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After a lull session yesterday, buying interest in frontline scrips made the benchmark
close in the green today. Long rollers displayed aggression for rolling over their index
as well as stock futures positions. On D-1, ~60% of the market wide futures
positions have been rolled over to the January series which is on a lower side as
compared to the previous expiry (~64% on D-1 of November). Future market holds
an OI of ~INR 650bn as compared to ~INR 679bn on D-1 of November expiry. Long
rollers appeared aggressive in today’s session with the average roll cost (to the long
roller) expanding to ~70-75 bps from yesterday’s levels of ~64-66 bps.
Nifty has rolled ~48% of the positions into the next series, which is less than D-1 of
November expiry (~63%). Nifty roll cost significantly expanded during the day. It
hovered between 34-36 points and even expanded to ~40 points. Nifty holds an OI
of ~607,265 contracts (INR 184bn) as against an OI of ~651,264 contracts seen on
D-1 of November (INR 191bn). Around 57,990 contracts got rolled while 25,466
contracts were added in the next series.
On D-1, sugar has seen strong rollovers with ~79% positions rolled over to the next series. Prominent counters are
Shree Renuka (83%) and Bajaj Hind (79%). Telecom (74%) and engineering (73%) are the other prominent sectors
with strong rollovers. Counters where rolls picked up were Cipla (58%/31%) and Hindalco (63%/40%). Banking remain
weak with only 63% of the positions being rolled into the next month
Focus Stock
Core Projects (CPTL): The counter has an open interest of ~8.13mn shares in the near month. Rollovers
stand at ~24%. Near month futures open interest is nearly 1.9 times the average volumes traded in cash
market. Short rolls are taking placing at a loss of ~160-170 bps. If rollovers stay weak tomorrow as well, we
can expect selling pressure on the back of unwinding of cash futures arbitrage position.
HDFC Bank (HDFCB): The counter has an open interest of ~2.76mn shares of which 59% of the positions
have been rolled over to the next series. Rolls are happening at a profit of ~35 bps to short rollers. The near
month futures open interest is ~1.4 times the average volumes traded in cash market. We believe that lack of
rollovers will trigger VWAP selling on the back of unwinding of cash futures arbitrage positions.
Wipro (WPRO): The counter has witnessed ~42% positions being rolled over to the next series. It holds an
open interest of ~2.68mn shares in the near month which is ~1.5 times the average volumes traded in the
cash market. Rolls are taking place at a profit of ~60 bps to short rollers. Lack of rollovers is likely result in
selling pressure.
Other focus stocks
Short Ideas
o Axis Bank (AXSB)
o Gail (GAIL)
o Shipping Corporation of India (SCI)
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