Rollover Analysis

1. Build-up in futures open interest at the market wide level continued to be strong in the month of May resulting in it nearing its all time high levels.

2. The aggregate futures OI, at 1,756,534 contracts, is up by 1.8% from D-3 of previous expiry. However in value terms, open interest has risen by over 9% over the last month and 22% over the last 2 months.

3. Momentum in rollovers picked up very strongly on the very first day of the expiry week with 35% rollovers against 31% on the same day in previous expiry.

4. In fact D-3 rollovers of 35% are at the highest level seen since November 2006 expiry.

5. As there is still huge open interest that needs to be rolled to the June series, we expect the markets to remain volatile till the end of this expiry.

6. Rollovers in Nifty have also picked up quite sharply with 31% positions getting rolled compared to 26% and 25% in March and April expiry respectively.

7. However short covering throughout the month resulted in an 11% fall in Nifty OI from D-3 of previous expiry.

8. Nifty rollover cost continued to hover in the range of -5 bps to -15 bps over the last 5 days simultaneously with rollover of 116,065 contracts.

9. In contrary to the market sentiments, IT stocks have shown very strong rolls along with a good jump in rollover cost. Overall 44% of total positions have got rolled to the June series simultaneously with the average rollover cost rising to 63 bps from 32 bps yesterday. Satyam(71%), Infosys (44%) and TCS (36%) lead the action.

10. In continuation with the trend of previous expiry, Metal stocks showed very strong rollovers. Jindal Steel (63%), Jindal Stainless(57%) and JSW Steel (55%) have seen aggressive rollovers. Rollovers in Construction, FMCG and Sugar stocks remained weak.