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With a truncated trading week, rollover of open positions tried to pick up pace
today. On the market wide front, ~37% of the positions have been rolled over to
the February series (~46% on D-2 of December series). Current market wide
futures OI stands at ~INR 581 bn as against ~INR 634 bn on D-2 of December
expiry. Roll cost levels in single stock futures stayed at Friday’s levels of ~70-75
bps (cost to the long rollers).
Rollovers in Nifty too have been on a lower side. Around 31% of outstanding
positions of Nifty have been rolled over to February series as against the 35%
positions that were rolled by D-2 of previous expiry. The current Nifty OI stands
at 530,237 contracts (INR 152 bn) compared to 579,966 contracts (INR 174 bn)
on D-2 of December expiry. Around 61,492 Nifty contracts got rolled today, while
~11,000 contracts got added in the mid month. With the short rollers getting
aggressive, the roll cost levels in (cost to the long rollers) Nifty contracted to
~20-22 points from previous session levels of ~24-26 points.
Cement (43%), FMCG (42%) and construction (41%) counters have shown strong rollovers. Prominent counters are
Shree Renuka Sugars (48%), HUL (48%) and Unitech (49%). Counters where rolls have picked up are Wipro
(38%/12%), Bharti Airtel (44%/21%) and ZEEL (46%/24%). IT (31%) and banking (32%) were the laggards on D-2.
Focus Stocks
�� Wipro (WPRO): The counter witnessed a rise in the rollovers with overall 38% of the futures positions getting
rolled into the next series as against 12% yesterday. It currently holds a total OI of ~3.9mn shares out of
which ~1.49mn shares have been rolled into the February series. Roll cost levels are at ~60-62 bps (profit to
short rollers).
�� Bharti Airtel (BHARTI): Nearly 44% of the positions have got rolled into the next series as against 21%
yesterday. The open interest is currently ~9.86mn shares. The counter rolled at a profit of ~58-60bps.
�� ZEE (Z): As compared to previous session’s rollover of 24%, the counter witnessed pick up in rollover activity
in today’s session. Around 46% positions have been rolled over to the February series and it holds an OI of
~6.76mn shares. Roll cost levels (profit to short rollers) in the counter was ~30-33 bps which is way below the
market wide levels of ~70-72 bps.
India Equity Research Reports, IPO and Stock News Visit http://indiaer.blogspot.com/ for complete details �� ��
With a truncated trading week, rollover of open positions tried to pick up pace
today. On the market wide front, ~37% of the positions have been rolled over to
the February series (~46% on D-2 of December series). Current market wide
futures OI stands at ~INR 581 bn as against ~INR 634 bn on D-2 of December
expiry. Roll cost levels in single stock futures stayed at Friday’s levels of ~70-75
bps (cost to the long rollers).
Rollovers in Nifty too have been on a lower side. Around 31% of outstanding
positions of Nifty have been rolled over to February series as against the 35%
positions that were rolled by D-2 of previous expiry. The current Nifty OI stands
at 530,237 contracts (INR 152 bn) compared to 579,966 contracts (INR 174 bn)
on D-2 of December expiry. Around 61,492 Nifty contracts got rolled today, while
~11,000 contracts got added in the mid month. With the short rollers getting
aggressive, the roll cost levels in (cost to the long rollers) Nifty contracted to
~20-22 points from previous session levels of ~24-26 points.
Cement (43%), FMCG (42%) and construction (41%) counters have shown strong rollovers. Prominent counters are
Shree Renuka Sugars (48%), HUL (48%) and Unitech (49%). Counters where rolls have picked up are Wipro
(38%/12%), Bharti Airtel (44%/21%) and ZEEL (46%/24%). IT (31%) and banking (32%) were the laggards on D-2.
Focus Stocks
�� Wipro (WPRO): The counter witnessed a rise in the rollovers with overall 38% of the futures positions getting
rolled into the next series as against 12% yesterday. It currently holds a total OI of ~3.9mn shares out of
which ~1.49mn shares have been rolled into the February series. Roll cost levels are at ~60-62 bps (profit to
short rollers).
�� Bharti Airtel (BHARTI): Nearly 44% of the positions have got rolled into the next series as against 21%
yesterday. The open interest is currently ~9.86mn shares. The counter rolled at a profit of ~58-60bps.
�� ZEE (Z): As compared to previous session’s rollover of 24%, the counter witnessed pick up in rollover activity
in today’s session. Around 46% positions have been rolled over to the February series and it holds an OI of
~6.76mn shares. Roll cost levels (profit to short rollers) in the counter was ~30-33 bps which is way below the
market wide levels of ~70-72 bps.
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