Rollover Report

India Research
April 26, 2013

NIFTY (66.78%) rollover is certainly higher than last month both in percentage and absolute open interest
terms. This is despite the fact that there has been substantial amount of short covering which took place in 5
trading session before expiry. This indicates that its more of long positions which have got rolled over. Long
roll argument can also be supported by seeing FIIs action over the week and also by seeing strong buying by
them in index futures and cash market in last trading session indicating liquidity is back with the bang.
BANKNIFTY (67.72%) has also seen healthy rollover despite the fact that it had added significant amount of
long positions. With major banks beating the street estimate in earnings, its likely that moment in them may
continue atleast till announcement of monetary policy. 12800-13000 is major resistance zone, break above it
should be seen very positive.
Till a day before expiry action in May call option was confined till 5900 strike on higher side but now we have
seen strikes as high as 6300 have become very active, indicating upside momentum may continue for some
more time. Implied volatility has again fallen down and we have very long expiry in our hand so buying atthe-money calls on dips makes good trading sense.

NIFTY & PCR Graph

Indices Change

INDEX
NIFTY
BANKNIFTY

Price
Change
(%)

Rollover

5916.30

4.11

66.78

57.36

12726.85

12.01

67.72

58.94

Price

3 month
avg.

NFTYMCAP50

2085.95

7.91

99.82

48.89

CNXIT

6059.80

(16.06)

74.93

56.77

CNXINFRA

2403.20

8.75

64.25

68.25

Monthly Gainers
Scrip
RCOM

Monthly Losers
Price

Price
Change
(%)

Open
Interest

Ol
Change
(%)

Scrip

96.20

73.49

37568000

(0.97)

INFY

193.00

31.61

9192000

(16.75)

WIPRO

HDIL

57.45

27.52

24644000

4.78

IBREALEST

69.10

25.75

16080000

(19.62)

1598.90

24.39

2239000

8.87

AUROPHARMA

MARUTI

Note: Stocks which have more than 1000 contract in Futures OI.

SEBI Registration No: INB 010996539

JUBLFOOD
TECHM
TCS

Price

Price
Change
(%)

Open
Interest

Ol
Change
(%)

2217.85

(23.66)

3251125

99.59

337.95

(23.32)

1612000

(37.23)

1090.40

(12.96)

927000

(13.34)

931.80

(12.71)

889750

7.78

1405.00

(11.17)

3339000

34.12

Note: Stocks which have more than 1000 contract in Futures OI.

Derivative Report | India Research

Banking and Financials

HDFCBANK (61.47%) seems to be setting trend for

Banknifty. This stock has seen good formation of

long positions and among large banks has shown
better rollover of positions too. It appears stock is
moving into new zone and may pull up its index
and broader index with itself.
ICICIBANK (51.84%) has seen very less rollovers,

In fact lowest in FNO segment in terms of

percentage and has also reduced OI substantially.
But data indicates its shorts that have opted not to
roll themselves. Buy on dips is a suggestion here.
LICHSGFIN (92.06%) depicted very strong rolls

and its long positions which have been rolled.

Stock is languishing near its resistance of `235240. We anticipate break-out above resistance.

Consumer goods and FMCG

ITC (57.47%) has shown less rollover this month

too but have added some open interest from series

to series. Volumes in counter before expiry where
declining though stock was rising. In FNO there
are no prominent additions of longs too. Appears
to be a good shorting candidate at current levels.
HINDUNILVR (72.21%) have added significant

open interest in last series with some rise in price.

We believe its more of long positions. Counter may
do better than ITC in short term and hence one
can think of a pair trade here.
MCLEODRUSS

(94.58%) and MCDOWELL-N

(92.34%) have shown highest rollover in this
space, where former added significant short
positions.

Metal & Mining

HINDALCO (89.22%) has mainly gone up due to

short covering. Current positive momentum in

markets may take counter to its resistance of `104
levels where we would suggest lightening of
positions. Aggressive traders may think of shorting
too.
COALINDIA (57.07%) has shown lowest rollover in

this space. We believe its more of shorts who have

opted not to roll. Recent bounce has been strong
and sharp. Counter appears to be a buy-on-dip
candidate.
JINDALSTEL (75.06%) and STER (85.66%) are two

counters where short built-up was seen with decent

rollovers. Incase if risk-on trades emerges then
these two may be short covering candidates.

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Capital Goods and Infra

BHEL (78.48%) has mainly seen short covering

bounce in last series. Current momentum can take

the counter around `200 levels and any levels
above that should be a good shorting opportunity.
Though series on series LT (70.31%) has seen short

covering, but last week we have seen huge

addition of long positions. It is near its decent
resistance around `1550. Counter may pause or
correct little but that may be a buying opportunity.
HAVELLS (55.22%) have seen least rollover in the

space while maximum was seen by IRB (93.08%)

and GMRINFRA (92.91%).

Auto & Auto Ancillaries

BAJAJAUTO (80.36%) has shown strong rollovers

with significant addition of long positions. Stock in

its current momentum may head toward `1950
levels, hold on to long positions or buy on dips
would be the advice.
MARUTI (77.43%) has added significant long

positions post YEN depreciation event. Though

post expiry, excess positions are out, still there are
many long positions standing. Price action has
been too steep. `1630-1650 is strong resistance
zone. Short near resistance.
M&M (67.26%) did lowest rollover in the space

with huge reduction in open interest. Watch out for

initial built-up direction in the series.

Information Technology
INFY (68.32%) has doubled its open interest and

needless to mention that most of the positions are

short
positions
which
got
added
after
disappointing results. We dont expect major
bounce in the stock.
Though HCLTECH (75.11%) and TCS (76.48%)

have been punished less in this space, they too

have seen addition of short positions. however, if
market starts hunting for defensives in IT, then
these are the top two names.
WIPRO (62.80%) has seen very less rolls and

reduction in open interest, but this is predominantly

due to recent restructuring in company, so dont
read too much of this data.

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Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

AUTO & AUTO ANCILLARIES

APOLLOTYRE

92.90

10.40

3580000

(14.60)

8.49

0.29

77.62

78.53

ASHOKLEY

22.70

2.71

11682000

5.87

9.27

0.33

87.58

84.66

1844.00

1.89

1338250

54.33

3.40

0.48

80.36

72.37

BHARATFORG

232.95

11.94

3689000

(12.23)

10.17

1.00

88.74

91.52

EXIDEIND

138.45

6.25

2042000

14.46

3.02

0.25

79.83

72.55

1604.65

3.82

1440500

(13.16)

-8.44

0.96

73.15

80.79

BAJAJ-AUTO

HEROMOTOCO
M&M
MARUTI
MRF

911.75

5.35

2549000

(29.22)

3.04

0.56

67.26

64.45

1598.90

24.39

2239000

8.87

5.21

0.67

77.43

73.20

13788.25

14.49

66375

(11.35)

8.82

0.00

73.65

82.59

TATAMOTORS

294.90

8.64

14462000

3.86

5.69

0.70

77.23

71.02

TATAMTRDVR

169.25

10.05

2500000

(22.02)

7.76

0.81

70.34

74.11

BANKING & FINANCIALS

ALBK
ANDHRABANK
AXISBANK

133.85

5.31

4784000

39.64

-18.37

0.33

75.79

77.15

93.80

(1.68)

5140000

195.40

7.84

0.58

89.30

73.78

1490.95

13.95

3931500

(7.32)

-8.64

1.60

62.09

77.05

BANKBARODA

708.20

3.93

1706000

(4.02)

-0.52

0.48

60.22

67.46

BANKINDIA

337.50

11.17

2093000

5.97

0.46

0.81

82.79

79.28

CANBK

441.75

14.71

2107000

17.32

7.25

1.11

83.94

78.83

96.30

6.88

10424000

16.55

8.19

0.55

88.34

81.57

FEDERALBNK

456.95

(5.43)

1013000

48.32

7.93

1.00

88.39

78.61

HDFC

866.50

4.07

3638000

(15.43)

4.53

0.52

52.80

61.54

HDFCBANK

692.95

10.36

8412500

46.66

5.14

1.09

61.47

56.79

ICICIBANK

1169.75

11.42

4806250

(23.14)

-6.73

0.68

51.84

66.24

DENABANK

IDBI

88.85

9.69

9600000

(8.61)

8.28

0.64

81.44

81.99

IDFC

159.80

10.97

8580000

(15.37)

6.57

0.40

74.80

77.37

IFCI

31.50

19.77

58480000

0.10

8.34

0.26

88.40

87.36

470.75

16.48

3566000

20.11

6.46

0.58

67.85

69.98

68.15

3.81

6308000

50.62

8.48

0.00

80.66

84.49

KOTAKBANK

709.80

8.42

3126000

55.79

-1.03

0.53

76.74

63.02

KTKBANK

153.45

16.38

17380000

5.44

8.91

0.21

90.67

89.54

LICHSGFIN

234.00

3.29

11346000

2.33

7.41

0.43

92.06

87.19

ORIENTBANK

280.10

11.04

1329000

3.18

7.88

0.22

85.69

67.84

PFC

200.10

9.61

3730000

(7.21)

7.61

0.33

81.26

80.33

PNB

791.95

9.22

3721000

(1.90)

8.30

0.28

88.63

83.52

RECLTD

225.05

7.37

2555000

(20.45)

2.55

0.41

78.18

75.69

RELCAPITAL

365.65

16.01

7655000

1.07

6.89

0.36

79.87

83.29

INDUSINDBK
IOB

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Scrip
SBIN

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

2287.25

9.54

3938500

(7.12)

-21.13

0.61

73.28

75.58

SRTRANSFIN

712.65

1.99

1768000

280.62

6.48

0.00

92.95

57.06

SYNDIBANK

120.25

8.53

3148000

(3.55)

7.86

1.00

78.86

83.57

UCOBANK

68.25

21.23

9836000

19.72

8.47

0.90

89.09

83.14

UNIONBANK

243.05

11.16

2484000

15.00

-0.64

0.64

67.24

76.42

VIJAYABANK

52.30

10.34

7080000

(6.40)

9.05

0.23

77.97

86.62

507.10

17.48

7709000

10.94

6.83

0.67

81.71

83.41

8.24
-4.06
8.25
9.44
-11.55
9.25
9.84
4.71
6.32
8.57
7.89
8.10
7.91

0.25
0.37
0.77
0.35
0.00
0.41
0.07
0.57
0.68
0.31
0.88
0.75
0.24

67.77
78.48
90.62
92.91
55.22
93.08
87.01
82.45
70.31
86.09
80.74
80.96
83.63

66.49
87.99
83.19
83.73
65.32
87.88
82.21
80.80
72.50
78.59
82.69
68.54
84.59

3.66
5.75
8.55
8.86
2.24

0.61
0.51
0.77
0.00
2.91

64.14
63.66
70.27
81.78
67.88

60.33
62.17
80.57
77.18
73.75

YESBANK

CAPITAL GOODS & INFRASTRUCTURE

ADANIPORTS
BHEL
CROMPGREAV
GMRINFRA
HAVELLS
IRB
IVRCLINFRA
JPASSOCIAT
LT
PUNJLLOYD
RELINFRA
SIEMENS
VOLTAS

146.65
191.80
95.50
22.30
643.10
119.40
21.40
77.80
1528.45
55.20
379.60
525.35
86.30

5.01
8.03
1.11
2.29
7.82
4.28
10.03
17.97
11.26
(0.45)
15.94
(4.71)
13.70

1838000
28857000
6744000
47720000
1214000
10060000
28088000
44880000
2574250
18560000
5126000
610000
6344000

22.53
(18.71)
6.64
13.56
(11.61)
13.42
21.07
(18.34)
(6.51)
15.19
(25.48)
29.24
(1.28)
CEMENT

ACC
AMBUJACEM
GRASIM
INDIACEM
ULTRACEMCO

1259.45
191.65
3007.65
83.10
1934.10

7.75
9.30
6.23
(1.54)
3.79

359500
4254000
412750
3304000
702500

3.68
0.85
(5.14)
9.69
1.28

CHEMICAL & FERTILIZERS

CHAMBLFERT

56.05

11.32

8176000

1.74

10.33

0.40

83.84

86.27

TATACHEM

327.70

1.10

825000

3.51

7.05

2.25

83.93

78.90

UNIPHOS

133.25

12.54

6846000

(3.55)

7.89

0.21

85.60

86.64

For Private Circulation Only

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Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

CONSUMER GOODS & FMCG

ASIANPAINT
COLPAL
DABUR
HINDUNILVR
ITC
JUBLFOOD
MCDOWELL-N
MCLEODRUSS
FRL
TATAGLOBAL
TITAN

4684.15
1399.05
146.75
479.25
322.45
1090.40
2068.15
314.30
153.75
137.05
266.70

(5.23)
12.36
6.30
2.05
3.45
(12.96)
7.92
(10.43)
2.06
6.45
3.59

152125
118250
1240000
5790000
11777000
927000
8189500
3593000
3400000
15610000
6011000

(39.15)
(40.13)
0.00
53.97
11.14
(13.34)
5.34
21.34
(60.41)
(3.82)
(23.42)

7.17
8.45
6.44
1.31
8.48
3.65
8.75
7.52
1.36
7.67
8.08

0.35
0.00
0.22
1.16
0.57
0.15
0.57
0.00
0.56
0.52
0.69

52.50
77.04
75.52
72.21
57.47
73.04
92.34
94.58
83.42
88.16
82.20

58.77
81.21
65.51
62.24
56.73
78.66
93.98
94.18
80.70
88.02
73.35

7.55
4.93
0.00
-4.61
8.79
2.01
4.78
7.62

0.27
0.20
0.22
0.35
0.00
0.71
1.21
0.32

75.81
75.11
71.82
68.32
91.41
76.48
76.16
62.80

84.15
69.13
86.06
57.93
91.71
65.10
79.17
66.18

5.96
7.66
1.85

0.40
0.88
0.36

81.38
82.09
76.61

81.08
79.01
81.40

7.89
7.44
6.59
1.90
3.92
8.11
2.42
1.35
6.35
7.34

0.31
0.58
0.00
0.74
2.45
0.47
0.36
0.65
0.56
0.75

57.07
89.22
82.18
75.06
86.38
82.29
75.15
76.18
85.66
83.07

64.80
83.62
77.91
78.93
80.45
81.02
75.06
77.40
87.73
73.27

INFORMATION TECHNOLOGY
FINANTECH
HCLTECH
HEXAWARE
INFY
OFSS
TCS
TECHM
WIPRO

814.10
722.45
84.80
2217.85
2511.80
1405.00
931.80
337.95

13.53
(9.62)
(0.59)
(23.66)
(2.83)
(11.17)
(12.71)
(23.32)

581250
2257500
7468000
3251125
455000
3339000
889750
1612000

(21.24)
10.10
9.76
99.59
(3.37)
34.12
7.78
(37.23)
MEDIA

DISHTV
SUNTV
ZEEL

70.35
418.40
225.55

3.91
6.33
6.22

12272000
2149000
4226000

(17.26)
88.01
3.43

METALS & MINING

COALINDIA
HINDALCO
HINDZINC
JINDALSTEL
JSWSTEEL
NMDC
SAIL
SESAGOA
STER
TATASTEEL

319.50
98.85
119.35
329.80
735.00
129.60
64.90
154.40
90.85
314.75

For Private Circulation Only

2.80
7.27
(1.73)
(5.85)
9.20
(6.02)
2.93
(1.56)
(3.96)
0.51

2560000
28540000
2508000
5993000
6970500
18526000
12920000
5240000
25400000
15961000

10.39
(17.15)
33.69
13.29
(7.79)
8.28
(12.44)
21.24
17.81
1.02

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Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

MISCELLANIOUS
ABIRLANUVO
ADANIENT
BATAINDIA
GODREJIND
JISLJALEQS
SINTEX
INDHOTEL
RENUKA

990.05
216.70
704.30
312.65

0.68
6.20
(2.68)
5.79

962750
4236000
1991750
653000

5.39
(2.49)
6.50
20.93

7.91
3.62
1.19
8.58

0.00
0.54
0.01
0.17

93.38
81.59
92.99
75.93

88.32
82.66
92.81
77.27

60.15
48.80
56.95
25.50

(2.98)
4.95
5.27
13.33

10184000
15376000
7484000
46896000

8.53
(0.77)
(6.22)
(3.70)

8.74
9.71
9.24
12.41

0.00
0.43
0.45
0.18

83.64
90.30
93.83
83.35

89.79
86.79
88.60
89.89

OIL & GAS

BPCL
CAIRN

418.35
300.60

9.80
9.17

3827000
9708000

20.84
(25.36)

4.00
7.69

0.70
0.41

81.20
85.57

80.67
81.48

GAIL
GSPL
HINDPETRO
IGL

344.85
69.40
312.35
300.30

7.83
3.35
8.93
8.24

1576000
2200000
6034000
1133000

(13.74)
(29.31)
(17.38)
26.03

1.36
8.33
8.08
8.23

0.28
0.00
0.42
0.38

63.40
85.67
84.59
77.55

61.68
82.57
86.54
81.37

IOC
ONGC
PETRONET
RELIANCE

306.20
328.45
137.50
815.75

7.87
4.80
0.55
4.68

1868000
6489000
2712000
7985750

(7.52)
23.01
17.00
(0.42)

8.24
6.23
8.41
-4.96

0.20
0.47
0.38
0.48

83.92
67.52
84.49
68.53

80.20
61.78
84.04
68.81

For Private Circulation Only

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Scrip

Price

Price
Change
(%)

OI
Change
(%)

OI Futures

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

PHARMACEUTICAL
AUROPHARMA
BIOCON
CIPLA
DIVISLAB
DRREDDY
LUPIN
OPTOCIRCUI
RANBAXY
SUNPHARMA

193.00
291.75
409.40
1065.50
2002.70
695.45
62.15
463.80
980.65

31.61
5.65
6.88
7.28
12.53
9.94
12.79
4.78
18.72

9192000
1441000
5206000
416000
464375
790000
7820000
2860500
2262000

(16.75)
(2.37)
(6.48)
(8.97)
44.61
1.94
(9.36)
(7.05)
3.64

7.62
8.29
6.15
7.79
5.34
6.18
-4.18
4.06
1.12

0.44
0.25
0.67
0.00
0.94
0.07
0.31
0.46
0.65

84.39
81.83
81.89
67.64
68.32
58.17
79.73
82.29
66.64

88.60
80.38
81.83
78.52
60.85
67.00
74.94
82.95
74.30

3.15
2.45
9.66
8.90
9.75
5.71
7.59
7.67
8.47
7.72

0.83
0.00
0.15
0.38
0.22
0.51
0.41
0.18
0.48
0.36

87.83
74.13
81.56
78.05
81.89
69.32
62.74
88.79
90.21
68.58

84.65
85.92
73.46
86.40
79.13
71.36
66.23
78.48
88.94
60.29

5.81
4.56
-24.32
7.23

0.37
0.22
0.40
0.39

81.98
72.32
83.91
80.82

74.24
74.09
88.59
80.99

POWER
ADANIPOWER
CESC
JPPOWER
JSWENERGY
NHPC
NTPC
POWERGRID
PTC
RPOWER
TATAPOWER

49.75
298.10
27.25
65.00
21.60
156.10
110.65
61.65
74.50
95.30

21.79
11.75
4.01
18.07
7.46
8.93
3.85
2.84
19.97
(1.95)

12416000
599000
13832000
6644000
31428000
8654000
4266000
2504000
36812000
5964000

1.04
(17.04)
4.53
(11.60)
(20.78)
(28.06)
(2.29)
39.11
(3.79)
91.15

REAL ESTATE
DLF
HDIL
IBREALEST
UNITECH

243.80
57.45
69.10
29.05

2.91
27.52
25.75
22.32

14101000
24644000
16080000
53060000

(1.58)
4.78
(19.62)
11.14

TELECOM
BHARTIARTL
IDEA

306.45
117.00

4.32
2.72

4848000
10180000

10.48
(1.05)

8.92
4.93

1.01
0.37

63.64
84.58

60.07
83.82

RCOM
TATACOMM

96.20
228.65

73.49
(2.87)

37568000
2626000

(0.97)
4.62

6.55
7.81

0.80
0.00

72.52
95.63

82.51
85.79

TEXTILES
ARVIND
CENTURYTEX
RAYMOND

78.70

1.03

5192000

17.47

8.68

1.43

81.74

84.47

296.65
281.20

2.36
(1.97)

4349000
4266000

(12.86)
(13.75)

9.04
6.72

0.26
0.83

89.23
80.10

87.46
88.83

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Derivative Report | India Research

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