Derivatives Rollover Analysis Derivatives Rollover Analysis: May Series View
Derivatives Rollover Analysis Derivatives Rollover Analysis: May Series View
Derivatives Rollover Analysis Derivatives Rollover Analysis: May Series View
02-05-2020
MAY SERIES VIEW
Last month, Bulls return to Dalal Street and saw a strong recovery due to hopes for
an effective COVID-1919 treatment, positive fii flows, and the hopes
hop of fiscal stimulus Nifty Rollover Comparison (MoM)
to stem the impact of COVID-19 lockdown. However, Investors should remain 25 85
cautious as the market continues to stay volatile in the near term given the weak 80
Rollover %
70
neutral to positive sentiments for the short term. On the expiry day, Nifty Futures
10 65
rollover stood at 71%, which is higher than the last three series average rollover of
60
69%. Nifty will start the May series with lowest level open interest of 0.96 Cr shares 5
compared with OI of 1.15 Cr shares at the beginning of the April series. Market-wide
Market 55
rollovers stood higher at 92% compared with the average rollovers of 85% in the 0 50
30-Jan
27-Feb
26-Mar
30-Apr
31-Oct
28-Nov
26-Sep
26-Dec
last three series. Going into May month key events that would act as market
triggers would include global markets trends, spread of coronavirus and its impact
on the local and global economy, FII flows, further any economy relief package by OI on Expiry (in Mn) % Rollover
Government,, Q4FY20 earnings, the movement of Rupee against the Dollar, and
Banknifty Rollover Comparison (MoM)
crude oil price movement will dictate the trend on the bourses in the near term. 2 85
80
Rollover %
India VIX cool off sharply by 52% (EoE) and closed lower at 33.99% vs. 71.53% of 1
65
the previous month indicating low volatility in market
market. Another leading derivative
60
indicator, Nifty PCR, opened on very higher side this month at 1.89 against last
55
month’s 1.42, which is indicating market, is in overbought zone.
zone
0 50
30-Apr
30-Jan
26-Dec
27-Feb
26-Mar
31-Oct
28-Nov
26-Sep
BANKNIFTY
The index saw higher rolls of 82% compared
mpared with the 3M average of 64%.
64 BankNifty
will start the May series with an OI of 1.00 Mn shares compared with OI of 0.33 Mn OI on Expiry (in Mn) % Rollover
shares at the beginning of the April series. As per options data, support for the
index is around 19500 and 16000 whereas
ereas resistance stands at 23000 and 25000
25 30
25
for the short term. 25
Open Interest (in Mn.)
20 18
OPTION ANALYSIS 14
15
From the OI Concentration (28-May Series), Open Interest on the call options fron front 9 9
10 6 7
exists at strike prices of 10000 and 10500 (with nearly 9.04 lacs and 7.13 lacs shares 5 4 4
3 1 2 3 2 4 3
outstanding). This indicates that these levels will act as the resistance zone on the 5
0 0 0 0 02 1 1 1
2 22 12 3 11 10 21 10 10
upside for the short term. On the put options front, addition of Open Interest
Inter is at 0
8500
8800
9000
9200
9500
10200
8600
8700
8900
9100
9300
9400
9600
9700
9800
9900
10000
10100
10300
10400
10500
strike prices of 9000 and 8500 (with nearly arly 25.16 lacs and 17.96 lacs shares
outstanding) indicating stronger support zone on the downside.
CE PE
80
2. Within the Nifty50 space, index heavyweights such as EICHERMOT, TCS, TITAN, 75
VEDL, HEROMOTOCO, and POWERGRID saw aggressive rollover in the May 70
65
series while low rolls were seen in ITC, NESTLEIND,
NESTLEIND GAIL, HCLTECH and CIPLA 60
compared with the 3M average. 55
Capital_Goods
Telecom
Textile
Automobile
Banking
Finance
Pharma
Media
Technology
Metals
Oil_Gas
Realty
Fertilisers
Cement
FMCG
Index
Infrastructure
Power
Nifty-Monthly chart
The index on the monthly scale has taken support close to its 100 Month SMA and saw a sharp recovery in April series despite
volatility. With the help of this recovery, the index made a high of 9889 and close to April month on a positive note at 9860 level.
Technically, the index will find resistance close to 50% retracement from 12430-7511 which is currently placed close to 9971. Moreover,
the earlier support level of 10000 will now act as strong resistance for the index in the short term as highlighted in the above chart.
50 Month SMA is placed close to 10180 which will act as strong resistance for medium-term.
On the downside, 8900-9000 will act as a short-term support zone. 100 Month SMA is placed close to 8480 which will act as a strong
support zone for medium-term.
RSI on the monthly scale has retested trendline breakdown point indicating weakness.
For the May series, 8900 and 8480 will act as support point whereas 10000 and 10200 will act as resistance points.
Technically, the index on the monthly scale has taken trend line support and managed to sustain above its 100 Month SMA. After
crossing 100 Monthly SMA index saw a sharp recovery in April series despite volatility. With the help of this recovery, the index made
a high of 21967 and close to April month on a positive note at 21534 level.
Technically, the index will find resistance close to 38% retracement from 32613-16116 which is currently placed close to 22418. 50
Month SMA is placed close to 24710 which will act as strong resistance for the medium term.
100 Month SMA is placed close to 19234 which will act as key support for the short term, Trend line support is placed close to 16000
levels which will act as key support for the medium term.
RSI on the monthly scale has retested trendline breakdown point indicating weakness.
For the May series, 19200 and 16000 will act as support point whereas 22500 and 24700 will act as resistance points.
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