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On the D-1, ~58% of the market wide futures positions have been rolled over to the
March series which is a tad higher than ~56% rollovers seen on D-1 of January
expiry. Future market holds an OI of ~INR 538bn as compared to ~INR 571bn on D-
1 of January expiry. Roll cost levels in the stock futures (cost to the long rollers)
remained at ~70-75 bps.
Nifty has rolled ~49% of the positions into the next series, which is in line with D-1
of January expiry (~47%). Nifty roll cost contracted further in today’s session. From
yesterday’s levels of ~13-14 points it came down to ~8-9 points today. Nifty holds
an OI of ~596,400 contracts (INR 162bn) as against an OI of ~556,439 contracts
seen on D-1 of January (INR 158bn). Around 87,670 contracts got rolled while
20,419 contracts were squared off in the near month.
On D-1, sugar and FMCG has seen strong rollovers with ~68% and ~66% positions respectively getting rolled over to
the next series. Prominent counters are Balrampur Chini (~75%) and Hindustan Unilever (76%). Telecom and
engineering (~65% each) are the other sectors that have seen strong rolls. Rollovers in metals remain weak with
~53% of the positions being rolled over to the next month.
Focus Stock
Hindustan Petroleum (HPCL): The counter has an open interest of ~3.67mn shares in the near month.
Rollovers stand at ~60%. Near month futures open interest is nearly 3.7 times the average volumes traded in
cash market. Short rolls are happening at a profit of ~70-75 bps. If rollovers fail to gain momentum in
tomorrow’s session, we can expect selling on the back of unwinding of cash futures arbitrage position.
Bharat Heavy Electricals (BHEL): The counter has an open interest of ~2.7mn shares of which ~66% of the
positions have been rolled over to the next series. Rolls are happening at parity. The near month futures open
interest is ~1.25 times the average volumes traded in cash market. We believe that lack of rollovers will
trigger VWAP buying as the reverse arbitrage positions will buyback the cash.
Tata Motors (TTMT): The counter has an open interest of ~10.35mn shares of which 56% of the positions
have been rolled over to the next series. Rolls are happening at a loss of ~65-70 bps to short rollers. The near
month futures open interest is ~1.15 times the average volumes traded in cash market. With the futures
trading at discount for a major part of the month, reverse arbitrage positions have been set up. If the rollovers
stay weak, we can expect VWAP buying.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
On the D-1, ~58% of the market wide futures positions have been rolled over to the
March series which is a tad higher than ~56% rollovers seen on D-1 of January
expiry. Future market holds an OI of ~INR 538bn as compared to ~INR 571bn on D-
1 of January expiry. Roll cost levels in the stock futures (cost to the long rollers)
remained at ~70-75 bps.
Nifty has rolled ~49% of the positions into the next series, which is in line with D-1
of January expiry (~47%). Nifty roll cost contracted further in today’s session. From
yesterday’s levels of ~13-14 points it came down to ~8-9 points today. Nifty holds
an OI of ~596,400 contracts (INR 162bn) as against an OI of ~556,439 contracts
seen on D-1 of January (INR 158bn). Around 87,670 contracts got rolled while
20,419 contracts were squared off in the near month.
On D-1, sugar and FMCG has seen strong rollovers with ~68% and ~66% positions respectively getting rolled over to
the next series. Prominent counters are Balrampur Chini (~75%) and Hindustan Unilever (76%). Telecom and
engineering (~65% each) are the other sectors that have seen strong rolls. Rollovers in metals remain weak with
~53% of the positions being rolled over to the next month.
Focus Stock
Hindustan Petroleum (HPCL): The counter has an open interest of ~3.67mn shares in the near month.
Rollovers stand at ~60%. Near month futures open interest is nearly 3.7 times the average volumes traded in
cash market. Short rolls are happening at a profit of ~70-75 bps. If rollovers fail to gain momentum in
tomorrow’s session, we can expect selling on the back of unwinding of cash futures arbitrage position.
Bharat Heavy Electricals (BHEL): The counter has an open interest of ~2.7mn shares of which ~66% of the
positions have been rolled over to the next series. Rolls are happening at parity. The near month futures open
interest is ~1.25 times the average volumes traded in cash market. We believe that lack of rollovers will
trigger VWAP buying as the reverse arbitrage positions will buyback the cash.
Tata Motors (TTMT): The counter has an open interest of ~10.35mn shares of which 56% of the positions
have been rolled over to the next series. Rolls are happening at a loss of ~65-70 bps to short rollers. The near
month futures open interest is ~1.15 times the average volumes traded in cash market. With the futures
trading at discount for a major part of the month, reverse arbitrage positions have been set up. If the rollovers
stay weak, we can expect VWAP buying.
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