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Rollovers: (D-1 Day): Market-wide roll 55%; Nifty roll 52%
Downtrend in Nifty continued. However recovery towards the fag end enabled it to
gain some of the lost ground. ~55% of the market wide positions have been rolled over
to the April series as against rollovers of ~62% seen on the D-1 of the previous series.
Future market holds an OI of ~INR 534bn (OI of ~INR 601bn on D-1 of February expiry).
The standout feature was the robust expansion in roll cost levels in both large as well as
the mid caps. Average roll cost levels in the market was ~95-100 bps (cost to long
rollers). Roll cost levels in prominent Nifty names like Reliance Industries, Wipro, TCS,
ITC and ONGC shot up to ~95-100 bps on the back of increasing funding and hedging
cost overseas.
Nifty has witnessed rollovers to the tune of ~52% which is less than the ~58% on the D-
1 of the February series. Since the start of the series, Nifty OI has increased by ~227k
contracts (~45%). Akin to the market, Nifty roll cost (cost to the long rollers) has also
expanded. It was between 46 and 48 points (~95bps) during the day. Nifty holds an OI
of ~735k contracts (INR 193bn) as against an OI of 751k contracts (INR 209bn) on D-1 of
previous expiry. Around 27k contracts got rolled while ~31k contracts were added in
the next series.
With rollovers in most of the front line names being on the weaker side, we sense an unwinding pressure tomorrow with a
likelihood of Nifty testing its 200DMA at 5150. Despite of high roll levels, rollovers in many large cap names has not caught up.
Rollovers in heavyweights like banks and IT has been on the lower side.
Notable point is that since the budget announcement we have witnessed unwinding in most of the front line names like Yes
Bank, Maruti, HCL Tech.
Fresh shorts have been witnessed in real estate and construction stocks with open interest in HDIL up by 31% and price
correcting by 17% in past 8 days followed by NAGARCONST (OI up 28%; price down 14%).
Voltas open interest has shot up by 73% with a price drop of 18%
Focus Stock
Mahindra & Mahindra (MM): ~59% positions have been rolled over to the April
series. Roll levels came off in today’s session from ~70 bps to ~50 bps (profit to
short rollers). The open interest in the near month is ~0.79 times the average daily
volumes traded in cash market. With futures quoting at premium since the
beginning of Mar expiry, fresh arbitrage positions have been initiated during the
month. If roll levels remain subdued tomorrow, the arbitrage positions will look to
unwind the positions by selling the cash in the VWAP session.
State Bank of India (SBIN): Rollovers on the D-1 stands at ~57%. The roll cost levels
(~50-55 bps) have been below the market wide levels. Near month open interest is
~0.7 times the average daily volumes traded in cash market Positions are
prominently fresh arbitrage positions and low roll levels can induce selling
pressure in the VWAP tomorrow.
ICICI Bank (ICICIBC): Rollovers have been weak with ~49% getting rolled over to
the next series. With futures trading at a premium, fresh arbitrage positions have
been initiated this month. However the roll levels have shrunk during the course of
the day from ~90 bps to ~78 bps (profit to short rollers). If rollovers stay weak
tomorrow as well, the arbitrage’ positions will look to sell the cash in the VWAP.
Other stocks moving out of the F&O tomorrow
• Everest Kanto Cylinders (EKCL)
• Deccan Chronicle Holdings (DECH)
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Rollovers: (D-1 Day): Market-wide roll 55%; Nifty roll 52%
Downtrend in Nifty continued. However recovery towards the fag end enabled it to
gain some of the lost ground. ~55% of the market wide positions have been rolled over
to the April series as against rollovers of ~62% seen on the D-1 of the previous series.
Future market holds an OI of ~INR 534bn (OI of ~INR 601bn on D-1 of February expiry).
The standout feature was the robust expansion in roll cost levels in both large as well as
the mid caps. Average roll cost levels in the market was ~95-100 bps (cost to long
rollers). Roll cost levels in prominent Nifty names like Reliance Industries, Wipro, TCS,
ITC and ONGC shot up to ~95-100 bps on the back of increasing funding and hedging
cost overseas.
Nifty has witnessed rollovers to the tune of ~52% which is less than the ~58% on the D-
1 of the February series. Since the start of the series, Nifty OI has increased by ~227k
contracts (~45%). Akin to the market, Nifty roll cost (cost to the long rollers) has also
expanded. It was between 46 and 48 points (~95bps) during the day. Nifty holds an OI
of ~735k contracts (INR 193bn) as against an OI of 751k contracts (INR 209bn) on D-1 of
previous expiry. Around 27k contracts got rolled while ~31k contracts were added in
the next series.
With rollovers in most of the front line names being on the weaker side, we sense an unwinding pressure tomorrow with a
likelihood of Nifty testing its 200DMA at 5150. Despite of high roll levels, rollovers in many large cap names has not caught up.
Rollovers in heavyweights like banks and IT has been on the lower side.
Notable point is that since the budget announcement we have witnessed unwinding in most of the front line names like Yes
Bank, Maruti, HCL Tech.
Fresh shorts have been witnessed in real estate and construction stocks with open interest in HDIL up by 31% and price
correcting by 17% in past 8 days followed by NAGARCONST (OI up 28%; price down 14%).
Voltas open interest has shot up by 73% with a price drop of 18%
Focus Stock
Mahindra & Mahindra (MM): ~59% positions have been rolled over to the April
series. Roll levels came off in today’s session from ~70 bps to ~50 bps (profit to
short rollers). The open interest in the near month is ~0.79 times the average daily
volumes traded in cash market. With futures quoting at premium since the
beginning of Mar expiry, fresh arbitrage positions have been initiated during the
month. If roll levels remain subdued tomorrow, the arbitrage positions will look to
unwind the positions by selling the cash in the VWAP session.
State Bank of India (SBIN): Rollovers on the D-1 stands at ~57%. The roll cost levels
(~50-55 bps) have been below the market wide levels. Near month open interest is
~0.7 times the average daily volumes traded in cash market Positions are
prominently fresh arbitrage positions and low roll levels can induce selling
pressure in the VWAP tomorrow.
ICICI Bank (ICICIBC): Rollovers have been weak with ~49% getting rolled over to
the next series. With futures trading at a premium, fresh arbitrage positions have
been initiated this month. However the roll levels have shrunk during the course of
the day from ~90 bps to ~78 bps (profit to short rollers). If rollovers stay weak
tomorrow as well, the arbitrage’ positions will look to sell the cash in the VWAP.
Other stocks moving out of the F&O tomorrow
• Everest Kanto Cylinders (EKCL)
• Deccan Chronicle Holdings (DECH)
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