In today’s briefing:
- NIFTY MIDCAP150 Index Rebalance: 19 Changes a Side; Lots of Overlap with Other Index Flow
- Quiddity NIFTY Sep 24 Rebal: US$647mn One-Way Capping for NIFTY Next 50; All Changes Were Predicted
- NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines
- Zomato: Index Inclusions & Passive Impact (Once Added to F&O)
- EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows
- Bharti Airtel Positioning Continues to Strengthen
NIFTY MIDCAP150 Index Rebalance: 19 Changes a Side; Lots of Overlap with Other Index Flow
- There are 19 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with same-way flows from passive trackers of other indices.
- Estimated one-way turnover is 9.8% resulting in a one-way trade of INR 8.2bn (US$98m). With US$40.1bn tracking the index actively, the impact on the stocks will be much larger.
- The adds have outperformed the deletes this year, though near-term performance has been meh. There was a similar trend in March and the adds could outperform nearer to implementation.
Quiddity NIFTY Sep 24 Rebal: US$647mn One-Way Capping for NIFTY Next 50; All Changes Were Predicted
- The September 2024 Rebalance results for the NIFTY broad market Indices were announced after the close on Friday 23rd August 2024.
- There will be two changes for NIFTY 50 and five changes for NIFTY 100 during the September 2024 index rebal event. All of these changes were as predicted.
- All NIFTY 50 and NIFTY 100 changes will also be reflected in the NIFTY Next 50 index which could see US$647mn one-way capping flows.
NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines
- There are 7 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that will be implemented at the close on 27 September. Changes are on expected lines.
- Estimated one-way turnover for the Nifty Next 50 Index (NIFTYJR INDEX) is 19.6% resulting in a one-way trade of INR 63.64bn (US$759m). Many stocks have over 1x ADV to trade.
- The adds have outperformed the deletes this year but there has been big underperformance over the last month as stocks expected to benefit from rural spending have rallied.
Zomato: Index Inclusions & Passive Impact (Once Added to F&O)
- Zomato (ZOMATO IN) has a market cap of over US$27bn but is not a member of the NIFTY Index and S&P BSE SENSEX Index since it is not an F&O member.
- Once SEBI’s proposed and enhanced stock inclusion thresholds are implemented, Zomato (ZOMATO IN) should be added to the F&O segment of the market.
- Passive NIFTY Index and S&P BSE SENSEX Index will have to buy a lot of Zomato stock at subsequent rebalances. The impact will be higher given the lower real float.
EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows
- IVs have moved to new lows for the summer, breaking below the floor set through June & July. Nifty50 IVs now trading at 11.0% levels.
- Spectacular turnaround in IVs since early-August vol-spike. In spite of this, Vol Regime remains steady in its “High & Down” vol-state.
- Nifty50 Vol surface characteristics have compressed for Monthly-expiry contracts. Smile & Skew for Quarterly contracts remain unchanged.
Bharti Airtel Positioning Continues to Strengthen
- The bull market in Bharti Airtel positioning shows no signs of slowing down, with average fund weights and the percentage of funds invested in Bharti Airtel reaching 15-year highs
- Over the past six months, ownership increases have been the highest among Indian peers, propelling Bharti Airtel to the 7th most widely owned stock in India.
- In the last six months, 27 funds have initiated new positions, with no closures, and notable new investors include Fidelity, GQG, and Morgan Stanley.
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