interest has decreased around 8% month-on-month with 1.66% in price levels which indicates there has been short covering in 2nd half of July series. BANKNIFTY (83.42%) has seen healthy rollover and rise in OI indicating long rolls. FII’s have been very active in cash market segment and have been buyers there in most of the sessions in last expiry. Interestingly they have been buyers of options and their activity in index futures is mixed. DIIs on the other hand, have sold substantially. Implied volatility too supports buying of options rather selling. Initial options data suggests that new range for 1st half may be 5300-5600 levels. High open interest in market should not be seen with caution as most of the built up is in option segment and in futures participants are divided in opinion so don’t expect significant deleveraging or short covering. Range bound market and rise in futures open interest also suggests that activities will get further skewed towards stocks.

To read the full report: ROLLOVER REPORT