*Rollovers: (D-2 Days): Market-wide roll 45%; Nifty roll 37%*

▪Building on yesterday’s solid gains, Nifty surpassed the 11700 mark with ease. Major drivers were RIL, HDFC, HDFCB, TCS, INFO and KMB. After a brief spell of profit taking, HDFC twins now appear ripe to take the baton in next leg up. Apart from RIL, banks and IT have been prominent movers in this rally. The underlying strength can be gauged from the fact that Nifty OI PCR at 11700 strike stands at 1.6 (aggressive put writing pointing towards limited downsides).

▪Rollovers continued in its full fervour with market-wide rollovers moving to 45% which higher compared to average rollovers (last three series) of 41%. Market wide futures OI stands at ~INR 1.9tn compared with an OI of ~INR 1.67tn on the D-2 of July expiry. Average roll levels were around the 53-55 bps (cost to long roller). Elevated roll levels coupled with higher rollovers aptly sums up the market mood.

▪Nifty also saw higher than the average rollovers of 37% (average rollovers of 31% in the last three series). Nifty future holds an OI of 34.65mn shares (INR 407bn) as compared to 29.3mn shares (INR 326bn) on D-2 of June expiry. Nifty futures roll levels went further up to 36-38bps (cost to long roller adjusted to dividend of 7 points). Around 61.8k Nifty contracts were rolled while ~9k contracts were unwound in the near month. Rollover activity saw pick up in FMCG (24%/45%), Metals (53%/33%) and IT (48%/29% on the D-2. Counters where rolls have picked up are ONGC (58%/15%), HNDL (49%/14%) and Z (49%/16%).

*Stocks with uptick in rollover activity on the D-2*

*Oil & Natural Gas Corporation (ONGC IN):* Rollovers stand at 58% as compared to 15% yesterday. The counter holds an OI of 44.8mn shares with 18.75mn shares in the near month. Roll levels during the day were lower at ~-33bps (cost to short rollers unadjusted for expected dividend).

*Hindalco (HNDL IN):* Rollovers on the D-2 moved to 49% as against 14% on D-3. Total open interest in the counter is currently at 44.4mn shares with 22.5mn shares in the near month. Roll levels were ~48bps (profit to short rollers) during the day.

*Zee Entertainment (Z IN):* Rollovers stand at ~49% as compared to 16% on D-3. The counter holds an OI of ~10.8mn shares with near month OI at 5.45mn shares. Roll levels during the day were ~49bps (profit to short rollers).