A Brief Note on Nifty October Series Outlook

The Nifty rollover was at 76%, a bit below the August rollover of 78%, with a roll cost 13% lower than the three-month average. 

On the other hand, Nifty Bank’s rollover as well as roll cost jumped 10% and 38% above their three-month averages, respectively. Market-wide rolls stood at 92% compared to last month’s 90%. 

A significant trend has emerged in the Foreign Institutional Investors’ (FIIs) holdings of index futures. The proportion of FIIs’ long positions in the index, relative to the broader market’s long positions, has witnessed a steady dip since the June expiry. 

Starting at 31% in June, this figure has now dipped to 12% by the September expiry. The ratio of FII long positions in Index Futures relative to the total positions in Index Futures has witnessed a dip, downward to 30% from a previous high of 50%. It was on the higher side from April’s expiry and experienced a bullish market sentiment.

However, this ratio showed a downtrend during January, February and March, leading to a bearish market sentiment. The media, chemical and consumer durables sectors witnessed a significant short buildup. 

At the same time, a comparatively higher long buildup was noticed in the capital goods sector. Similarly, healthcare and telecom sectors have showcased an equal proportion of long buildup and short covering. 

In terms of sectors, banks, capital goods, energy, financial services, healthcare, media, and realty sectors witnessed a considerable increase in rollover when compared to the previous two series. Similarly, low rollovers were also experienced in cement, Information Technology (IT) and telecom stocks. 

Infra, IT, metals, financials, telecom and energy contributed the most to Nifty’s upside in September, while banks and oil stocks dragged. Analysts are of the view that the IT and metal sectors are expected to have a good run in the October series.