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Amidst tepid volumes, the rollovers of open positions have been lackluster on the
D-3 day. On the market wide front, ~22% of the positions are rolled over to the
February series as compared to ~36% positions seen on the D-3 of the December
expiry. Market wide futures OI at ~INR 569 bn (~INR 621 bn on D-3 of last
expiry) is ~8.40% less compared to the previous expiry. Roll cost (cost to long
rollers) levels in stock futures was ~70-72 bps during the course of the day. If
sluggish sentiments continue to prevail, the roll cost levels are likely to come
down next week.
Akin to market wide rollovers, Nifty rollovers were also on the lower side. On the
Nifty front, the OI currently stands at ~INR 149bn (INR 171bn on D-3 of the last
expiry). Low rolls are happening on a lower base (Nifty OI at the start of the
series was the lowest since November, 2006 expiry). Around 17% of the total
Nifty positions have been moved into the February series till date as compared to
29% on D-3 of December expiry. Nifty roll cost for the long rollers which started
the day at ~24 points expanded to ~30 points towards the end. Around 12,690
Nifty contracts got rolled, while ~2,940 contracts were added in the near month.
Sector rollovers have been on the lower side as compared to the previous expiries. FMCG has witnessed reasonably
good rollovers with 30% of the positions shifting into the February series in comparison to the 45% witnessed by D-3
of the December expiry. Counters with prominent rollovers are NTPC (~53%), Tata Steel (~52%) and Cairn India
(~48%). Rollovers have been relatively weak in IT (~18%).
Focus Stock
NTPC (NATP): The stock witnessed 53% of its positions getting rolled into the next series as compared to the
49% positions rolled by D-3 of the previous expiry. NTPC was among the few names that witnessed strong
rollovers. The OI in the counter is ~18.90mn shares and the rolls were happening at a loss of ~88-90bps in
today’s session.
Tata Steel (TATA): Around 52% of the total positions have been rolled into the February series, which is in
line with D-3 of the previous expiry. The counter holds an OI of ~25.94mn shares. With the follow on public
offering taking place, the rolls were happening at a loss (on the back of aggression from the short rollers) of
~28-30 bps in today’s session.
Cairn India (CAIR): Nearly 48% of the positions have got rolled into the February series, which is less than
the 61% rolls witnessed on D-3 of the previous expiry. The stock holds an open interest of ~13.65mn shares
Factors like open offer and upbeat crude oil prices have reignited the long sided interest in the scrip. The
counter was rolling at a profit of ~70-72bps in today’s session
India Equity Research Reports, IPO and Stock News Visit http://indiaer.blogspot.com/ for complete details �� ��
Amidst tepid volumes, the rollovers of open positions have been lackluster on the
D-3 day. On the market wide front, ~22% of the positions are rolled over to the
February series as compared to ~36% positions seen on the D-3 of the December
expiry. Market wide futures OI at ~INR 569 bn (~INR 621 bn on D-3 of last
expiry) is ~8.40% less compared to the previous expiry. Roll cost (cost to long
rollers) levels in stock futures was ~70-72 bps during the course of the day. If
sluggish sentiments continue to prevail, the roll cost levels are likely to come
down next week.
Akin to market wide rollovers, Nifty rollovers were also on the lower side. On the
Nifty front, the OI currently stands at ~INR 149bn (INR 171bn on D-3 of the last
expiry). Low rolls are happening on a lower base (Nifty OI at the start of the
series was the lowest since November, 2006 expiry). Around 17% of the total
Nifty positions have been moved into the February series till date as compared to
29% on D-3 of December expiry. Nifty roll cost for the long rollers which started
the day at ~24 points expanded to ~30 points towards the end. Around 12,690
Nifty contracts got rolled, while ~2,940 contracts were added in the near month.
Sector rollovers have been on the lower side as compared to the previous expiries. FMCG has witnessed reasonably
good rollovers with 30% of the positions shifting into the February series in comparison to the 45% witnessed by D-3
of the December expiry. Counters with prominent rollovers are NTPC (~53%), Tata Steel (~52%) and Cairn India
(~48%). Rollovers have been relatively weak in IT (~18%).
Focus Stock
NTPC (NATP): The stock witnessed 53% of its positions getting rolled into the next series as compared to the
49% positions rolled by D-3 of the previous expiry. NTPC was among the few names that witnessed strong
rollovers. The OI in the counter is ~18.90mn shares and the rolls were happening at a loss of ~88-90bps in
today’s session.
Tata Steel (TATA): Around 52% of the total positions have been rolled into the February series, which is in
line with D-3 of the previous expiry. The counter holds an OI of ~25.94mn shares. With the follow on public
offering taking place, the rolls were happening at a loss (on the back of aggression from the short rollers) of
~28-30 bps in today’s session.
Cairn India (CAIR): Nearly 48% of the positions have got rolled into the February series, which is less than
the 61% rolls witnessed on D-3 of the previous expiry. The stock holds an open interest of ~13.65mn shares
Factors like open offer and upbeat crude oil prices have reignited the long sided interest in the scrip. The
counter was rolling at a profit of ~70-72bps in today’s session
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