Market-wide rollover 77%; Nifty rollovers 69%:: Edelweiss

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Rollover Analysis: Market-wide Futures OI (Expiry Day): Market-wide rollover 77%; Nifty rollovers 69%


Benchmark indices ended in the red on the back of selling pressure in most of the
frontline stocks. At the end of the October series, ~77% of the market wide
futures open interest has been rolled over to the November expiry. This rolled
position is in line with ~78% seen in the October expiry. The November series will
start with market wide future OI of INR 626 bn as against INR 629 bn seen at the
start of the October expiry. Most of the scrips witnessed downward pressure
towards the end on the back of VWAP selling. The roll cost expanded further to
~80-85 bps from yesterday’s levels of ~60-65 bps. Perturbed by concerns
relating to cost, cash future fresh arbitrage positions preferred unwinding as
against rolling into the next series. With liquidity getting further boost from refund
of Coal India IPO which is expected in the first week of November, we expect the
positive sentiments to pertain.
Nifty November series would start with an OI of INR 156 bn with 69% positions
getting rolled into the next series. This is lower than the 72% rollovers seen last
expiry. In today’s trading session ~96,610 contracts got rolled into the November
series while ~38,362 contracts got added in the new series. Nifty series holds an
OI of ~513K contracts (as against 585k contracts the previous expiry). Nifty roll
cost to the long roller continued to expand and went up to ~50-60 points during
the day.
Focus Sectors
Strong Rollovers: Telecom (87%), FMCG (83%) and Cement (83%)
Weak Rollovers: Banking (75%) and Auto (81%)
Focus Stocks
Strong Rollovers: IOC (95%), JSW Steel (91%)
Weak Rollovers: ICICI Bank (59%), HDFC Bank (62%)