Please Share:: 
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (Expiry day): Market-wide roll 75%; Nifty roll 67%
Nifty movement today was reminiscent of expiry day volatility. The benchmark index
settled below the 5500 levels. However as most of the positions were either unwound
or rolled over to the next series, we witnessed a muted VWAP session today. Market
wide rollover on the last day stands at ~75%. These rollovers are fairly in line with the
average three months rollovers of ~76%. The March series will start with market wide
future OI of ~INR 452bn as against ~INR 425bn seen at the start of the February expiry.
In line with the trend seen this expiry, roll cost levels in single stock futures continued
to expand today as well. Most of the counters reflected roll levels of ~95-100 bps (cost
to long rollers). The high roll cost made the long rollers convert the futures positions
into underlying.
Nifty witnessed ~67% positions getting shifted to the March series which is in line with
the average of ~68% rollovers for the last three expiries. Nifty roll cost (cost to long
rollers) also stayed at elevated levels of ~41-43 points during the day. Nifty March
series would start with an OI of ~INR 141bn (~INR 130bn in February series). At the start
of the March series, Nifty holds an OI of ~508K contracts (~501k contracts in February).
In today’s trading session ~69k contracts got rolled while ~2.7k contracts were
unwound in the February series.
Prominent Sectors
Telecom (~85%)
Power and metals (~84%)
Prominent Stocks
JSW Steel (92%),
HDFC (87%)
NTPC (86%)
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (Expiry day): Market-wide roll 75%; Nifty roll 67%
Nifty movement today was reminiscent of expiry day volatility. The benchmark index
settled below the 5500 levels. However as most of the positions were either unwound
or rolled over to the next series, we witnessed a muted VWAP session today. Market
wide rollover on the last day stands at ~75%. These rollovers are fairly in line with the
average three months rollovers of ~76%. The March series will start with market wide
future OI of ~INR 452bn as against ~INR 425bn seen at the start of the February expiry.
In line with the trend seen this expiry, roll cost levels in single stock futures continued
to expand today as well. Most of the counters reflected roll levels of ~95-100 bps (cost
to long rollers). The high roll cost made the long rollers convert the futures positions
into underlying.
Nifty witnessed ~67% positions getting shifted to the March series which is in line with
the average of ~68% rollovers for the last three expiries. Nifty roll cost (cost to long
rollers) also stayed at elevated levels of ~41-43 points during the day. Nifty March
series would start with an OI of ~INR 141bn (~INR 130bn in February series). At the start
of the March series, Nifty holds an OI of ~508K contracts (~501k contracts in February).
In today’s trading session ~69k contracts got rolled while ~2.7k contracts were
unwound in the February series.
Prominent Sectors
Telecom (~85%)
Power and metals (~84%)
Prominent Stocks
JSW Steel (92%),
HDFC (87%)
NTPC (86%)
No comments:
Post a Comment