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Weak sentiments drag futures OI to a 32 month low
Even on the last day of expiry rollover activity did not pick up as long roll cost continued
to expand with stock futures roll cost at 100-120 bps. With high levels of roll cost, the
long holders of futures preferred to convert the positions into underlying. Market wide
rollover on the last day stands at ~67%. These are less than ~75% rollovers seen on the
last day of the February expiry. The April series will start with market wide future OI of
~INR 376bn as against ~INR 452bn seen at the start of the March expiry (down by
~17%). The market wide futures open interest is the lowest since August, 2009. As
stated above, roll cost levels sky rocketed towards the end. In most of the counters,
levels shot up above 100 bps (cost to long rollers). Large cap names like Reliance
Industries, Infosys, TCS, Bajaj Auto and Hindalco reflected levels exceeding 100 bps.
Rather than aggression from the long side, we believe expanding roll cost mirrored the
increasing funding cost.
Nifty witnessed ~58% positions getting shifted to the April series compared to ~67%
rollovers seen in the last series. From yesterday’s levels of ~46-48 points, Nifty roll cost
(cost to long rollers) shot up to ~53-55 points during the day. Nifty April series would
start with an OI of ~INR 122bn (~468k contracts) as against ~INR 141bn (~508k
contracts) seen at the start of the March series. In today’s trading session ~21k
contracts got rolled while ~66k contracts were added to the April series.
Prominent Sectors
Construction (~82%)
Metals (~80%)
Prominent Stocks
Hindustan Petroleum (87%),
Tata Steel (82%)
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Weak sentiments drag futures OI to a 32 month low
Even on the last day of expiry rollover activity did not pick up as long roll cost continued
to expand with stock futures roll cost at 100-120 bps. With high levels of roll cost, the
long holders of futures preferred to convert the positions into underlying. Market wide
rollover on the last day stands at ~67%. These are less than ~75% rollovers seen on the
last day of the February expiry. The April series will start with market wide future OI of
~INR 376bn as against ~INR 452bn seen at the start of the March expiry (down by
~17%). The market wide futures open interest is the lowest since August, 2009. As
stated above, roll cost levels sky rocketed towards the end. In most of the counters,
levels shot up above 100 bps (cost to long rollers). Large cap names like Reliance
Industries, Infosys, TCS, Bajaj Auto and Hindalco reflected levels exceeding 100 bps.
Rather than aggression from the long side, we believe expanding roll cost mirrored the
increasing funding cost.
Nifty witnessed ~58% positions getting shifted to the April series compared to ~67%
rollovers seen in the last series. From yesterday’s levels of ~46-48 points, Nifty roll cost
(cost to long rollers) shot up to ~53-55 points during the day. Nifty April series would
start with an OI of ~INR 122bn (~468k contracts) as against ~INR 141bn (~508k
contracts) seen at the start of the March series. In today’s trading session ~21k
contracts got rolled while ~66k contracts were added to the April series.
Prominent Sectors
Construction (~82%)
Metals (~80%)
Prominent Stocks
Hindustan Petroleum (87%),
Tata Steel (82%)
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