ROLLOVER ANALYSIS Rollovers update: D-2 day :Edelweiss

Rollovers: (D-2 Days): Market-wide roll 47%; Nifty roll 44%
After yesterday’s frenzied selling, Nifty had a quiet session and settled on a flat note.
On the D-2, market-wide rollovers stand at ~47% which is fairly in line with rollovers of
~46% on the D-2 of the May expiry. Market wide futures OI stands at ~INR 476bn
compared with an OI of ~INR 449bn on the D-2 of May expiry. On the back of short
aggression, roll cost levels (cost to long rollers) in stock futures came down in today’s
session. The market wide roll cost levels averaged ~75-85bps.

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Nifty rollovers on the D-2 stands at ~44% as compared to ~38% last expiry. Nifty holds
an OI of 543k contracts (INR 140bn) compared to 527k contracts (INR 131bn) on D-2 of
May expiry. Around 40k Nifty contracts were rolled over while ~26k contracts were
added in the next month. Nifty roll cost (cost to long rollers) during the day was ~20.5-
21.5 points. Dividend impact in Nifty futures roll for the next month is ~11 points.


Rollover activity in telecom (50%/30%), metals (55%/37%) and auto (51%/33%) gathered
momentum on the D-2. Counters where rolls have picked up are TCS (66%/40%), Bajaj Auto
(52%/29%) and M&M (50%/24%). Cement (~44%) has seen weak rollovers on the D-2.
Stocks with uptick in rollover activity on the D-2
TCS (TCS IN): On the D-2, the stock has witnessed good pick up in the rollover
activity. Nearly 66% of the positions got rolled into the next series as against 40%
on D-3. The open interest is currently ~5.89mn shares. Roll cost level in the
counter was ~35-45 bps (profit to short rollers) during the day.
Bajaj Auto (BJAUT IN): Rollovers gathered momentum in today’s session with
~52% positions getting rolled over to the July series as compared to 29% on D-3.
The counter holds an OI of ~1.42mn shares. After starting the day at ~80 bps
(profit to short roller considering dividend) roll cost levels went down to ~65 bps.
However later it recovered back to ~75 bps.
Mahindra & Mahindra (MM IN): Rollovers picked up in today’s session with ~50%
positions getting rolled over to the July series as compared to 24% on D-3. The
counter holds an OI of ~4.65mn shares. Roll cost levels (profit to short roller
considering dividend) during the day averaged ~55-60 bps.