Rollovers: (D-2 Days): Market-wide roll 44%; Nifty roll 36%

§  Continuing yesterday’s positive momentum, Nifty closed at its highest level today. Leadership was wrested by INFO, ITC, LT, MSIL and AXSB. With 11000 Puts holding the highest open interest, this steady pace of rise looks likely to culminate near 11300 levels. All the price action centered around the cement names (ACC, ACEM and UTCEM) which exhibited strong signs of bottoming out after a prolonged spell of weakness.

§  Rollovers have gained momentum today with market-wide rollovers moving to 44% which pretty higher compared to average rollovers (last three series) of 39%. Market wide futures OI stands at ~INR 1.67tn compared with an OI of ~INR 1.73tn on the D-2 of June expiry. Average roll levels continued to expand and were around the 55-58 bps (cost to long roller) as against 50-52bps yesterday. Long roll aggression aptly sums up the market mood.

§  Rollover activity was vigorous in stocks eligible for physical settlement, where in-spite of two days left for the series to expire, average rollovers in these names has touched ~60%. Nifty also saw higher than the average rollovers of 36% (average rollovers of 28% in the last three series). Nifty future holds an OI of 29.29mn shares (INR 326bn) as compared to 27.8mn shares (INR 299bn) on D-2 of June expiry. Nifty futures roll levels went further up to 32bps (cost to long roller adjusted to dividend of 10 points). Around 50.77k Nifty contracts were rolled while ~6.9k contracts were added in the next month.

§  Rollover activity saw pick up in Cements (42%/21%), Pharma (47%/26%) and Banking (47%/29% on the D-2. Counters where rolls have picked up are ARBP (60%/28%), ONGC (48%/18%) and Z (42%/13%).



Stocks with uptick in rollover activity on the D-2

§  Aurobindo Pharma (ARBP IN): Rollovers on the D-2 moved to 60% as against 28% on D-3. Total open interest in the counter is currently at 19.6mn shares with 7.9mn shares in the near month. Roll levels were ~50bps (profit to short rollers) during the day.

§  Oil & Natural Gas Corporation (ONGC IN): Rollovers stand at 48% as compared to 18% yesterday. The counter holds an OI of ~38.1mn shares with 19.68mn shares in the near month. Roll levels during the day were lower at ~35bps (profit to short rollers).

§  Zee Entertainment (Z IN): Rollovers stand at ~42% as compared to 13% on D-3. The counter holds an OI of ~9.65mn shares with near month OI at 5.55mn shares. Roll levels during the day were ~49bps (profit to short rollers).