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With selling pressure continuing for the third straight session, benchmark indices
ended in the red. Rollovers however have been on the higher end. At the end of
the November series, ~80% of the market wide futures open interest has been
rolled over to the December expiry. This rolled position is a tad higher than ~77%
seen in the October expiry. The December series will start with market wide
future OI of ~INR 567 bn as against ~INR 618 bn seen at the start of the
November expiry.
VWAP selling was seen in some of the scrips. Large cap names
like Reliance Infrastructure (~93%), Sesa Goa and Cairn (~92% each) and
Reliance Industries (~88%) saw strong rollovers. Prominent names on the weak
side were M&M (~65%), HDFC and Axis Bank (~66% each) and Sterlite
Industries (~68%). For stocks, the roll cost levels expanded throughout the
expiry week. For Nifty roll cost ranged between 18 to 28 points.
Nifty December series would start with an OI of INR 154 bn with 75% positions
getting rolled into the next series. This is higher than the 69% rollovers seen last
expiry. In today’s trading session ~62,580 contracts got rolled into the December
series while ~54,270 contracts got added in the new series. Nifty series holds an
OI of ~531K contracts (as against 513k contracts the previous expiry). Nifty roll
cost to the long roller was ~21-27 points for the major part of the day.
Focus Sectors
Strong Rollovers: Sugar (93%) and Construction (86.5%)
Weak Rollovers: Cement and Auto (79%)
Focus Stocks
Strong Rollovers: Reliance Infrastructure (93%), Sesa Goa (92%)
Weak Rollovers: M&M (65%), HDFC (66%)
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