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On the D-1, ~63% of the market wide futures positions have been rolled over to the
April series which is higher than ~58% rollovers seen on D-1 of February expiry.
Future market holds an OI of ~INR 588bn as compared to ~INR 538bn on D-1 of
February expiry. From yesterday’s levels of ~75bps, the roll cost levels in the stock
futures (cost to the long rollers) expanded to ~80bps.
Nifty has rolled ~59% of the positions into the next series, which is higher when
compared to D-1 of February expiry (~47%). Nifty roll cost expanded further in
today’s session. From yesterday’s levels of ~28-30 points it went up to ~35 points
today. Nifty holds an OI of ~703,738 contracts (INR 204bn) as against an OI of
~596,400 contracts seen on D-1 of February (INR 162bn). Around 48,200 contracts
got rolled while 27,722 contracts were added in the near month.
On D-1, telecom and power have seen strong rollovers with ~75% and ~72% positions respectively getting rolled over
to the next series. Prominent counters are Bharti Airtel (~72%) and NTPC (71%). Rollovers in auto remain weak with
~56% of the positions being rolled over to the next month.
Focus Stock
Hero Honda (HH): The counter has an open interest of ~0.86mn shares in the near month. Rollovers stand
at ~63%. Near month futures open interest is nearly 1.2 times the average volumes traded in cash market.
Short rolls are happening at a loss of ~28-30 bps. 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.
Siemens (SIEM): On D-1, ~58% of the open positions have been rolled over to the next series. The counter
has an open interest of ~4mn shares and the near month futures open interest is nearly 3.5 times the average
cash volumes. The counter has witnessed reverse arbitrage positions during the month. We believe that lack of
rollovers will trigger VWAP buying as the reverse arbitrage positions will buyback the cash.
Bharat Petroleum (BPCL): Rollovers into the next series has been ~54%. The counter has been trading at
premium throughout the month. Near month futures open interest is nearly 0.9 times the average volumes
traded in cash market. Short rolls are happening at a profit of ~68-70 bps. Fresh arbitrage positions have been
set up during the month. If rollovers stay weak, we can expect VWAP selling in the counter in tomorrow’s
session.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
On the D-1, ~63% of the market wide futures positions have been rolled over to the
April series which is higher than ~58% rollovers seen on D-1 of February expiry.
Future market holds an OI of ~INR 588bn as compared to ~INR 538bn on D-1 of
February expiry. From yesterday’s levels of ~75bps, the roll cost levels in the stock
futures (cost to the long rollers) expanded to ~80bps.
Nifty has rolled ~59% of the positions into the next series, which is higher when
compared to D-1 of February expiry (~47%). Nifty roll cost expanded further in
today’s session. From yesterday’s levels of ~28-30 points it went up to ~35 points
today. Nifty holds an OI of ~703,738 contracts (INR 204bn) as against an OI of
~596,400 contracts seen on D-1 of February (INR 162bn). Around 48,200 contracts
got rolled while 27,722 contracts were added in the near month.
On D-1, telecom and power have seen strong rollovers with ~75% and ~72% positions respectively getting rolled over
to the next series. Prominent counters are Bharti Airtel (~72%) and NTPC (71%). Rollovers in auto remain weak with
~56% of the positions being rolled over to the next month.
Focus Stock
Hero Honda (HH): The counter has an open interest of ~0.86mn shares in the near month. Rollovers stand
at ~63%. Near month futures open interest is nearly 1.2 times the average volumes traded in cash market.
Short rolls are happening at a loss of ~28-30 bps. 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.
Siemens (SIEM): On D-1, ~58% of the open positions have been rolled over to the next series. The counter
has an open interest of ~4mn shares and the near month futures open interest is nearly 3.5 times the average
cash volumes. The counter has witnessed reverse arbitrage positions during the month. We believe that lack of
rollovers will trigger VWAP buying as the reverse arbitrage positions will buyback the cash.
Bharat Petroleum (BPCL): Rollovers into the next series has been ~54%. The counter has been trading at
premium throughout the month. Near month futures open interest is nearly 0.9 times the average volumes
traded in cash market. Short rolls are happening at a profit of ~68-70 bps. Fresh arbitrage positions have been
set up during the month. If rollovers stay weak, we can expect VWAP selling in the counter in tomorrow’s
session.
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