Rollover Analysis
Content
Rollover Analysis
September 26, 2013
Rollover Snapshot
Market wide rollover (%)
Nifty Rollover (%)
Nifty Rollover cost (%)
September
58.70
54.63
0.83
August
57.62
44.13
0.33
July
55.91
62.1
0.57
OI Build up in current and mid series
6,200
OI (in millions)
13.7
12.0
20-Sep
13.7
11.6
19-Sep
14.7
8.3
6.4
14.9
5.9
16.2
6,100
23-Sep
24-Sep
25-Sep
6,000
5,900
5,800
Nifty Sep OI
Nifty Oct OI
Nifty Spot
Nifty, stock specific rolls suggest smooth rollover
of short positions, VWAP action unlikely…
• Nifty rolls were at 54.63%, higher than the 3M average of 48.39%
• Market wide rollover was at 58.7%, in line with 3M average of 56.67%
• Sectorally, FMCG, capital goods and technology stocks are witnessing high
rollover of positions while stocks from the infrastructure, media and finance space
are witnessing relatively low rolls into the August series
• Highest rollover was observed in Titan (85%), McDowell (76%), JSW Steel (77%),
Jubilant Foodworks (76%) and McLeod Russel (75%)
• Rollover activity is low among Godrej Industries (26%), Divis Lab (28%), Voltas
(32%), Havells (34%) and GSPL (41%).
• Among index stocks, Maruti (71%), Bhel (70%) and Hindustan Unilever (70%) are
witnessing highs rolls into the October series while Grasim (46%), Tata Steel
(50%) and IDFC (51%) are observing low rollover into the October series
• Rollover in Nifty future shot up to 55% a day prior to the settlement clearly
indicating the higher rolls pattern. Despite the roll spread coming down to 49
points from 53 points of the penultimate session, the spread remains high and
further increase in the spread cannot be ruled out. Looking at the lower open
interest of 11.9 million shares in Nifty futures and high degree of rollover among
index heavyweights, VWAP action may not be seen during settlement
Sectoral rollovers
High Rollover
However, some of the heavyweights like Tata Steel, Wipro and
Reliance still hold noteworthy open interest in the September
series. Majority of the positions were on the short side and
witnessed forward arbitrage during the month. Hence, a round
of selling pressure among these stocks cannot be ruled out
during settlement
Among midcaps, Divis Lab, Andhra Bank and Godrej Industries
still have noteworthy open interest left in the September
series. Despite favourable roll cost, roll activities are not
picking up among these stocks. Hence, volatile action is
expected among these stocks
Analyst
Amit Gupta
[email protected]
Azeem Ahmad
[email protected]
Raj Deepak Singh
[email protected]
ICICI Securities Ltd | Retail Equity Research
Sector
Media
Metals
Cement
Telecom
Technology
Rollover %
84.89
77.57
77.42
76.49
75.56
Stock
GODREJIND
DIVISLAB
VOLTAS
OPTOCIRCUI
HAVELLS
Rollover %
48.78
53.71
55.54
55.67
56.28
Stock rollovers
High Rollover
Low Rollover
Stock
TITAN
MCDOWELL-N
JSWSTEEL
UNIPHOS
JUBLFOOD
Rollover %
26.27
28.25
32.22
32.36
34.55
Source: NSE, Seediff, ICICIdirect.com Research
Heavyweights build up vis-à-vis rollover cost
COALINDIA
RELINFRA
CAIRN
RELIANCE
WIPRO
TISCO
1.4
1.2
ONGC
HDFCBANK
1.0
DRREDDY
TATAMOTORS
0.8
ITC
1) Tata Steel: Buy above 293
2) Reliance: Sell Below 845
* Significant open interest is still left in the abovementioned
stocks and they are probable candidates for short
covering/long closure if rollover fails to pick up
Rollover %
65.35
65.29
62.73
61.74
61.19
0.6
AMBUJACEM
0.4
0.2
SBIN
0.0
0.42
0.45
0.48
0.51
0.54
0.57
....….% Rollover Cost.……..
Both the Nifty and market wide rollover are significantly higher
than the average rollover figure of the last three months.
Moreover, stock specific rollover seems to be on the higher
side compared to their three month averages. Most of the
index heavyweights have witnessed either closure of open
interest or rollover of short positions into the October series.
The open interest among most index heavyweights is on the
lower side.
Low Rollover
Sector
Realty
FMCG
Automobile
Pharma
Finance
0.60
…………%OI left from the highest OI of September series...……
Source: NSE, Seediff, ICICIdirect.com Research
The diagram above depicts the rollover cost of index heavyweights along with the open interest
left for the settlement in comparison with the highest OI levels of the series. The size of the
bubble represents maximum open interest of stock futures while the ‘X’ axis indicates
percentage left in near month open interest of the highest open interest attained in the series.
The ‘Y’ axis shows the percentage rollover cost associated with the stock.
ABIRLANUVO
Previous Rollover
%
48.66
46.28
224500
212500
250
437250
Previous Rollover
Cost %
1.309809107
1.01
ACC
51.09
49.77
431500
450500
250
882250
0.872385128
0.85
53.4
61.46
3446000
3946000
3000
7395000
1.12084063
0.82
ADANIPORTS
47.07
57.63
1408000
1252000
0
2660000
1.064584812
0.93
ADANIPOWER
63.05
43.99
6136000
10456000
16000
16608000
0.29154519
-0.83
Instrument
ADANIENT
Rollover %
September
October
November
Total OI
Rollover Cost %
ALBK
46.72
51.16
1640000
1426000
12000
3078000
1.175015461
0.82
AMBUJACEM
54.37
54.64
5900000
6820000
210000
12930000
0.343189018
-1.18
ANDHRABANK
48.75
53.37
3444000
3252000
24000
6720000
0.931098696
1.09
67
46.19
3140000
6348000
28000
9516000
1.165331391
0.97
46.04
37.67
1716000
1456000
8000
3180000
1.049382716
0.80
62.3
56.64
6867000
11295000
54000
18216000
1.01010101
0.41
0.53
APOLLOTYRE
ARVIND
ASHOKLEY
ASIANPAINT
61.56
56.86
1867500
2978750
12500
4858750
0.532081377
69.8
57.52
3718000
8582000
12000
12312000
1.115434501
0.98
AXISBANK
53.08
54.15
3547250
3941750
71500
7560500
0.641737033
0.37
BAJAJ-AUTO
66.02
55.02
363375
705000
875
1069250
0.735148023
0.62
BANKBARODA
63.86
62.17
1514000
2673500
2000
4189500
1.007729185
0.61
BANKINDIA
51.95
48.44
1575000
1702000
1000
3278000
1.008249313
0.84
AUROPHARMA
BANKNIFTY
50.7
57.47
1234575
1238875
30650
2504100
0.774073487
0.46
BATAINDIA
46.39
40.48
330500
284500
1500
616500
1.210830545
1.15
BHARATFORG
72.01
79.79
826000
2125000
0
2951000
1.201260339
0.94
BHARTIARTL
56.13
37.53
5367000
6842000
24000
12233000
0.993917816
0.71
BHEL
70.51
74.12
10788000
24842000
946000
36576000
-1.275239107
-2.54
BIOCON
54.02
59.41
933000
1096000
0
2029000
1.181281236
0.88
BPCL
51.83
50
1552000
1662000
8000
3222000
1.210139002
-2.90
CAIRN
55.7
56.05
3002000
3686000
88000
6776000
1.122369447
0.91
CANBK
61.33
43
1428500
2254000
11500
3694000
1.120824927
0.90
67.3
58.54
1314000
2701000
3000
4018000
1.276171486
0.70
CESC
61.07
47.18
190000
298000
0
488000
1.059859681
0.89
CHAMBLFERT
39.07
46.23
4204000
2696000
0
6900000
1.151079137
0.93
CIPLA
66.33
51.35
2391000
4706000
5000
7102000
1.218123862
0.94
CENTURYTEX
CNXINFRA
0
0
100
0
0
100
0.974333529
0.85
36.24
30.07
19350
11000
0
30350
0.168795398
-0.77
0
0
0
0
0
0
0.974828466
0.85
COALINDIA
51.41
45.71
2610000
2719000
42000
5371000
1.236868858
-0.73
COLPAL
55.03
46.82
160750
196000
750
357500
1.208069907
0.81
CROMPGREAV
63.13
42.9
2268000
3872000
12000
6152000
1.135718342
0.90
DABUR
51.98
51.13
1114000
1202000
4000
2320000
1.045088086
0.83
DENABANK
43.14
49.24
6068000
4560000
44000
10672000
1.256544503
0.92
DISHTV
47.14
45.24
14292000
12732000
12000
27036000
1.204819277
0.95
DIVISLAB
28.25
23.67
323750
127500
0
451250
1.167295341
0.86
0
0
34975
0
0
34975
-1.989887457
1.83
CNXIT
CNXPSE
DJIA
DLF
69.43
77.84
7919000
17907000
80000
25906000
1.022270902
0.57
DRREDDY
54.8
35.9
438875
529625
2500
971000
0.968139774
0.84
EXIDEIND
42.76
55.96
846000
628000
4000
1478000
1.076923077
1.03
FEDERALBNK
44.3
42.65
522500
415000
500
938000
1.046685496
0.93
FINANTECH
45.5
48.87
1034500
855000
8500
1898000
0.267469074
-0.56
67.35
60.32
2100000
4332000
0
6432000
1.334269663
1.02
0
0
3150
0
0
3150
2.018348624
0.90
60.85
41.39
1404000
2180000
2000
3586000
0.87941571
-1.15
0.37
FRL
FTSE100
GAIL
GMRINFRA
60.92
63.78
34220000
53260000
90000
87570000
1.376146789
GODREJIND
26.27
48.99
376000
134000
0
510000
0.833622786
0.83
46.3
44.09
313125
262500
7500
583125
0.538336052
-0.20
GSPL
41.36
59.06
1480000
1044000
0
2524000
1.194029851
-0.79
HAVELLS
34.55
59.34
572000
301000
1000
874000
0.628634292
-0.92
HCLTECH
58.87
55.79
1323000
1886000
7500
3216500
0.39866798
0.62
HDFC
58.87
38.19
3284250
4700000
1500
7985750
1.157215012
0.89
54.1
45.9
6511500
7674000
1000
14186500
1.108700892
0.71
GRASIM
HDFCBANK
ICICI Securities Ltd | Retail Equity Research
Page 2
HDIL
Previous Rollover
%
55.19
37.19
11528000
13836000
360000
HEROMOTOCO
65.27
67.69
869000
1573375
60125
2502500
-0.022019426
HEXAWARE
51.96
50.8
4404000
4476000
288000
9168000
0.819992191
0.86
HINDALCO
60.05
53.98
9304000
13848000
136000
23288000
0.941780822
-0.39
Instrument
Rollover %
September
October
November
Total OI
Previous Rollover
Cost %
-4.140526976
-2.95
Rollover Cost %
25724000
-4.39
HINDPETRO
72.4
61.64
1959000
5136000
2000
7097000
1.146972526
1.10
HINDUNILVR
70.33
63.07
2448000
5792000
11500
8251500
0.212615167
0.19
HINDZINC
55.69
34.19
1416000
1774000
6000
3196000
0.838414634
0.72
IBREALEST
59.36
54.38
6104000
8892000
24000
15020000
1.073345259
0.91
ICICIBANK
46.19
44.22
6447500
5483750
50250
11981500
0.969942443
0.66
IDBI
58.13
54.45
3480000
4784000
48000
8312000
1.068200493
0.85
IDEA
59.88
60.8
4172000
6196000
30000
10398000
1.091123562
0.79
IDFC
50.92
62.05
11732000
12116000
58000
23906000
1.162790698
0.75
IFCI
67.66
74.37
20792000
38616000
4880000
64288000
-3.296703297
-2.93
IGL
1.00
60.69
37.19
585000
902000
1000
1488000
1.305202932
INDHOTEL
0
37.98
3396000
0
0
3396000
0
0.81
INDIACEM
63.29
57.47
2044000
3516000
8000
5568000
1.183431953
-3.36
INDUSINDBK
58.34
73.52
3348000
4685500
2500
8036000
0.71400753
-0.18
INFY
60.12
39.3
1015000
1524500
5500
2545000
0.644744257
0.90
IOB
68.55
42.59
1292000
2792000
24000
4108000
1.182795699
1.30
IOC
63.31
57.69
918000
1564000
20000
2502000
0.809248555
-0.12
IRB
57.31
68.21
3984000
5300000
48000
9332000
1.237623762
0.88
ITC
55.93
36.03
11675000
14703000
112000
26490000
0.940257486
0.70
JINDALSTEL
57.19
61.15
3926000
5235000
9000
9170000
1.221498371
0.42
JISLJALEQS
54.87
55.98
5184000
6304000
0
11488000
1.099830795
0.00
JPASSOCIAT
54.38
61.85
28276000
33404000
304000
61984000
1.2
1.18
JPPOWER
58.43
57.18
7160000
10016000
48000
17224000
1.290322581
1.21
1.08
JSWENERGY
61.5
61.57
4932000
7876000
4000
12812000
1.231802912
JSWSTEEL
77.42
78.05
1862000
6365000
21000
8248000
1.100059285
0.78
JUBLFOOD
75.56
65.56
500500
1547250
250
2048000
1.133414085
0.68
KOTAKBANK
63.59
64.09
2483500
4200000
137500
6821000
0.288549511
-1.16
KTKBANK
70.54
65.22
3410000
8138000
26000
11574000
1.146788991
1.00
LICHSGFIN
54.08
46.09
4399000
5160000
21000
9580000
1.155488571
0.95
LT
55.41
50.65
4187250
5095875
106875
9390000
0.282180596
0.43
LUPIN
59.59
47.82
1146500
1690500
0
2837000
1.003771395
0.98
M&M
61.74
61.54
1454750
2343750
3750
3802250
0.809811631
0.39
MARUTI
71.05
59.52
506250
1225750
16750
1748750
0.616399083
0.31
MCDOWELL-N
77.57
77.33
1371625
4743625
875
6116125
1.270084471
0.86
MCLEODRUSS
75.14
68.79
693000
2095000
0
2788000
1.206225681
0.86
MRF
40.91
30.07
32500
22000
500
55000
1.114416254
0.71
0
50
0
0
0
0
0.972615921
0.85
NHPC
58.34
71.77
13570000
18940000
60000
32570000
1.272264631
-2.80
NIFTY
54.63
44.13
11955850
13683050
710800
26349700
0.834606894
0.28
NMDC
55.78
53.22
6734000
8300000
196000
15230000
1.236537694
-2.24
NFTYMCAP50
NTPC
59.2
41.81
4246000
6144000
18000
10408000
1.005025126
-0.67
OFSS
70.77
50.87
45750
110625
125
156500
1.247557493
0.90
ONGC
55.13
45.2
4867000
5972000
7000
10846000
1.178992497
0.84
OPTOCIRCUI
32.36
65.74
2876000
1376000
0
4252000
1.14416476
0.21
ORIENTBANK
50.11
54.49
1166000
1170000
1000
2337000
1.109701966
0.83
PETRONET
43.68
45.89
1070000
826000
4000
1900000
1.171717172
0.94
PFC
53.02
63.32
2858000
3210000
16000
6084000
1.164100638
0.10
PNB
66.07
63.3
1656500
3217000
8500
4882000
0.96538975
0.93
POWERGRID
57.02
31.24
4136000
5466000
20000
9622000
1.19047619
-0.32
PTC
43.82
41.32
1328000
1036000
0
2364000
1.223581758
0.95
PUNJLLOYD
47.12
42.66
8800000
7840000
0
16640000
1.321585903
0.92
RANBAXY
61.76
67.58
3577500
5774500
4500
9356500
1.172755977
0.76
RAYMOND
0
69.61
933000
0
0
933000
0
1.03
52.09
78.63
19956000
21580000
116000
41652000
0.620732464
-0.04
RCOM
ICICI Securities Ltd | Retail Equity Research
Page 3
RECLTD
Previous Rollover
%
46.49
57.66
1823000
1581000
3000
RELCAPITAL
53.25
52.66
2635000
2966000
35000
5636000
1.182827103
0.89
RELIANCE
51.36
36.13
4578000
4783000
50250
9411250
1.139433807
0.83
0.93
Instrument
Rollover %
September
October
November
Total OI
3407000
Previous Rollover
Cost %
1.055011304
0.49
Rollover Cost %
RELINFRA
51.85
54.45
2299000
2454000
22000
4775000
1.222493888
RENUKA
58.96
60.54
12285000
17649000
0
29934000
1.385041551
0.99
RPOWER
55.93
59.01
17876000
22624000
64000
40564000
1.182197497
0.75
S&P500
SAIL
0
0.09
88250
0
0
88250
-2.199586655
1.81
47.22
64.55
8496000
7488000
112000
16096000
1.151631478
0.95
SBIN
60.74
62.35
2842875
4333500
65375
7241750
0.151191747
0.26
SESAGOA
44.46
80.61
14014000
11098000
120000
25232000
0.97702667
-5.17
SIEMENS
37.33
53.46
591000
351000
1000
943000
1.063497028
0.91
0.86
SRTRANSFIN
72.35
48.42
272500
712000
1000
985500
1.064377682
SUNPHARMA
67.82
53.21
1924000
4042500
12500
5979000
1.034724658
0.56
SUNTV
54.28
42.58
525500
619500
4500
1149500
1.165121523
0.41
SYNDIBANK
57.1
40.19
1644000
2154000
34000
3832000
1.147776184
0.85
TATACHEM
53.29
34.25
518000
590000
1000
1109000
1.231274369
0.77
TATACOMM
75.14
71.79
1271000
3798000
43000
5112000
1.352447931
0.96
TATAGLOBAL
62.35
60.56
2708000
4470000
14000
7192000
1.094765652
0.95
TATAMOTORS
56.07
54.9
11813000
14806000
273000
26892000
1.016112643
0.82
TATAMTRDVR
73.82
67.77
3040000
8566000
6000
11612000
1.164874552
0.90
TATAPOWER
40.46
39.94
6164000
4164000
24000
10352000
1.103617413
0.84
TATASTEEL
50.09
63.09
10340000
10228000
149000
20717000
1.130136986
0.71
TCS
-0.46
63.88
69.11
2893500
5088000
28500
8010000
0.592739576
TECHM
54.7
46.96
1296250
1559500
6000
2861750
1.2182817
0.56
TITAN
84.89
82.37
1615000
9068000
2000
10685000
1.045724831
0.68
UCOBANK
60.87
62.97
4152000
6456000
4000
10612000
1.146601147
0.89
ULTRACEMCO
62.37
55.99
328750
520250
24750
873750
0.269040883
0.09
UNIONBANK
54.83
63.44
3318000
4019000
8000
7345000
1.166810717
0.94
UNIPHOS
76.49
26
1748000
5688000
0
7436000
1.272984441
0.98
UNITECH
67.87
53.66
31216000
65768000
184000
97168000
1.492537313
0.94
VIJAYABANK
45.67
44.82
2712000
2272000
8000
4992000
1.184210526
1.02
VOLTAS
32.22
51.45
3072000
1456000
4000
4532000
1.089918256
0.67
WIPRO
53.7
62.13
2971000
3444500
1000
6416500
1.1212407
0.96
YESBANK
64.96
62.23
5834000
10756000
58500
16648500
1.158178645
1.02
ZEEL
58.75
62.62
1570000
2235000
1000
3806000
0.894901145
0.98
ICICI Securities Ltd | Retail Equity Research
Page 4
Derivatives research – product basket
Directional
Non-directional
Quant products
Long build up/Short covering Futures
Theta & Vega strategies
Pair trading
Short build up Futures
Delta differential strategy
Enhanced Basket
High OI stocks – delivery product
Option indicators analysis
VIX Analyser
Plain vanilla options
Gamma neutral delta neutral strategy
Quant Picks
Deep Value Strategy
Reverse, Synthetic options & Situational arbitrage
Volatility insights
Hybrid Strategies – Index/Stocks
Opportunity Matrix
Rollover week product ( Long/Short rollover stocks)
Calendar Spreads
VWAP(expiry day product)
Ratio Spreads
Pankaj Pandey
Head – Research
[email protected]
ICICIdirect.com Derivatives Desk
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC,
Andheri (East), Mumbai – 400 093
[email protected]
[email protected]
DISCLAIMER: The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied
or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Limited. The author may be holding a
small number of shares/position in the above-referred companies as on date of release of this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an
open position in the above referred companies as on the date of release of this report." This report is based on information obtained from public sources and sources believed to be
reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may
not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes
investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and
opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions
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guide to future performance. Actual results may differ materially from those set forth in projections. ICICI Securities Ltd may have issued other reports that are inconsistent with and
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ICICI Securities Ltd | Retail Equity Research
Page 5
September 26, 2013
Rollover Snapshot
Market wide rollover (%)
Nifty Rollover (%)
Nifty Rollover cost (%)
September
58.70
54.63
0.83
August
57.62
44.13
0.33
July
55.91
62.1
0.57
OI Build up in current and mid series
6,200
OI (in millions)
13.7
12.0
20-Sep
13.7
11.6
19-Sep
14.7
8.3
6.4
14.9
5.9
16.2
6,100
23-Sep
24-Sep
25-Sep
6,000
5,900
5,800
Nifty Sep OI
Nifty Oct OI
Nifty Spot
Nifty, stock specific rolls suggest smooth rollover
of short positions, VWAP action unlikely…
• Nifty rolls were at 54.63%, higher than the 3M average of 48.39%
• Market wide rollover was at 58.7%, in line with 3M average of 56.67%
• Sectorally, FMCG, capital goods and technology stocks are witnessing high
rollover of positions while stocks from the infrastructure, media and finance space
are witnessing relatively low rolls into the August series
• Highest rollover was observed in Titan (85%), McDowell (76%), JSW Steel (77%),
Jubilant Foodworks (76%) and McLeod Russel (75%)
• Rollover activity is low among Godrej Industries (26%), Divis Lab (28%), Voltas
(32%), Havells (34%) and GSPL (41%).
• Among index stocks, Maruti (71%), Bhel (70%) and Hindustan Unilever (70%) are
witnessing highs rolls into the October series while Grasim (46%), Tata Steel
(50%) and IDFC (51%) are observing low rollover into the October series
• Rollover in Nifty future shot up to 55% a day prior to the settlement clearly
indicating the higher rolls pattern. Despite the roll spread coming down to 49
points from 53 points of the penultimate session, the spread remains high and
further increase in the spread cannot be ruled out. Looking at the lower open
interest of 11.9 million shares in Nifty futures and high degree of rollover among
index heavyweights, VWAP action may not be seen during settlement
Sectoral rollovers
High Rollover
However, some of the heavyweights like Tata Steel, Wipro and
Reliance still hold noteworthy open interest in the September
series. Majority of the positions were on the short side and
witnessed forward arbitrage during the month. Hence, a round
of selling pressure among these stocks cannot be ruled out
during settlement
Among midcaps, Divis Lab, Andhra Bank and Godrej Industries
still have noteworthy open interest left in the September
series. Despite favourable roll cost, roll activities are not
picking up among these stocks. Hence, volatile action is
expected among these stocks
Analyst
Amit Gupta
[email protected]
Azeem Ahmad
[email protected]
Raj Deepak Singh
[email protected]
ICICI Securities Ltd | Retail Equity Research
Sector
Media
Metals
Cement
Telecom
Technology
Rollover %
84.89
77.57
77.42
76.49
75.56
Stock
GODREJIND
DIVISLAB
VOLTAS
OPTOCIRCUI
HAVELLS
Rollover %
48.78
53.71
55.54
55.67
56.28
Stock rollovers
High Rollover
Low Rollover
Stock
TITAN
MCDOWELL-N
JSWSTEEL
UNIPHOS
JUBLFOOD
Rollover %
26.27
28.25
32.22
32.36
34.55
Source: NSE, Seediff, ICICIdirect.com Research
Heavyweights build up vis-à-vis rollover cost
COALINDIA
RELINFRA
CAIRN
RELIANCE
WIPRO
TISCO
1.4
1.2
ONGC
HDFCBANK
1.0
DRREDDY
TATAMOTORS
0.8
ITC
1) Tata Steel: Buy above 293
2) Reliance: Sell Below 845
* Significant open interest is still left in the abovementioned
stocks and they are probable candidates for short
covering/long closure if rollover fails to pick up
Rollover %
65.35
65.29
62.73
61.74
61.19
0.6
AMBUJACEM
0.4
0.2
SBIN
0.0
0.42
0.45
0.48
0.51
0.54
0.57
....….% Rollover Cost.……..
Both the Nifty and market wide rollover are significantly higher
than the average rollover figure of the last three months.
Moreover, stock specific rollover seems to be on the higher
side compared to their three month averages. Most of the
index heavyweights have witnessed either closure of open
interest or rollover of short positions into the October series.
The open interest among most index heavyweights is on the
lower side.
Low Rollover
Sector
Realty
FMCG
Automobile
Pharma
Finance
0.60
…………%OI left from the highest OI of September series...……
Source: NSE, Seediff, ICICIdirect.com Research
The diagram above depicts the rollover cost of index heavyweights along with the open interest
left for the settlement in comparison with the highest OI levels of the series. The size of the
bubble represents maximum open interest of stock futures while the ‘X’ axis indicates
percentage left in near month open interest of the highest open interest attained in the series.
The ‘Y’ axis shows the percentage rollover cost associated with the stock.
ABIRLANUVO
Previous Rollover
%
48.66
46.28
224500
212500
250
437250
Previous Rollover
Cost %
1.309809107
1.01
ACC
51.09
49.77
431500
450500
250
882250
0.872385128
0.85
53.4
61.46
3446000
3946000
3000
7395000
1.12084063
0.82
ADANIPORTS
47.07
57.63
1408000
1252000
0
2660000
1.064584812
0.93
ADANIPOWER
63.05
43.99
6136000
10456000
16000
16608000
0.29154519
-0.83
Instrument
ADANIENT
Rollover %
September
October
November
Total OI
Rollover Cost %
ALBK
46.72
51.16
1640000
1426000
12000
3078000
1.175015461
0.82
AMBUJACEM
54.37
54.64
5900000
6820000
210000
12930000
0.343189018
-1.18
ANDHRABANK
48.75
53.37
3444000
3252000
24000
6720000
0.931098696
1.09
67
46.19
3140000
6348000
28000
9516000
1.165331391
0.97
46.04
37.67
1716000
1456000
8000
3180000
1.049382716
0.80
62.3
56.64
6867000
11295000
54000
18216000
1.01010101
0.41
0.53
APOLLOTYRE
ARVIND
ASHOKLEY
ASIANPAINT
61.56
56.86
1867500
2978750
12500
4858750
0.532081377
69.8
57.52
3718000
8582000
12000
12312000
1.115434501
0.98
AXISBANK
53.08
54.15
3547250
3941750
71500
7560500
0.641737033
0.37
BAJAJ-AUTO
66.02
55.02
363375
705000
875
1069250
0.735148023
0.62
BANKBARODA
63.86
62.17
1514000
2673500
2000
4189500
1.007729185
0.61
BANKINDIA
51.95
48.44
1575000
1702000
1000
3278000
1.008249313
0.84
AUROPHARMA
BANKNIFTY
50.7
57.47
1234575
1238875
30650
2504100
0.774073487
0.46
BATAINDIA
46.39
40.48
330500
284500
1500
616500
1.210830545
1.15
BHARATFORG
72.01
79.79
826000
2125000
0
2951000
1.201260339
0.94
BHARTIARTL
56.13
37.53
5367000
6842000
24000
12233000
0.993917816
0.71
BHEL
70.51
74.12
10788000
24842000
946000
36576000
-1.275239107
-2.54
BIOCON
54.02
59.41
933000
1096000
0
2029000
1.181281236
0.88
BPCL
51.83
50
1552000
1662000
8000
3222000
1.210139002
-2.90
CAIRN
55.7
56.05
3002000
3686000
88000
6776000
1.122369447
0.91
CANBK
61.33
43
1428500
2254000
11500
3694000
1.120824927
0.90
67.3
58.54
1314000
2701000
3000
4018000
1.276171486
0.70
CESC
61.07
47.18
190000
298000
0
488000
1.059859681
0.89
CHAMBLFERT
39.07
46.23
4204000
2696000
0
6900000
1.151079137
0.93
CIPLA
66.33
51.35
2391000
4706000
5000
7102000
1.218123862
0.94
CENTURYTEX
CNXINFRA
0
0
100
0
0
100
0.974333529
0.85
36.24
30.07
19350
11000
0
30350
0.168795398
-0.77
0
0
0
0
0
0
0.974828466
0.85
COALINDIA
51.41
45.71
2610000
2719000
42000
5371000
1.236868858
-0.73
COLPAL
55.03
46.82
160750
196000
750
357500
1.208069907
0.81
CROMPGREAV
63.13
42.9
2268000
3872000
12000
6152000
1.135718342
0.90
DABUR
51.98
51.13
1114000
1202000
4000
2320000
1.045088086
0.83
DENABANK
43.14
49.24
6068000
4560000
44000
10672000
1.256544503
0.92
DISHTV
47.14
45.24
14292000
12732000
12000
27036000
1.204819277
0.95
DIVISLAB
28.25
23.67
323750
127500
0
451250
1.167295341
0.86
0
0
34975
0
0
34975
-1.989887457
1.83
CNXIT
CNXPSE
DJIA
DLF
69.43
77.84
7919000
17907000
80000
25906000
1.022270902
0.57
DRREDDY
54.8
35.9
438875
529625
2500
971000
0.968139774
0.84
EXIDEIND
42.76
55.96
846000
628000
4000
1478000
1.076923077
1.03
FEDERALBNK
44.3
42.65
522500
415000
500
938000
1.046685496
0.93
FINANTECH
45.5
48.87
1034500
855000
8500
1898000
0.267469074
-0.56
67.35
60.32
2100000
4332000
0
6432000
1.334269663
1.02
0
0
3150
0
0
3150
2.018348624
0.90
60.85
41.39
1404000
2180000
2000
3586000
0.87941571
-1.15
0.37
FRL
FTSE100
GAIL
GMRINFRA
60.92
63.78
34220000
53260000
90000
87570000
1.376146789
GODREJIND
26.27
48.99
376000
134000
0
510000
0.833622786
0.83
46.3
44.09
313125
262500
7500
583125
0.538336052
-0.20
GSPL
41.36
59.06
1480000
1044000
0
2524000
1.194029851
-0.79
HAVELLS
34.55
59.34
572000
301000
1000
874000
0.628634292
-0.92
HCLTECH
58.87
55.79
1323000
1886000
7500
3216500
0.39866798
0.62
HDFC
58.87
38.19
3284250
4700000
1500
7985750
1.157215012
0.89
54.1
45.9
6511500
7674000
1000
14186500
1.108700892
0.71
GRASIM
HDFCBANK
ICICI Securities Ltd | Retail Equity Research
Page 2
HDIL
Previous Rollover
%
55.19
37.19
11528000
13836000
360000
HEROMOTOCO
65.27
67.69
869000
1573375
60125
2502500
-0.022019426
HEXAWARE
51.96
50.8
4404000
4476000
288000
9168000
0.819992191
0.86
HINDALCO
60.05
53.98
9304000
13848000
136000
23288000
0.941780822
-0.39
Instrument
Rollover %
September
October
November
Total OI
Previous Rollover
Cost %
-4.140526976
-2.95
Rollover Cost %
25724000
-4.39
HINDPETRO
72.4
61.64
1959000
5136000
2000
7097000
1.146972526
1.10
HINDUNILVR
70.33
63.07
2448000
5792000
11500
8251500
0.212615167
0.19
HINDZINC
55.69
34.19
1416000
1774000
6000
3196000
0.838414634
0.72
IBREALEST
59.36
54.38
6104000
8892000
24000
15020000
1.073345259
0.91
ICICIBANK
46.19
44.22
6447500
5483750
50250
11981500
0.969942443
0.66
IDBI
58.13
54.45
3480000
4784000
48000
8312000
1.068200493
0.85
IDEA
59.88
60.8
4172000
6196000
30000
10398000
1.091123562
0.79
IDFC
50.92
62.05
11732000
12116000
58000
23906000
1.162790698
0.75
IFCI
67.66
74.37
20792000
38616000
4880000
64288000
-3.296703297
-2.93
IGL
1.00
60.69
37.19
585000
902000
1000
1488000
1.305202932
INDHOTEL
0
37.98
3396000
0
0
3396000
0
0.81
INDIACEM
63.29
57.47
2044000
3516000
8000
5568000
1.183431953
-3.36
INDUSINDBK
58.34
73.52
3348000
4685500
2500
8036000
0.71400753
-0.18
INFY
60.12
39.3
1015000
1524500
5500
2545000
0.644744257
0.90
IOB
68.55
42.59
1292000
2792000
24000
4108000
1.182795699
1.30
IOC
63.31
57.69
918000
1564000
20000
2502000
0.809248555
-0.12
IRB
57.31
68.21
3984000
5300000
48000
9332000
1.237623762
0.88
ITC
55.93
36.03
11675000
14703000
112000
26490000
0.940257486
0.70
JINDALSTEL
57.19
61.15
3926000
5235000
9000
9170000
1.221498371
0.42
JISLJALEQS
54.87
55.98
5184000
6304000
0
11488000
1.099830795
0.00
JPASSOCIAT
54.38
61.85
28276000
33404000
304000
61984000
1.2
1.18
JPPOWER
58.43
57.18
7160000
10016000
48000
17224000
1.290322581
1.21
1.08
JSWENERGY
61.5
61.57
4932000
7876000
4000
12812000
1.231802912
JSWSTEEL
77.42
78.05
1862000
6365000
21000
8248000
1.100059285
0.78
JUBLFOOD
75.56
65.56
500500
1547250
250
2048000
1.133414085
0.68
KOTAKBANK
63.59
64.09
2483500
4200000
137500
6821000
0.288549511
-1.16
KTKBANK
70.54
65.22
3410000
8138000
26000
11574000
1.146788991
1.00
LICHSGFIN
54.08
46.09
4399000
5160000
21000
9580000
1.155488571
0.95
LT
55.41
50.65
4187250
5095875
106875
9390000
0.282180596
0.43
LUPIN
59.59
47.82
1146500
1690500
0
2837000
1.003771395
0.98
M&M
61.74
61.54
1454750
2343750
3750
3802250
0.809811631
0.39
MARUTI
71.05
59.52
506250
1225750
16750
1748750
0.616399083
0.31
MCDOWELL-N
77.57
77.33
1371625
4743625
875
6116125
1.270084471
0.86
MCLEODRUSS
75.14
68.79
693000
2095000
0
2788000
1.206225681
0.86
MRF
40.91
30.07
32500
22000
500
55000
1.114416254
0.71
0
50
0
0
0
0
0.972615921
0.85
NHPC
58.34
71.77
13570000
18940000
60000
32570000
1.272264631
-2.80
NIFTY
54.63
44.13
11955850
13683050
710800
26349700
0.834606894
0.28
NMDC
55.78
53.22
6734000
8300000
196000
15230000
1.236537694
-2.24
NFTYMCAP50
NTPC
59.2
41.81
4246000
6144000
18000
10408000
1.005025126
-0.67
OFSS
70.77
50.87
45750
110625
125
156500
1.247557493
0.90
ONGC
55.13
45.2
4867000
5972000
7000
10846000
1.178992497
0.84
OPTOCIRCUI
32.36
65.74
2876000
1376000
0
4252000
1.14416476
0.21
ORIENTBANK
50.11
54.49
1166000
1170000
1000
2337000
1.109701966
0.83
PETRONET
43.68
45.89
1070000
826000
4000
1900000
1.171717172
0.94
PFC
53.02
63.32
2858000
3210000
16000
6084000
1.164100638
0.10
PNB
66.07
63.3
1656500
3217000
8500
4882000
0.96538975
0.93
POWERGRID
57.02
31.24
4136000
5466000
20000
9622000
1.19047619
-0.32
PTC
43.82
41.32
1328000
1036000
0
2364000
1.223581758
0.95
PUNJLLOYD
47.12
42.66
8800000
7840000
0
16640000
1.321585903
0.92
RANBAXY
61.76
67.58
3577500
5774500
4500
9356500
1.172755977
0.76
RAYMOND
0
69.61
933000
0
0
933000
0
1.03
52.09
78.63
19956000
21580000
116000
41652000
0.620732464
-0.04
RCOM
ICICI Securities Ltd | Retail Equity Research
Page 3
RECLTD
Previous Rollover
%
46.49
57.66
1823000
1581000
3000
RELCAPITAL
53.25
52.66
2635000
2966000
35000
5636000
1.182827103
0.89
RELIANCE
51.36
36.13
4578000
4783000
50250
9411250
1.139433807
0.83
0.93
Instrument
Rollover %
September
October
November
Total OI
3407000
Previous Rollover
Cost %
1.055011304
0.49
Rollover Cost %
RELINFRA
51.85
54.45
2299000
2454000
22000
4775000
1.222493888
RENUKA
58.96
60.54
12285000
17649000
0
29934000
1.385041551
0.99
RPOWER
55.93
59.01
17876000
22624000
64000
40564000
1.182197497
0.75
S&P500
SAIL
0
0.09
88250
0
0
88250
-2.199586655
1.81
47.22
64.55
8496000
7488000
112000
16096000
1.151631478
0.95
SBIN
60.74
62.35
2842875
4333500
65375
7241750
0.151191747
0.26
SESAGOA
44.46
80.61
14014000
11098000
120000
25232000
0.97702667
-5.17
SIEMENS
37.33
53.46
591000
351000
1000
943000
1.063497028
0.91
0.86
SRTRANSFIN
72.35
48.42
272500
712000
1000
985500
1.064377682
SUNPHARMA
67.82
53.21
1924000
4042500
12500
5979000
1.034724658
0.56
SUNTV
54.28
42.58
525500
619500
4500
1149500
1.165121523
0.41
SYNDIBANK
57.1
40.19
1644000
2154000
34000
3832000
1.147776184
0.85
TATACHEM
53.29
34.25
518000
590000
1000
1109000
1.231274369
0.77
TATACOMM
75.14
71.79
1271000
3798000
43000
5112000
1.352447931
0.96
TATAGLOBAL
62.35
60.56
2708000
4470000
14000
7192000
1.094765652
0.95
TATAMOTORS
56.07
54.9
11813000
14806000
273000
26892000
1.016112643
0.82
TATAMTRDVR
73.82
67.77
3040000
8566000
6000
11612000
1.164874552
0.90
TATAPOWER
40.46
39.94
6164000
4164000
24000
10352000
1.103617413
0.84
TATASTEEL
50.09
63.09
10340000
10228000
149000
20717000
1.130136986
0.71
TCS
-0.46
63.88
69.11
2893500
5088000
28500
8010000
0.592739576
TECHM
54.7
46.96
1296250
1559500
6000
2861750
1.2182817
0.56
TITAN
84.89
82.37
1615000
9068000
2000
10685000
1.045724831
0.68
UCOBANK
60.87
62.97
4152000
6456000
4000
10612000
1.146601147
0.89
ULTRACEMCO
62.37
55.99
328750
520250
24750
873750
0.269040883
0.09
UNIONBANK
54.83
63.44
3318000
4019000
8000
7345000
1.166810717
0.94
UNIPHOS
76.49
26
1748000
5688000
0
7436000
1.272984441
0.98
UNITECH
67.87
53.66
31216000
65768000
184000
97168000
1.492537313
0.94
VIJAYABANK
45.67
44.82
2712000
2272000
8000
4992000
1.184210526
1.02
VOLTAS
32.22
51.45
3072000
1456000
4000
4532000
1.089918256
0.67
WIPRO
53.7
62.13
2971000
3444500
1000
6416500
1.1212407
0.96
YESBANK
64.96
62.23
5834000
10756000
58500
16648500
1.158178645
1.02
ZEEL
58.75
62.62
1570000
2235000
1000
3806000
0.894901145
0.98
ICICI Securities Ltd | Retail Equity Research
Page 4
Derivatives research – product basket
Directional
Non-directional
Quant products
Long build up/Short covering Futures
Theta & Vega strategies
Pair trading
Short build up Futures
Delta differential strategy
Enhanced Basket
High OI stocks – delivery product
Option indicators analysis
VIX Analyser
Plain vanilla options
Gamma neutral delta neutral strategy
Quant Picks
Deep Value Strategy
Reverse, Synthetic options & Situational arbitrage
Volatility insights
Hybrid Strategies – Index/Stocks
Opportunity Matrix
Rollover week product ( Long/Short rollover stocks)
Calendar Spreads
VWAP(expiry day product)
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Pankaj Pandey
Head – Research
[email protected]
ICICIdirect.com Derivatives Desk
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC,
Andheri (East), Mumbai – 400 093
[email protected]
[email protected]
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ICICI Securities Ltd | Retail Equity Research
Page 5
