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Wednesday, August 29, 2007

Rollover Analysis


1. Market wide rollovers picked up good momentum today with the same rising to 47% from 33% yesterday. This continues to be higher than the average D-2 rollovers of 44% over the last few expiries.

2. Simultaneously the average roll cost has also picked up marginally to keep the pace with the increase in rollovers activity with the same rising to 74 bps.

3. The total futures OI increased further by 2.3% today to 2,186,765 contracts indicating demand for fresh long positions in the market.

4. Over all open interest has fallen by over 8% over the past month in terms of contracts and 14.4% in terms of value.

5. Rollovers momentum in Nifty too remained very strong with 47% of total outstanding positions having rolled to September series rising from 34% yesterday. This is much above average D-2 rollovers of 41%.

6. With the rise in rollover activity, the downward pressure on Nifty roll cost increased further to -63 bps from -50 bps yesterday.

7. 85,940 Nifty contracts got rolled today along with a fresh build up of another 30,088 contracts. Over the last 5 days 247,697 Nifty contracts have got rolled, at an average rollover cost of -50 bps, and 4,744 fresh contracts have been added to the September series.

8. The total Nifty OI rose by 4.6% today to 793,153 contracts, which is 11% lower than D-2 of previous expiry.

9. Power stocks saw a sharp rise in long side rollovers with the same rising to 49% from 30% yesterday. Major spurt in long rolls was witnessed in REL (23% to 52%), CESC (35% to 53%) and NTPC (31% to 45%).

10. IT stocks on the other hand continued to witness short rolls with 55% rolls compared to 42% yesterday. Satyam (70%), Infosys (63%) and Wipro (49%) saw further short positions getting rolled to September series.

11. Construction, FMCG, Oil & Gas and Sugar rollovers continue to remain weak at 23%, 29%, 29% and 30% respectively. Major laggards include Colgate (25%), HDIL (26%), Chennai Petro (26%), Tata Tea (27%), Ansal Infra (31%), Cairn (31%) and Renuka (35%).

Rollover Analysis