Market Snapshot
Yesterday, the indices were severely pounded mirroring weak global markets and unwinding taking place in the derivatives segment. Unabated selling, mainly in technology stocks, saw the index languish in negative zone for most part of the trading session today. The Sensex dropped to a low of 12,861 before closing with a loss of 240 points at 12,884. Nifty settled with a loss of 58 points to close at 3,761.
The NSE and BSE cash volumes were higher compared to the previous day at INR 83 bn and INR 41 bn respectively. The F&O volumes were a touch higher at INR 441 bn.
Sentiment Indicators
The Implied Volatility (IV) across Nifty strikes has increased to 29-30% levels. The WPCR of Nifty Options increased to 1.07 compared to the previous day while the 5 day average is 1.01.
Outlook
In line with global cues, the markets are expected to open slightly negative and advise a cautious approach as the volatility continues in the market.
The market wide rollovers increased yesterday to go upto 56% in line with previous expiries. Nifty rollovers also witnessed continued rolls to go upto 57% as the March contract expires today. The roll cost also picked up to 61 bps which is slightly lower than average of previous expiries.
We recommend the short rollers to be aggressive at current Nifty roll levels of -5 to -6 as we expect it to further contract.
RIL, ITC, ACC, Guj Amb, Parsavanth, Arvind Mills, Orchid Chemicals are good short VWAP candidates. One can take short positions in the stock futures and hedge against the Nifty. We will be coming out with a list of VWAP counters throughout the trading session.
As indicated the south-bound journey in the Nifty began with the Index shedding almost 59 points. Further weakness still exists in the market with the next immediate support at 3723 followed by 3707. On the upper side the next important resistance is 3793 and 3805
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