Rollover activity in line with average… • ICICI Sec

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Rollover activity in line with average…
• Nifty rolls were observed at 70.88%,better than the 3M average of 66.08%
• Market wide rollover was observed at 84.32%vs. 3M average of 85.54%
• Sectorally, the finance, automobile, infra and oil & gas space observed highest
rollover of positions while the telecom, capital goods, banking and technology
sector as a whole witnessed low rolls
• Highest rollover was observed in stocks like McLeod Russel, JSW Steel, Hind
Petro, Cairn and Reliance Communication
• Lower rollover was seen in stocks like Chambal Fertilizer, Indian Bank, Oriental
Bank, Petronet and Hero MotoCorp
• Index heavyweights like NTPC, Tata Motors, Maruti, Reliance and DLF saw better
rollover of positions into the September series. However, none of the index
components observed less than 70% rollover into the September series
• The Nifty September series is starting with futures OI of 21.6 million shares. The
number of shares is highest since the inception of the May series. At the same
time, most of the index components have observed better rollover of positions.
Stocks like Axis Bank, PNB, Infosys and HDFC Bank are also starting with higher
than average open interest