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With two days to go for the expiry, rollovers gained momentum in today’s
session. On the market wide front, ~41% of the positions have been rolled over
to the March series (~37% on D-2 of January series). Current market wide
futures OI stands at ~INR 560 bn as against ~INR 581 bn on D-2 of January
expiry. Roll cost levels in single stock futures stayed at yesterday’s levels of ~70-
75 bps (cost to the long rollers).
Around 34% of outstanding positions of Nifty have been rolled over to March
series as against the 31% positions that were rolled by D-2 of previous expiry.
The current Nifty OI stands at 616,355 contracts (INR 169 bn) compared to
530,237 contracts (INR 152 bn) on D-2 of January expiry. Around 51,351 Nifty
contracts got rolled today while ~7,300 contracts were unwound in the near
month. From yesterday’s levels of ~18-19 points, Nifty roll cost (cost to the long
rollers) contracted further to ~13-14 points today.
Sectors with strong rollovers were telecom (51%), FMCG and construction (48% each). Prominent counters are Bharti
Airtel (52%), Dabur (55%) and DLF (61%). Counters where rolls have picked up are Reliance Infra (46%/20%), Hero
Honda (42%/18%) and BHEL (51%/31%). Metals (37%) and banking (40%) were the laggards on D-2.
Focus Stocks
Reliance Infra (RELI): The counter witnessed a rise in the rollovers with overall 46% of the futures positions
getting rolled into the next series as against 20% yesterday. It currently holds a total OI of ~5.8mn shares
Roll cost levels are at ~75-78 bps (profit to short rollers).
Hero Honda (HH): Nearly 42% of the positions have got rolled into the next series as against 18%
yesterday. The open interest is currently ~2.41mn shares. On the back of aggression from the short side, the
counter rolled at a loss of ~35-40bps.
BHEL (BHEL): As compared to previous session’s rollover of 31%, the counter witnessed pick up in rollover
activity in today’s session. Around 51% positions have been rolled over to the March series and it holds an OI
of ~2.58mn shares. Rolls are happening at around parity levels.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
With two days to go for the expiry, rollovers gained momentum in today’s
session. On the market wide front, ~41% of the positions have been rolled over
to the March series (~37% on D-2 of January series). Current market wide
futures OI stands at ~INR 560 bn as against ~INR 581 bn on D-2 of January
expiry. Roll cost levels in single stock futures stayed at yesterday’s levels of ~70-
75 bps (cost to the long rollers).
Around 34% of outstanding positions of Nifty have been rolled over to March
series as against the 31% positions that were rolled by D-2 of previous expiry.
The current Nifty OI stands at 616,355 contracts (INR 169 bn) compared to
530,237 contracts (INR 152 bn) on D-2 of January expiry. Around 51,351 Nifty
contracts got rolled today while ~7,300 contracts were unwound in the near
month. From yesterday’s levels of ~18-19 points, Nifty roll cost (cost to the long
rollers) contracted further to ~13-14 points today.
Sectors with strong rollovers were telecom (51%), FMCG and construction (48% each). Prominent counters are Bharti
Airtel (52%), Dabur (55%) and DLF (61%). Counters where rolls have picked up are Reliance Infra (46%/20%), Hero
Honda (42%/18%) and BHEL (51%/31%). Metals (37%) and banking (40%) were the laggards on D-2.
Focus Stocks
Reliance Infra (RELI): The counter witnessed a rise in the rollovers with overall 46% of the futures positions
getting rolled into the next series as against 20% yesterday. It currently holds a total OI of ~5.8mn shares
Roll cost levels are at ~75-78 bps (profit to short rollers).
Hero Honda (HH): Nearly 42% of the positions have got rolled into the next series as against 18%
yesterday. The open interest is currently ~2.41mn shares. On the back of aggression from the short side, the
counter rolled at a loss of ~35-40bps.
BHEL (BHEL): As compared to previous session’s rollover of 31%, the counter witnessed pick up in rollover
activity in today’s session. Around 51% positions have been rolled over to the March series and it holds an OI
of ~2.58mn shares. Rolls are happening at around parity levels.
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