1. Rollover Report
India Research
May 28, 2010
Unlike last month, where significant long positions were rolled over, this time in Nifty (65.99%) it has
been less, as in May we first observed long unwinding and then furious formation of short positions,
especially by FIIs. Low rollover indicates that shorts have not rolled over. This can be read in two ways.
Either FIIs who were at helm of shorting index are not bearish anymore, hence not rolling their short
positions or market may not get short covering support at lower levels. We prefer to take later option
because had it been that FIIs are bullish, then in last two trading sessions, where Nifty bounced back
200+ points, they should have bought in cash market; they were net sellers. Even the implied volatility
in puts has not declined meaningfully and is trading around 32.53% and 27.80% overall. We would
suggest adopting cautious approach for initial part of June series and reduce long positions around
5100.
Indices Change NIFTY & PCR Graph
Price
Change 3 month
INDEX Price (%) Rollover avg.
NIFTY 5003.10 (4.78) 65.99 70.03
BANKNIFTY 9258.45 (5.56) 72.21 71.51
MINIFTY 5003.10 (4.78) 59.38 61.73
NFTYMCAP50 2580.65 (7.74) 0.00 49.29
CNXIT 5713.60 (3.79) 57.26 59.00
Monthly Gainers Monthly Losers
Price Ol Price Ol
Change Open Change Change Open Change
Scrip Price (%) Interest (%) Scrip Price (%) Interest (%)
IOC 340.25 24.04 3225200 (22.88) ABAN 685.10 (42.03) 3096950 14.21
HINDPETRO 351.35 19.16 5166550 (15.91) ONMOBILE 258.90 (32.99) 626350 16.44
BPCL 572.75 16.58 2202200 (16.74) EDUCOMP 461.85 (31.30) 4166375 33.20
UNIPHOS 169.75 14.93 2309200 (32.51) MLL 44.75 (24.41) 14307100 31.70
FEDERALBNK 327.20 12.42 1300328 97.42 HINDZINC 945.55 (23.13) 569000 41.19
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
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Banking and Financials
Banking heavy weights like ICICIBANK (64.04%)
and HDFC (64.61%) have shown less rollover. We
don’t expect them to go significantly up from
current levels. Avoid fresh positional longs above
880 and 2800 respectively in them.
IDBI (90.03%) has seen high rollover and these are
short positions. Stock has good support around
100-102. Short covering bounce can be expected
there.
FEDERALBNK (89.86%) has been outperformer in
banking and long positions got rolled over along
with significant rise in open interest. Investors may
get dips in this counter to re-enter again.
Metal and Mining
Barring SAIL (63.11%) most of the counters in
metal space have witnessed high rollovers. We
believe the pain may continue in them after initial
bounce back in the form of short covering. Sell on
rise is advisable for Metals in June series.
STER (87.42%) has added significant OI. In
bounce back due to short covering this counter
may be outperformer and in falls may not go
below 600 which is very strong support for it.
HINDALCO (73.09%) is very light in terms of OI.
Thus, don’t expect any meaningful bounce and it
may underperform and is sell on rise counter.
Oil and Gas
ONGC (65.54%) has shown less rollover and
here we have buy on dips approach. Near 1050 it
is good buy, may not go above 1150.
High rollover was witness in HINDPETRO
(89.60%). Inverse correlation with crude suggests
that some unwinding of long should be expected
but may not correct significantly and remains buy
on dip counter.
RELIANCE (70.76%) rolls were bit less but counter
has managed to hold itself above its support of
980. Be watchful in this counter, we don’t expect
significant upside in it and support will be put to
test again in June.
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Auto and Auto Ancillary
Significant Long rollovers have taken place in
ASHOKLEY (81.24%). Immediate support for the
stock is around 56 levels.
TATAMOTORS (73.52%) has seen less rollover
and has also reduced OI. We believe counter may
again see its support which is around 670 after
initial bounce back in June series.
We maintain our view of accumulating MARUTI
(79.94%) in the range of 1150-1200.
BHARATFORG (88.45%) and BOSCHLTD(50.00%)
have shown highest and lowest rollover in this
space respectively.
Information Technology
All three heavy weights of the sector INFOSYSTCH
(60.35%), TCS (60.06%) and WIPRO (67.73%)
have witnessed very less rollover. We expect them
to be more in range in June and volatility in them
may substantially decrease.
Mid-cap IT counters like FSL (91.02), POLARIS
(91.21) and ROLTA (89.60) have shown decent
rollover. Midcap in this space may be more
volatile in June series.
ICSA (93.96%) has shown highest rollover.
Counter has good support around 115 levels.
Telecom
Telecom majors compared to last month have
shown less rollover in percentage terms but
absolute open interest has increased. There are
significant shorts standing. We don’t expect any
meaningful correction in them from current levels.
IDEA (80.84%) has strong support around 47
levels. Covered call writing can be done in this, if
it comes around 48 by selling 50 strike call.
BHARTIARTL (76.91%) and RCOM (86.67%) have
strong support around 855 and 132 respectively.
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