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Rollovers: (D-1 Day): Market-wide roll 63%; Nifty roll 60%
Rollovers gathered pace today. ~63% of the market wide positions have been rolled
over to the January series which is in line with the average of ~62% rollovers seen on
the D-1 of the previous series. Future market holds an OI of ~INR 436bn (OI of ~INR
505bn on D-1 of November expiry). Roll cost levels (cost to the long rollers) in single
stock futures was around 75-80 bps in most of the counters.
Nifty has witnessed rollovers to the tune of ~60% which is higher as compared to the
average of ~56% on the D-1 of previous three expiries. Nifty roll cost (cost to the long
rollers) which was ~17-18 points initially expanded to ~20 points towards the end
indicating long side bias. Nifty holds an OI of ~537k contracts (INR 126bn) as against an
OI of 745k contracts (INR 176bn) on D-1 of previous expiry. Around 42.5k contracts got
rolled while ~32.5k contracts were added in the next series.
Focus Stock
Grasim Industries (GRASIM): ~59% positions have been rolled over to the January
series. Roll cost levels in the counter is ~40-45 bps (cost to short rollers). The open
interest in the near month is ~4.16 times the average daily volumes traded in cash
market. With futures trading at discount for a major part of the month, the
counter has witnessed reverse arbitrage positions. If rollovers stay weak tomorrow
as well, the arbitrageurs will look to buyback cash in tomorrow’s VWAP.
Bank of India (BOI): On the D-1, ~68% positions have been rolled over to the next
series. As the futures were quoting at a discount during the month, reverse
arbitrage positions have been set up. The OI in the near month is ~2.6 times the
average cash volumes. Rolls are happening at ~100-150 bps (cost to short rollers).
If the rollovers don’t pick up tomorrow, we can expect some VWAP buying from
the arbitrage positions.
Power Finance Corp (POWF): ~22% positions have been rolled over to the next
series. The OI in the near month is ~1.26 times the average cash volumes. As the
counter was trading at premium, fresh arbitrage positions have been set up during
the month. Roll cost levels in the counter is ~20-25bps (profit to short rollers). If
rolls stay weak we expect the arbitrage positions to sell cash in tomorrow’s VWAP.
Bajaj Auto (BJAUT): On the D-1, rollovers stand at ~56% which is less than the
average of ~62% rollovers of the last three expiries. Fresh arbitrage positions have
been set up during the month. Current outstanding OI in the near month (0.54mn
shares) is roughly 1.12 times the average cash volumes. The roll cost levels in the
counter is ~45-48 bps (profit to short rollers) which is below the market wide roll
levels. We could see selling pressure if rollovers stay weak tomorrow.
Other focus stocks
o Long side bias (Axis Bank)
o Short side bias (HCL Tech, IFCI and Zee Ltd)
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (D-1 Day): Market-wide roll 63%; Nifty roll 60%
Rollovers gathered pace today. ~63% of the market wide positions have been rolled
over to the January series which is in line with the average of ~62% rollovers seen on
the D-1 of the previous series. Future market holds an OI of ~INR 436bn (OI of ~INR
505bn on D-1 of November expiry). Roll cost levels (cost to the long rollers) in single
stock futures was around 75-80 bps in most of the counters.
Nifty has witnessed rollovers to the tune of ~60% which is higher as compared to the
average of ~56% on the D-1 of previous three expiries. Nifty roll cost (cost to the long
rollers) which was ~17-18 points initially expanded to ~20 points towards the end
indicating long side bias. Nifty holds an OI of ~537k contracts (INR 126bn) as against an
OI of 745k contracts (INR 176bn) on D-1 of previous expiry. Around 42.5k contracts got
rolled while ~32.5k contracts were added in the next series.
Focus Stock
Grasim Industries (GRASIM): ~59% positions have been rolled over to the January
series. Roll cost levels in the counter is ~40-45 bps (cost to short rollers). The open
interest in the near month is ~4.16 times the average daily volumes traded in cash
market. With futures trading at discount for a major part of the month, the
counter has witnessed reverse arbitrage positions. If rollovers stay weak tomorrow
as well, the arbitrageurs will look to buyback cash in tomorrow’s VWAP.
Bank of India (BOI): On the D-1, ~68% positions have been rolled over to the next
series. As the futures were quoting at a discount during the month, reverse
arbitrage positions have been set up. The OI in the near month is ~2.6 times the
average cash volumes. Rolls are happening at ~100-150 bps (cost to short rollers).
If the rollovers don’t pick up tomorrow, we can expect some VWAP buying from
the arbitrage positions.
Power Finance Corp (POWF): ~22% positions have been rolled over to the next
series. The OI in the near month is ~1.26 times the average cash volumes. As the
counter was trading at premium, fresh arbitrage positions have been set up during
the month. Roll cost levels in the counter is ~20-25bps (profit to short rollers). If
rolls stay weak we expect the arbitrage positions to sell cash in tomorrow’s VWAP.
Bajaj Auto (BJAUT): On the D-1, rollovers stand at ~56% which is less than the
average of ~62% rollovers of the last three expiries. Fresh arbitrage positions have
been set up during the month. Current outstanding OI in the near month (0.54mn
shares) is roughly 1.12 times the average cash volumes. The roll cost levels in the
counter is ~45-48 bps (profit to short rollers) which is below the market wide roll
levels. We could see selling pressure if rollovers stay weak tomorrow.
Other focus stocks
o Long side bias (Axis Bank)
o Short side bias (HCL Tech, IFCI and Zee Ltd)
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