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January expiry, rollover activity picked up on D-1 trading session with ~56% of the
market wide futures positions getting rolled into the Feb series which is on a lower
side as compared to the previous expiry (~60% on D-1 of December). Future
market holds an OI of ~INR 571bn as compared to ~INR 650bn on D-1 of December
expiry. Roll cost levels (cost to the long rollers) slightly contracted to ~68-70 bps
from levels of ~70-72 bps witnessed yesterday.
Nifty has rolled ~47% of the positions into the next series, which is in line with D-1
of December expiry (~48%) but much lower than the average of 66%. Nifty roll cost
contracted further. From D-2 levels of ~20-22 points it averaged down to ~16-18
points on D-1 indicating aggressive short rollers in Nifty futures. Nifty holds an OI of
~556,439 contracts (INR 158bn) as against an OI of ~607,265 contracts seen on D-
1 of December (INR 184bn). Around 72,082 contracts got rolled while 25,731
contracts were added in the next series.
On D-1, engineering and sugar has seen strong rollovers with ~66% positions each rolled over to the next series.
Prominent counters are LT (63%) and Shree Renuka Sugar (69%). Telecom and FMCG (64% each) are the other
prominent sectors with strong rollovers. Counters where rolls picked up were Jet Airways (65%/30%) and Reliance
Infra (68%/37%). Banking remain weak with ~55% of the positions being rolled into the next month
Focus Stock
Hindustan Zinc (HZ): The counter has an open interest of ~0.29mn shares of which 21% of the positions
have been rolled over to the next series. Rolls are happening at a profit of ~65 bps to short rollers. The near
month futures open interest is ~1 times the average volumes traded in cash market. We believe that lack of
rollovers will trigger VWAP buying on the back of unwinding of cash futures arbitrage positions.
Bank of Baroda (BOB): The counter has an open interest of ~0.57mn shares in the near month. Rollovers
stand at ~44%. Near month futures open interest is nearly 1.4 times the average volumes traded in cash
market. Short rolls are taking placing at a loss of ~70-72 bps.
India Equity Research Reports, IPO and Stock News Visit http://indiaer.blogspot.com/ for complete details �� ��
January expiry, rollover activity picked up on D-1 trading session with ~56% of the
market wide futures positions getting rolled into the Feb series which is on a lower
side as compared to the previous expiry (~60% on D-1 of December). Future
market holds an OI of ~INR 571bn as compared to ~INR 650bn on D-1 of December
expiry. Roll cost levels (cost to the long rollers) slightly contracted to ~68-70 bps
from levels of ~70-72 bps witnessed yesterday.
Nifty has rolled ~47% of the positions into the next series, which is in line with D-1
of December expiry (~48%) but much lower than the average of 66%. Nifty roll cost
contracted further. From D-2 levels of ~20-22 points it averaged down to ~16-18
points on D-1 indicating aggressive short rollers in Nifty futures. Nifty holds an OI of
~556,439 contracts (INR 158bn) as against an OI of ~607,265 contracts seen on D-
1 of December (INR 184bn). Around 72,082 contracts got rolled while 25,731
contracts were added in the next series.
On D-1, engineering and sugar has seen strong rollovers with ~66% positions each rolled over to the next series.
Prominent counters are LT (63%) and Shree Renuka Sugar (69%). Telecom and FMCG (64% each) are the other
prominent sectors with strong rollovers. Counters where rolls picked up were Jet Airways (65%/30%) and Reliance
Infra (68%/37%). Banking remain weak with ~55% of the positions being rolled into the next month
Focus Stock
Hindustan Zinc (HZ): The counter has an open interest of ~0.29mn shares of which 21% of the positions
have been rolled over to the next series. Rolls are happening at a profit of ~65 bps to short rollers. The near
month futures open interest is ~1 times the average volumes traded in cash market. We believe that lack of
rollovers will trigger VWAP buying on the back of unwinding of cash futures arbitrage positions.
Bank of Baroda (BOB): The counter has an open interest of ~0.57mn shares in the near month. Rollovers
stand at ~44%. Near month futures open interest is nearly 1.4 times the average volumes traded in cash
market. Short rolls are taking placing at a loss of ~70-72 bps.
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