FII – Index Derivatives Expiry Statistics – 30-06-2016
The June 2016 expiry series which also happens to be the Monthly Close of June and end of 2nd Quarter of the financial yearended with the S&P CNX Nifty Index closing at 8287.75 with a Month on Month gain of 127.65 points / 1.56% and a whoping gain of 537.75 points on a Quater on Quarter basis. The Nifty started off the June Expiry series on a positive note and inched towards a new 7 month high on 7th june which was broken on the expiry day to make another fresh high for the year 2016 and closed at the highest level of the year. Better part of June traded sideways after 7th june with a dip towards 7927.05 on 24th June in a reaction to the #BRexit referendum but rallied till the end of month post the shakeout. The FIIs had been sellers throughout the Expiry but flipped to huge buying in the last week and the impact was clearly visible in the Index. Nifty Futures June 2016 contract closed at 8284.75 while the July 2016 Contract closed at 8321.05. The statistics of the Institutions, whether Domestic or Foreign, provide a better view of their commitment towards the Index. As the DIIs are not that much involved in trading of Index Future Derivatives, we keep a close look at the Index Derivatives statistics of FIIs on a Daily as well as Expiry on Expiry basis. You can have a look at the FII Daily Index Derivatives Statistics by following this link – Daily FII – Index Derivative Statistics
The News of #Rexit ( RBI Governor Raghuram Rajan announcing that he will return to academia when his term ends in September 2016) & the #BRexit referendum were absorbed by the Market & there were no signs of weakness visible going into the July Expiry. The point to keep a watch on is that the FIIs have gone extreme long on a cumulative basis due to the closure/rollover of the Expiry & few days into July if they do not continue the buying spree can bring this rally to halt as it reaches into the earlier supply zone.
Now, lets have a look at the FII – Index Derivatives Expiry Statistics – 30-06-2016 Expiry Series
INDEX FUTURES LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 178422 Long contracts from June 2016 Expiry in Index Futures against 198428 Long Contracts from May 2016 Expiry. The FIIs carried forward 36525 Short contracts from June 2016 Expiry in Index Futures against 54881 Short contracts from May 2016 Expiry. Their Net Outstanding Open Interest in Index Futures stands at 141897 ( Net Contracts ) from June 2016 Expiry against 143547 ( Net Contracts ) from May 2016 Expiry. The Net Outstanding is Long and has decreased by 1650 contracts on Expiry on Expiry basis, where they have decreased their longs by 10% as well as decreased their shorts by 33.45% which points to wrap up of their old business while they might build fresh positions going into July Expiry 1st week..
INDEX CALL OPTION LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 177222 long contracts from June 2016 Expiry in Index Call Option against 190282 Long contracts from May 2016 Expiry. The FIIs carried forward 173009 Short contracts from June 2016 Expiry in Index Call Option against 185159 Short contracts from May 2016 Expiry. Their Net Outstanding Open Interest in Index Call Option stands at 4213 ( Net Contracts ) from June 2016 Expiry against 5123 ( Net Contracts ) from May 2016 Expiry. This shows a decrease of 910 contracts in Net Long contracts in Net Outstanding Call OI going into the July 2016 Expiry.
INDEX PUT OPTION LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 245266 Long contracts from June 2016 Expiry in Index Put Option against 289346 Long contracts from May 2016 Expiry. The FIIs carried forward 73627 Short contracts from June 2016 Expiry in Index Put Option against 49515 Short contracts from May 2016 Expiry. Their Net Outstanding Open Interest in Index Put Option stands at 171639 ( Net Contracts ) from June 2016 Expiry against 239831 ( Net Contracts ) from May 2016 Expiry which is a huge reduction of 68192 contracts. The reduction in Put longs can be due to the exit of hedged positions against their Future longs
Overall the data points to a slightly bullish but cautious stance as there are no fresh positions being build & most of the OI is to protect their existing longs while they were selling entire month but started covering their shorts in the last week & hedging the existing shorts tightly. Into the 1st week of July they might start building fresh positions & that will provide further clue of their stance in the July Expiry series. As the Index has closed at the 2016 highs, any further long build up will carry on the bullish momentum while if they start building shorts, a revisit of 24th June lows would be their initial pullback zone.