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Rollovers: (D-2 Days): Market-wide roll 52%; Nifty roll 49%
It was yet another lackluster session marked by low volumes. Nifty ended the day lower
by ~0.6%. On the D-2, market wide rollovers into the January series accounted for
~52%. This is higher than the average of ~49% rollovers seen in the previous three
expiries. Current market wide futures OI stands at ~INR 435 bn compared with an OI of
~INR 515 bn on the D-2 of November expiry. Roll cost (cost to long rollers) in single
stock futures was around 75-80 bps. We strongly believe that the increasing NDF cost (1
Month Fwd ~50-55points) has resulted in the expansion of the roll levels.
On the Nifty front, around 49% of outstanding positions have been rolled over to
January series as against the average rollovers of 45% for the last three series. The
current Nifty OI stands at 503k contracts (INR 120 bn) compared to 714k contracts (INR
173 bn) on D-2 of November expiry. Around 41.5k Nifty contracts were rolled over
while ~3.2 k contracts were squared off in the near month. Nifty roll cost (cost to long
rollers) came down to ~17-18 points today from yesterday’s levels of ~20-21 points.
Sectors with strong rollovers were metals (~56%), banking and auto (~55% each). Counters
where rolls have picked up are Wipro (45%/25%), Jindal Steel (40%/26%) and TCS
(50%/34%). Cement (~40%) has seen weak rollovers.
Focus Stock
Wipro (WPRO): Nearly 45% of the positions have got rolled into the next series as
against 25% yesterday. The open interest is currently ~4.08mn shares. Short rollers
have been aggressive in the counter. Roll levels in today’s session was ~40-45 bps
(profit to short rollers).
Jindal Steel & Power (JSP): Nearly 40% of the positions have got rolled into the
next series as against 26% yesterday. The counter holds an open interest of
~5.2mn shares. Long rollers have been aggressive in the counter with roll levels
touching ~70-75 bps (profit to the short rollers) in today’s session.
TCS (TCS): Rollovers gathered momentum in today’s session with ~50% positions
getting rolled over to the January series as compared to 34% yesterday. The
counter holds an OI of ~6.91mn shares. Roll cost levels in the counter was ~30-35
bps (profit to short rollers) during the day.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (D-2 Days): Market-wide roll 52%; Nifty roll 49%
It was yet another lackluster session marked by low volumes. Nifty ended the day lower
by ~0.6%. On the D-2, market wide rollovers into the January series accounted for
~52%. This is higher than the average of ~49% rollovers seen in the previous three
expiries. Current market wide futures OI stands at ~INR 435 bn compared with an OI of
~INR 515 bn on the D-2 of November expiry. Roll cost (cost to long rollers) in single
stock futures was around 75-80 bps. We strongly believe that the increasing NDF cost (1
Month Fwd ~50-55points) has resulted in the expansion of the roll levels.
On the Nifty front, around 49% of outstanding positions have been rolled over to
January series as against the average rollovers of 45% for the last three series. The
current Nifty OI stands at 503k contracts (INR 120 bn) compared to 714k contracts (INR
173 bn) on D-2 of November expiry. Around 41.5k Nifty contracts were rolled over
while ~3.2 k contracts were squared off in the near month. Nifty roll cost (cost to long
rollers) came down to ~17-18 points today from yesterday’s levels of ~20-21 points.
Sectors with strong rollovers were metals (~56%), banking and auto (~55% each). Counters
where rolls have picked up are Wipro (45%/25%), Jindal Steel (40%/26%) and TCS
(50%/34%). Cement (~40%) has seen weak rollovers.
Focus Stock
Wipro (WPRO): Nearly 45% of the positions have got rolled into the next series as
against 25% yesterday. The open interest is currently ~4.08mn shares. Short rollers
have been aggressive in the counter. Roll levels in today’s session was ~40-45 bps
(profit to short rollers).
Jindal Steel & Power (JSP): Nearly 40% of the positions have got rolled into the
next series as against 26% yesterday. The counter holds an open interest of
~5.2mn shares. Long rollers have been aggressive in the counter with roll levels
touching ~70-75 bps (profit to the short rollers) in today’s session.
TCS (TCS): Rollovers gathered momentum in today’s session with ~50% positions
getting rolled over to the January series as compared to 34% yesterday. The
counter holds an OI of ~6.91mn shares. Roll cost levels in the counter was ~30-35
bps (profit to short rollers) during the day.
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