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Rollover report sep oct 2010-
1. Rollover Report
India Research
Oct 01, 2010
Rollover in NIFTY (71.70%) has been less in terms of percentage. Market wide rollover is again healthy
at 81.05% and most of the positions are on the long side compared to last two months, where we had
blend of long and short. Open interest in stock futures is above Rs.52K crores but leverage per person is
far less compared to Jan 2008, as number of stocks and number of participants have substantially
increased since then. So, we feel market is not over leveraged.
Month of October is usually not a good month for the markets and hence we are witnessing participants
buying deep out of-money put options. The 5200 strike is one of the most active put for October series.
We don’t see any triggers for market to reach those levels but yes, consolidation with high volatility is
the most probable outcome for coming weeks.
Indices Change NIFTY & PCR Graph
Price
Change 3 month
INDEX Price (%) Rollover avg.
NIFTY 6029.95 10.08 71.70 74.40
BANKNIFTY 12366.35 12.61 70.03 76.97
MINIFTY 6029.95 10.08 74.69 71.16
NFTYMCAP50 3003.85 5.08 0.00 0.00
CNXIT 6613.40 8.13 49.55 53.07
Monthly Gainers Monthly Losers
Price Ol Price Ol
Change Open Change Change Open Change
Scrip Price (%) Interest (%) Scrip Price (%) Interest (%)
RENUKA 87.95 31.17 57592000 27.56 PATNI 414.75 (24.14) 3248500 (16.35)
TATASTEEL 651.85 29.89 23492500 (18.57) FINANTECH 1151.90 (15.53) 2311250 120.28
ISPATIND 22.80 28.09 90398000 1.80 DIVISLAB 689.85 (8.54) 1401000 109.10
KFA 74.15 24.41 15720000 0.92 TATACOMM 306.55 (8.07) 2417000 13.00
TRIVENI 123.25 24.12 4660000 (17.87) GTOFFSHORE 365.55 (7.31) 2124500 30.26
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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2. Derivative Report | India Research
Banking and Financials
BANKNIFTY (70.03%) has witnessed less rollover
both in terms of percentage and absolute open
interest.
Heavy weights of the sector like SBIN (61.30%),
HDFCBANK (64.58%) and ICICIBANK (71.77%)
have seen less rollover and OI has also reduced
significantly. Caution is advisable while forming
longs.
Some Midcap banks like DENABANK (81.32), IDBI
(85.74), IDFC (84.42%) and UNIONBANK
(78.80%) added substantial OI on month-on-
month basis and witnessed strong rollover.
Oil and Gas
Heavy weight RELIANCE (83.85%) again
underperformed the market. Stock has seen
significant unwinding in the OI which was mainly
due to short covering of positions, rolled over from
Aug-Sep series.
In this space GAIL (61.45%) and ONGC (66.74)
have witnessed substantial reduction in open
interest. We don’t expect significant upside in both
these stocks.
In OMCs, there were no considerable changes of
OI in BPCL (79.62%) and IOC (92.20%) while
HINDPETRO (87.77%) added 21% OI.
Metal and Mining
HINDZINC (85.21) which had observed less
rollover and reduction in open interest last month,
has shown around 40% build up with strong
rollover.
Stocks like JSWSTEEL (90.20%), SAIL (80.28%),
STER (67.25%) and TATASTEEL (79.73%) have
shown significant reduction in OI due to short
covering.
JINDALSAW (94.42%) has witnessed healthy long
rollover. Buy on dips should be the strategy. The
stock may outperformer in this space.
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Auto and Auto Ancillary
In this sector, ASHOKLEY (77.97%), BAJAJ-AUTO
(73.04%) and HEROHONDA (72.25%) added
huge open interest on month-on-month basis.
Negative price movement and addition of OI in
ASHOKLEY suggests short formation in the stock.
MARUTI (84.14%) and TATAMOTORS (79.35%)
were some of the outperformers in Sep. series and
have shown good rollover in percentage but OI
has reduced.
Rollover in most of the Auto ancillary stocks was in
line of three month average.
Information Technology
INFOYSTCH (75.90%), TECHM (80.05%) and
WIPRO (84.71%) were the out performers in the
sector.
TCS (61.89%) rollover is less both in terms of
percentage and absolute open interest.
Midcap IT counters like FINANTECH (86.99%),
OFSS (91.04%) and ROLTA (85.52%) have added
substantial OI on month-on-month basis and have
underperformed.
Infrastructure
In Infra sector, most of the stocks have seen strong
rollover. We expect sector to outperform in coming
weeks.
RELINFRA (93.70%) has given a positive move due
to short covering from its strong support zone of
980-1000. Buy on dips strategy is advisable in this
stock.
IVRCLINFRA (88.96%) and NAGARONST (92.56%)
rollover has been high. Both these stocks have
strong support around 150-155 zone. Buy around
support.
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10. Derivative Report | India Research
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