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Buying in the select large cap names enabled the Nifty to close above the
psychological mark of 6100. On the last day of expiry, ~75% of the market wide
futures open interest has been rolled over to the January expiry. This rolled
position is a tad lower than ~80% seen in the November expiry. The January
series will start with market wide future OI of ~INR 500 bn as against ~INR 567
bn seen at the start of the December expiry. The OI will be the lowest in the last
seven months. VWAP buying happened in many frontline counters like GAIL,
HDFC Bank, TCS and Axis Bank. Roll cost levels in stock futures averaged ~70-
75bps.
Nifty roll cost during the day went up till ~42 points. However buying in the latter
half, made it shrink to ~26-28 points. Nifty January series would start with an OI
of INR 120 bn with 61% positions getting rolled into the next series (~69% was
seen in November expiry). This is lower than the average of ~73% rollovers seen
in CY10 YTD. In today’s trading session ~36,028 contracts got added in January
series while ~67,023 contracts expired in December series. Nifty series holds an
OI of ~394K contracts (as against 531k contracts the previous expiry) which is
the lowest OI since November, 2006 expiry.
Focus Sectors
Strong Rollovers: Engineering (91%) and Telecom (87%)
Weak Rollovers: FMCG (80%) and Textiles (79%)
Focus Stocks
Strong Rollovers: Reliance Infrastructure and Shree Renuka Sugar (93%)
Weak Rollovers: GAIL (59%), ITC (61%)
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