Rollovers Analysis 30 May, 2007 - Edelweiss

1. Momentum in the market wide rollovers continued to remain strong with a total of 63% open interest rolled to the June series rising from 48% yesterday. They are marginally above the average D-1 rollovers of 61% over the last few expiries.

2. The average rollover cost continued to move in the range of 75 bps to 80 bps (average of positives).

3. In Value terms, INR 290 bn worth position has already been rolled to June series and another INR 183 bn needs to be rolled on the expiry day.

4. Rollovers in Nifty also picked to 59% from 43% yesterday and are higher than 55% rollovers generally seen 1 day prior to expiry.

5. However these rolls have been happening with a continuous downwards pressure on the rollover cost, which has further drifted down to -26 bps from -20 bps yesterday and -7 bps, 5 days back.

6. 116,812 contracts in Nifty got rolled over today and 288,301 contracts over the last 5 days. Current Nifty OI stands at 719,810 contracts, which is 10% lower than D-1 of previous expiry.

7. Rollovers in IT stocks remained very strong with aggregate rollovers of 66% against 52% yesterday. The rise in rollover activity also happened with an upwards pressure on the rollover cost. Stocks which gained good momentum with a high rollover cost include Infosys (53% to 69%), TCS (49% to 61%), Patni (47% to 70%) and Satyam (77% to 82%).

8. Rollovers in Auto counters continue to remain robust, rising to 67% from 55% yesterday.

9. Construction and Sugar stocks continued to witness low rollovers with major laggards being Renuka (44%), Bajaj Hindustan (50%), Lanco (52%) and IVRCL (57%).

10. Given below are the stocks that are expected to see selling action in the last 30 min of market, as rollovers in these counters have been weak till a day before expiry:

1. Lanco Infratech

2. Polaris

3. Voltas

4. Reliance Capital

5. PFC

6. Escorts

7. ZEEL

8. HCC

11. Given below are the stocks that are expected to see buying action in the last 30 min of market, as rollovers in these counters have been weak till a day before expiry:

1. Hero Honda

2. ONGC