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Rollovers: (D-3 Days): Market-wide roll 43%; Nifty roll 40%
With most of the major markets shut, Nifty moved up amidst sparse volumes. On the D-
3 day, ~43% of the market wide positions have been rolled over to the January series.
This is higher than the ~33% positions getting rolled over on the D-3 of November
series. Market wide futures OI currently stands at ~INR 442 bn (~INR 507 bn on D-3 of
last expiry). Akin to the November expiry, roll cost levels in the single stock futures is on
the higher side. In most of the names, roll cost (cost to long rollers) levels were ~75-80
bps.
On the Nifty front, the OI currently stands at ~INR 121 bn (~INR 164 bn on D-3 of the
last expiry). Around ~40% of the total Nifty positions have been moved into the January
series till date which is higher compared to ~33% on the D-3 of November expiry. Nifty
roll cost for the long rollers was ~20-21 points during the day. ~23k Nifty contracts got
rolled, while ~1.5K contracts were added in the mid month.
Among the sectors, engineering (~48%), metals and banks (~47%) have
witnessed good rollovers. Counters with prominent rollovers are JSW Steel
(~68%), NTPC (~64%) and Tata Steel (~60%). Rollovers in pharma (~25%) have
been weak on the D-3.
Focus Stock
JSW Steel (JSTL): The counter has seen strong rollovers with ~68% of
open positions getting rolled into the next series (~58% on the D-3 of
November expiry). The OI in the counter is ~8.69 mn shares. Long
rollers have been aggressive in the counter. The roll cost levels in the
counter was ~80-85 bps (profit to short roller) during the day.
NTPC (NTPC): On the D-3, ~64% positions have been rolled over to the
January series (~53% on D-3 of the last expiry). The counter holds an OI
of ~16.42 mn shares. During the course of the month, counter has
witnessed short positions. This was quite evident from the subdued roll
cost level which was ~45-50 bps (profit to short roller) in today’s
session.
Tata Steel (TATA): The stock has witnessed ~60% of its positions getting
rolled into the next series (~52% on the D-3 of the November expiry).
The OI in the counter is ~23.05 mn shares. Although the roll levels in
the counter recovered towards the end, short rollers had an upper
hand for the major part of the day. Roll levels today was ~80 bps cost to
short rollers.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (D-3 Days): Market-wide roll 43%; Nifty roll 40%
With most of the major markets shut, Nifty moved up amidst sparse volumes. On the D-
3 day, ~43% of the market wide positions have been rolled over to the January series.
This is higher than the ~33% positions getting rolled over on the D-3 of November
series. Market wide futures OI currently stands at ~INR 442 bn (~INR 507 bn on D-3 of
last expiry). Akin to the November expiry, roll cost levels in the single stock futures is on
the higher side. In most of the names, roll cost (cost to long rollers) levels were ~75-80
bps.
On the Nifty front, the OI currently stands at ~INR 121 bn (~INR 164 bn on D-3 of the
last expiry). Around ~40% of the total Nifty positions have been moved into the January
series till date which is higher compared to ~33% on the D-3 of November expiry. Nifty
roll cost for the long rollers was ~20-21 points during the day. ~23k Nifty contracts got
rolled, while ~1.5K contracts were added in the mid month.
Among the sectors, engineering (~48%), metals and banks (~47%) have
witnessed good rollovers. Counters with prominent rollovers are JSW Steel
(~68%), NTPC (~64%) and Tata Steel (~60%). Rollovers in pharma (~25%) have
been weak on the D-3.
Focus Stock
JSW Steel (JSTL): The counter has seen strong rollovers with ~68% of
open positions getting rolled into the next series (~58% on the D-3 of
November expiry). The OI in the counter is ~8.69 mn shares. Long
rollers have been aggressive in the counter. The roll cost levels in the
counter was ~80-85 bps (profit to short roller) during the day.
NTPC (NTPC): On the D-3, ~64% positions have been rolled over to the
January series (~53% on D-3 of the last expiry). The counter holds an OI
of ~16.42 mn shares. During the course of the month, counter has
witnessed short positions. This was quite evident from the subdued roll
cost level which was ~45-50 bps (profit to short roller) in today’s
session.
Tata Steel (TATA): The stock has witnessed ~60% of its positions getting
rolled into the next series (~52% on the D-3 of the November expiry).
The OI in the counter is ~23.05 mn shares. Although the roll levels in
the counter recovered towards the end, short rollers had an upper
hand for the major part of the day. Roll levels today was ~80 bps cost to
short rollers.
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