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Rollover Report Mar April 2010
1. Rollover Report
India Research
March 25, 2010
NIFTY (5260.40) has gained substantially in last series, on the back of market friendly budget with
formation of long positions. Although rollover of 65.70% is less compared to previous expiry, open
interest has risen. Options data for April depicts more or less uniform built up in puts from 4800 to
5200. With implied volatility trading at such low levels of 17.23%, it is mainly buying of options
especially by FIIs to hedge their portfolios. FIIs have been significant buyers in cash, in March series. In
calls, though 5300 strike has largest built-up, rise in OI in 5400 and 5500 suggest that 5300 may not
be that strong resistance in April series. Market scenario is same as it was in mid of Jan 2010 after
which significant correction set in, but the prime difference this time is in sentiments, which were far
optimistic what they are now.
Indices Change NIFTY & PCR Graph
Price 5400
1.9
Change 3 month
INDEX Price (%) Rollover avg. 5200 1.7
1.5
Nifty
NIFTY 5260.40 8.24 65.70 71.52 5000
PCR
1.3
BANKNIFTY 9318.25 9.14 69.09 71.49 Nifty 1.1
4800
MINIFTY 5260.40 8.24 64.59 63.91 PCR 0.9
4600 0.7
NFTYMCAP50 2673.55 7.67 50.05 71.62
26-Feb 3-Mar 8-Mar 13-Mar 18-Mar 23-Mar
CNXIT 6201.20 7.25 58.21 66.83
Monthly Gainers Monthly Losers
Price Ol Price Ol
Change Open Change Change Open Change
Scrip Price (%) Interest (%) Scrip Price (%) Interest (%)
APOLLOTYRE 72.65 28.93 5953400 560.75 HINDPETRO 308.15 (13.00) 6208150 29.38
MCLEODRUSS 283.10 27.87 5405400 562.91 IBREALEST 145.05 (12.01) 18054400 11.23
LITL 55.35 24.52 25143580 7.38 BPCL 505.15 (10.90) 2653750 5.46
TRIVENI 134.50 21.17 8046500 44.94 BALRAMCHIN 92.65 (10.83) 26719200 11.69
PATNI 577.50 20.33 1336400 35.62 IOC 293.65 (8.78) 3286800 19.55
Note: Stocks which have more than 1000 contract in Futures OI. Note: Stocks which have more than 1000 contract in Futures OI.
Sector-wise Open Interest and Rollover
80,000
70,000 OI (Value) Rollover
77%
60,000
79%
Millions (Rs)
50,000
81%
40,000
78%
78%
88%
85%
82%
30,000
86%
76%
20,000
10,000
0
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2. Derivative Report | India Research
Banking and Financials
Despite hike in key interest rate, stocks in this
Millions (Rs) 0 18000 36000 54000 sector have done well in last series. PSU majors
like SBIN and PNB have rallied on short covering.
ICICIBANK 71% Rollover
OI (Value) Private Bank major HDFCBANK has risen
72% substantially and has significant longs standing in
SBIN
it. Be cautious in it.
70%
HDFCBANK
Among banks, KOTAKBANK has shown highest
AXISBANK 77% rollover while BANKBARODA depicted the least.
77%
SECTOR FEDERALBNK though rolled over less of its
positions, added significant OI in this series. 240-
245 is good entry zone in the counter for long.
Metal and Mining
Most of the counters have significantly rallied in
Millions (Rs) 0 20000 40000 this space with formation of long positions. With
Dollar index showing sign of strength as the Euro
TATASTEEL 78% Rollover weakens, we would suggest moving out of long
OI (Value) positions in this sector.
80%
SESAGOA
89% HINDALCO and SAIL have witnessed very less
JSWSTEEL rollover.
58%
HINDALCO
NATIONALUM has seen highest rollover.
79%
SECTOR
Oil and Gas
Unlike last expiry both heavy weights have shown
Millions (Rs) 0 20000 40000 decent rollover. Short covering led to substantial
rally in RELIANCE while, significant short positions
76% have been created in ONGC. 1020-1040 is good
RELIANCE Rollover
buying zone for ONGC.
81% OI (Value)
CAIRN
CAIRN has witnessed formation of long positions
85% along with price, especially after upward revision
ABAN
of reserves. Despite this, we believe it won’t be
80% easy for the counter to move above resistance
ONGC
zone of 310-320.
81%
SECTOR
Significant short positions exist in all three OMC’s.
Avoid fresh shorting in them.
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3. Derivative Report | India Research
Auto and Auto Ancillary
Millions (Rs) Shorts got trapped in AUTO, especially two
0 7000 14000 21000 28000 wheelers. Though we would not suggest shorting
again, forming fresh long is also not advisable.
77%
TATAMOTORS Rollover
OI (Value) MARUTI was a big underperformer and shown
79%
HEROHONDA highest rollover in this space with substantial
reduction in open interest. Further downside
76%
M&M cannot be ruled out.
MARUTI 80% TATAMOTORS is the only counter in this space
which has added significant open interest which is
78%
SECTOR predominantly shorts created around 800 levels.
Information Technology
0 10000 20000 30000 HCLTECH has reduced its open interest and
Millions (Rs)
rollover in it are also too less. We believe shorts
71% have been covered near to resistance of 380. May
INFOSYSTCH Rollover
breakout.
77% OI (Value)
TCS
TECHM has been significant underperformer and
87% has added huge open interest. Positional traders
MPHASIS should keep an eye on it.
WIPRO 79%
Among heavy weights WIPRO depicted highest
78% rollover though it has reduced open interest.
SECTOR
Telecom
BHARTIARTL, IDEA and RCOM have risen mainly
Millions (Rs) 0 6000 12000 18000 24000
due to short covering.
81% Rollover
BHARTIARTL
OI (Value) MTNL has shown rollover of 91.14% and has
89% consolidated near its very strong support zone of
RCOM
70-72. Positional traders can trade long in it.
94%
GTLINFRA
TATACOMM too has shown significant rollover
87% like MTNL but it may not take support before250
IDEA
levels.
88%
SECTOR
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9. Derivative Report | India Research
TTML 23.75 4.40 29343600 2.18 8.78 0.10 90.10 89.11
TULIP 841.95 (8.64) 317000 135.69 12.08 0.00 73.50 76.67
TEXTILE
BRFL 215.05 6.91 6040950 31.98 9.46 0.00 93.72 92.90
CENTURYTEX 504.50 8.81 5792688 11.98 8.99 1.29 89.61 92.38
WELGUJ 275.90 16.07 16516800 3.89 7.75 0.27 80.19 89.35
MISCELLANIOUS
ABIRLANUVO 865.65 7.68 935200 (23.62) 9.34 0.00 91.10 88.02
ADANIENT 470.40 (3.29) 572400 128.59 6.32 0.00 85.95 N/A
GODREJIND 142.70 (6.15) 876200 326.58 9.14 0.04 86.35 N/A
JISLJALEQS 958.50 14.13 32000 12.28 (3.16) 0.00 71.09 N/A
PANTALOONR 404.30 5.77 2607800 5.87 (11.22) 0.00 89.34 87.77
SINTEX 278.10 17.84 1061200 (23.20) 2.81 0.00 88.52 80.63
VIDEOIND 224.65 2.79 2094008 162.64 9.05 0.66 85.44 N/A
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