Rollover Report

India Research
May 31, 2013

May series has been quite a lengthy series and started with quite less open interest in NIFTY (56.94%)
futures. Since the beginning of May series we have witnessed that there has been good addition in open
interest, especially on those days when markets have rallied. Also on same day, corresponding data of FIIs
has indicated that they were buyers in index futures, clearly suggesting that they are forming long positions.
Though the rollover in percentage terms appears to be less, in absolute open interest terms, June series is
starting with higher base and most of these positions are long positions rolled over by stronger hands of the
market.
BANKINIFTY (67.39%) is starting this series on much lighter note in terms of open interest compared to last
series. Though this index underperformed main indices, we didnt witness formation of fresh short positions.
Infact correction was due to unwinding, and indicating that continuation of underperformance is unlikely.
Options data is kind of scattered but indicates that upside may not be just limited to 6200 levels.

NIFTY & PCR Graph

Indices Change
Price
Change
(%)

Rollover

6124.05

3.51

56.94

58.17

12805.90

0.62

67.39

59.19

NFTYMCAP50

2073.35

(0.60)

46.86

72.16

CNXIT

6390.40

5.46

34.13

60.37

CNXINFRA

2393.75

(0.39)

N/A

INDEX
NIFTY
BANKNIFTY

Price

3 month
avg.

N/A

Monthly Gainers
Scrip
HINDUNILVR

Monthly Losers
Price

Price
Change
(%)

Open
Interest

Ol
Change
(%)

Scrip

Price

Price
Change
(%)

Open
Interest

Ol
Change
(%)

599.45

25.08

8657500

49.53

HDIL

44.55

(22.45)

28592000

16.02

MCDOWELL-N

2463.45

19.11

8064125

(1.53)

CHAMBLFERT

45.90

(18.11)

11724000

43.40

ADANIPOWER

59.05

18.69

8432000

(32.09)

PUNJLLOYD

45.35

(17.84)

23056000

24.22

BATAINDIA

832.70

18.23

2031250

1.98

OPTOCIRCUI

51.10

(17.78)

6988000

(10.64)

JISLJALEQS

70.80

17.71

10204000

0.20

RANBAXY

384.85

(17.02)

3753000

31.20

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

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

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Banking and Financials

AXISBANK (55.95%) has shown lowest rollover in

this space. In May series stock had taken support

around `1440 levels but breached it on expiry day
indicating not many longs have rolled over. Next
support is around `1350-70 zone.
HDFC (62.26%) have added huge open interest in

last series and upward price movements suggest

that these are long positions which have got rolled
over. Stock may continue its upward trajectory.
Mid-cap PSU Banks like ORIENTBANK (83.99%),

BANKINDIA (80.01%), DENABANK (89.17%) and

ALBK (87.68%) have seen formation of short
positions and strong rollover too.

Consumer goods and FMCG

ITC (61.77%) have added huge long positions in

last series and it appears to be long heavy if we

compare with previous few series where it has
started on lighter note. Though stock zoomed last
series, we would suggest not indulging into longs.
JUBLFOOD (83.30%) added significant amount of

shorts in initial part of last series when it fell from

`1140 levels. Stock has quietly bounced almost
back to those levels with shorts still standing in it.
Watch out for further short covering in this counter.
Percentage wise highest rollover in this space was

seen in MCLEODRUSS (96.38%) and lowest was

observed in ASIANPAINT (56.00%).

Capital Goods and Infra

LT (66.68%) has corrected 200 rupees very sharply

with huge formation of short positions. It looks

unlikely that these short positions which got rolled
over too would be covered in hurry. Stock may face
resistance at rise.
VOLTAS (71.20%) has shown less rolls both in

percentage and open interest terms indicating

shorts formed in last few series not rolling over.
Long traders should keep watch on it.
JPASSOCIAT (82.51%) has added significant short

positions and rolled it too. Though there appears to

be some more downside, stock nearing its very
strong support of `62-63. Trade accordingly.

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Information Technology

INFY (60.52%) has mainly bounced due to short

covering and during falls we have seen formation

of short positions. `2450 is major resistance for
the counter which would be good shorting point if
stock manages to reach there.
FINANTECH

(87.65%) has depicted highest

rollover in this space. It has both long and short
standing in it. Watch out for `860 resistance,
above which short covering may trigger. Also
recent cash volumes are quite encouraging.

TCS (72.48%) and TECHM (84.27%) has added

significant amount of long positions

substantial bounce in prices last series.

with

Metal & Mining

STER (90.26%) has seen highest rollover in this

space. However stock has been laggard and

recent fall has been due to formation of short
positions but cash volumes were on lower side.
`88 is good support for the counter.
NMDC

(82.51%) can be a short covering

candidate as it appears to be short heavy and has
decent support around `116 levels. Positional
traders could add on to long positions.

Steel stocks SAIL (83.75%), TATASTEEL (78.94%)

and JINDALSTEL (81.09%) have added substantial

amount
of
short
positions
and
have
underperformed market as well as the sector.
Dont expect major bounce back in them.

Oil & Gas

RELIANCE (65.81%) has added meaningful long

positions with rise in prices. `860 is resistance for

the counter but quantum of longs added indicates
that resistance may be breached. Hold on to longs
created and traders watch for breakout above
resistance.
HINDPETRO (89.83%) has very strong support

around `280 levels and it has good amount of

shorts standing in it. With crude taking resistance
at higher levels we believe this stock is buy, as we
anticipate short covering as well as formation of
longs.
CAIRN (82.57%) also has short positions in it but

whatever bounce happening in counter is with very

less cash volumes and high CoC indicates cash
base selling in counter with formation of shorts.
Avoid bottom fishing here.
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Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

AUTO & AUTO ANCILLARIES

APOLLOTYRE

90.75

(2.31)

4672000

30.50

11.59

0.43

75.55

77.90

ASHOKLEY

24.50

7.93

9846000

(15.72)

8.03

0.24

72.55

85.96

1846.80

0.15

1213125

(9.35)

6.31

0.47

75.06

73.33

BHARATFORG

241.50

3.67

3155000

(14.48)

9.52

0.50

93.43

90.52

EXIDEIND

139.65

0.87

1046000

(48.78)

12.25

0.20

50.10

72.79

HEROMOTOCO

1754.60

9.34

1107875

(23.09)

2.34

1.44

73.79

79.99

M&M

1010.35

10.81

2804750

10.03

7.40

0.99

60.77

65.49

MARUTI

1650.20

3.21

3165250

41.37

10.11

0.87

82.76

72.15

15134.45

9.76

78500

18.27

11.21

0.00

78.99

77.80

TATAMOTORS

318.05

7.85

19744000

36.52

4.11

0.97

74.14

71.12

TATAMTRDVR

174.30

2.98

6418000

156.72

10.56

0.31

91.76

72.01

BAJAJ-AUTO

MRF

BANKING & FINANCIALS

ALBK
ANDHRABANK
AXISBANK

119.65

(10.61)

5354000

11.91

-52.79

0.26

87.68

74.91

88.60

(5.54)

6260000

21.79

10.38

0.24

87.33

81.59

1440.65

(3.37)

3709250

(5.65)

7.23

0.78

55.95

71.36

BANKBARODA

665.55

(6.02)

1865000

9.32

-37.85

0.70

68.35

66.67

BANKINDIA

289.85

(14.12)

2622000

25.27

-32.02

0.64

80.01

78.33

CANBK

423.60

(4.11)

1678000

(20.36)

-7.34

1.01

62.67

79.52

82.75

(14.07)

12848000

23.25

-57.95

0.41

89.17

82.25

FEDERALBNK

452.80

(0.91)

690000

(31.89)

5.49

1.00

70.73

81.27

HDFC

920.15

6.19

6899500

89.65

-8.58

0.61

62.26

54.61

HDFCBANK

722.90

4.32

8797000

4.57

-4.04

0.81

57.92

53.03

ICICIBANK

1190.85

1.80

5896750

22.69

8.87

0.88

58.46

58.24

IDBI

82.60

(7.03)

10540000

9.79

11.94

0.61

87.83

82.36

IDFC

153.55

(3.91)

14542000

69.49

4.26

0.44

73.08

74.50

IFCI

26.35

(16.35)

49656000

(15.09)

12.49

0.44

87.26

87.37

526.70

11.89

3843500

7.78

-5.30

0.70

63.40

68.77

60.05

(11.89)

5332000

(15.47)

-41.00

0.40

85.94

82.17

KOTAKBANK

801.40

12.91

3928000

25.66

2.53

1.12

70.65

65.66

KTKBANK

139.65

(8.99)

16934000

(2.57)

-25.17

0.65

92.51

88.46

LICHSGFIN

272.15

16.30

8379000

(26.15)

10.38

0.42

88.42

90.85

ORIENTBANK

248.25

(11.37)

1715000

29.04

-36.49

0.60

83.99

73.21

PFC

192.85

(3.62)

5026000

34.75

10.91

0.28

86.09

82.15

PNB

774.85

(2.16)

4166000

11.96

-37.82

0.73

82.47

85.79

RECLTD

232.50

3.31

3129000

22.47

10.17

0.52

83.82

76.72

RELCAPITAL

339.45

(7.17)

8154000

6.52

11.04

0.46

86.90

80.51

DENABANK

INDUSINDBK
IOB

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Scrip
SBIN

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

2098.65

(8.25)

4864250

23.51

SRTRANSFIN

807.55

13.32

1059000

SYNDIBANK

125.70

4.53

2962000

UCOBANK

78.50

15.02

18512000

UNIONBANK

224.65

(7.57)

VIJAYABANK

50.20

(4.02)

504.00

(0.61)

YESBANK

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

6.30

0.44

72.21

74.19

(40.10)

2.10

0.00

80.81

70.96

(5.91)

-59.86

0.27

84.53

81.46

88.21

-2.49

0.41

85.20

81.85

2490000

0.24

-38.30

1.19

73.00

71.43

6864000

(3.05)

-51.14

0.28

91.47

84.04

7996500

3.73

10.43

0.36

91.78

83.16

8.43
-9.51
8.79
12.78
-43.33
8.62
10.77
10.72
5.89
11.60
7.85
7.12
7.66

0.44
0.44
0.48
0.41
0.00
0.37
0.30
0.48
0.49
0.15
0.63
0.92
0.46

74.59
79.85
89.70
88.44
52.05
90.21
82.86
82.51
66.68
88.00
81.93
77.84
71.20

65.19
85.51
85.05
85.03
60.56
89.35
81.63
79.12
70.10
76.09
82.06
68.92
82.96

4.93
9.66
7.62
11.39
0.56

0.51
0.68
1.80
0.95
0.56

63.57
61.51
71.93
85.63
64.91

55.69
61.21
74.72
78.13
70.38

CAPITAL GOODS & INFRASTRUCTURE

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

155.65
204.05
97.05
20.60
700.90
121.85
18.30
67.40
1433.90
45.35
384.40
598.20
85.60

6.14
6.39
1.62
(7.62)
8.99
2.05
(14.49)
(13.37)
(6.19)
(17.84)
1.26
13.87
(0.81)

2630000
29574000
8606000
50570000
1072500
9878000
21584000
57780000
4318500
23056000
4809000
650000
4118000

43.09
2.48
27.61
5.97
(11.66)
(1.81)
(23.16)
28.74
67.76
24.22
(6.18)
6.56
(35.09)
CEMENT

ACC
AMBUJACEM
GRASIM
INDIACEM
ULTRACEMCO

1248.65
183.45
2968.65
69.25
1988.90

(0.86)
(4.28)
(1.30)
(16.67)
2.83

492500
5404000
602375
6720000
712125

37.00
27.03
45.94
103.39
1.37

CHEMICAL & FERTILIZERS

CHAMBLFERT

45.90

(18.11)

11724000

43.40

12.91

0.67

83.43

83.82

TATACHEM

304.65

(7.03)

1359000

64.73

11.87

1.00

87.85

79.16

UNIPHOS

156.15

17.19

5986000

(12.56)

7.98

0.09

84.52

85.15

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

4903.00
1470.00
157.35
599.45
350.55
1112.85
2463.45
300.70
139.05
147.30
302.85

4.67
5.07
7.22
25.08
8.71
2.06
19.11
(4.33)
(9.56)
7.48
13.55

236875
83000
2084000
8657500
22996000
1119750
8064125
3380000
4638000
20892000
6235000

55.71
(29.81)
68.06
49.53
95.26
20.79
(1.53)
(5.93)
36.41
33.84
3.73

-2.81
9.65
3.74
8.54
-13.80
8.67
12.66
11.37
9.44
-6.17
8.01

0.55
0.00
0.31
0.93
0.75
0.26
0.68
0.00
0.28
0.28
0.53

56.00
70.04
85.90
66.17
61.77
83.30
90.44
96.38
83.24
85.47
79.56

55.09
79.77
71.82
63.25
53.01
75.12
93.62
94.66
82.24
87.37
73.42

11.01
8.70
11.19
7.29
6.55
-7.48
8.46
-9.31

2.00
0.32
0.34
0.52
0.00
0.73
0.19
0.60

87.65
69.77
86.53
60.52
81.09
72.48
84.27
84.42

79.77
70.88
80.47
62.02
91.41
68.67
77.61
62.94

2.97
7.43
7.49

0.42
0.15
0.28

74.38
83.03
80.07

78.27
79.80
79.07

8.55
4.27
11.05
10.34
2.90
10.93
6.62
2.48
10.73
11.45

0.82
1.10
0.00
0.44
0.51
0.62
0.49
1.20
0.73
0.57

66.21
79.47
82.31
81.09
88.54
82.51
83.75
75.95
90.26
78.94

59.65
84.89
78.90
77.12
80.79
81.55
72.19
75.06
86.83
74.92

INFORMATION TECHNOLOGY
FINANTECH
HCLTECH
HEXAWARE
INFY
OFSS
TCS
TECHM
WIPRO

848.05
746.95
82.25
2354.55
2659.50
1490.80
985.15
333.70

4.17
3.39
(3.01)
6.16
5.88
6.11
5.73
(1.26)

601500
2604000
7416000
2677625
425500
6240000
1258000
2454000

3.48
15.35
(0.70)
(17.64)
(6.48)
86.88
41.39
52.23
MEDIA

DISHTV
SUNTV
ZEEL

65.95
423.45
236.35

(6.25)
1.21
4.79

10996000
1829500
4185000

(10.40)
(14.87)
(0.97)

METALS & MINING

COALINDIA
HINDALCO
HINDZINC
JINDALSTEL
JSWSTEEL
NMDC
SAIL
SESAGOA
STER
TATASTEEL

329.85
107.20
119.00
298.65
719.65
120.25
59.35
157.95
91.90
304.30

For Private Circulation Only

3.24
8.45
(0.29)
(9.45)
(2.09)
(7.21)
(8.55)
2.30
1.16
(3.32)

4115000
25780000
2224000
8965000
7957500
22342000
16452000
4996000
24700000
18353000

60.74
(9.67)
(11.32)
49.59
14.16
20.60
27.34
(4.66)
(2.76)
14.99

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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

1075.50
223.90
832.70
308.45

8.63
3.32
18.23
(1.34)

681750
3601000
2031250
521000

(29.19)
(14.99)
1.98
(20.21)

9.15
10.27
11.45
7.87

0.25
0.53
0.01
0.00

86.96
83.65
95.34
69.28

89.32
82.10
93.46
75.64

70.80
48.60
53.30
22.00

17.71
(0.41)
(6.41)
(13.73)

10204000
17256000
8448000
46908000

0.20
12.23
12.88
0.03

13.96
12.18
13.59
18.02

0.20
0.36
0.09
0.55

89.26
79.45
95.96
87.99

86.36
87.10
90.06
85.82

OIL & GAS

BPCL
CAIRN

385.85
286.90

(7.77)
(4.56)

5269000
12459000

37.68
28.34

7.30
10.53

0.25
0.61

82.57
82.57

79.05
82.02

GAIL
GSPL
HINDPETRO
IGL

321.90
58.35
288.10
283.15

(6.66)
(15.92)
(7.76)
(5.71)

2559000
4168000
7572000
1302000

62.37
89.45
25.49
14.92

5.90
10.13
10.49
11.38

0.21
0.17
0.56
0.37

62.84
85.06
89.83
80.87

59.65
82.32
85.82
79.83

IOC
ONGC
PETRONET
RELIANCE

297.30
335.75
141.95
842.60

(2.91)
2.22
3.24
3.29

1701000
7953000
1650000
10407000

(8.94)
22.56
(39.16)
30.32

12.39
7.22
-10.02
9.04

0.23
0.65
0.67
0.47

85.74
58.47
65.17
65.81

77.52
61.38
83.85
67.14

For Private Circulation Only

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Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

PHARMACEUTICAL
AUROPHARMA
BIOCON
CIPLA
DIVISLAB
DRREDDY
LUPIN
OPTOCIRCUI
RANBAXY
SUNPHARMA

178.65
274.05
385.80
980.15
2121.60
768.55
51.10
384.85
1078.50

(7.44)
(6.07)
(5.76)
(8.01)
5.94
10.51
(17.78)
(17.02)
9.98

10854000
1376000
8691000
527000
726125
2129000
6988000
3753000
3488750

18.08
(4.51)
66.94
26.68
56.37
169.49
(10.64)
31.20
54.23

12.52
9.82
9.53
9.92
8.63
5.28
7.70
10.07
5.22

0.21
0.00
0.56
0.00
0.52
0.49
0.88
0.57
1.11

88.52
84.00
78.55
79.28
64.47
71.61
83.69
80.13
73.52

85.58
80.80
80.19
73.87
59.31
59.00
72.03
80.46
69.81

11.13
11.41
5.26
12.58
13.47
8.32
7.41
11.39
9.98
12.29

0.52
0.00
0.00
0.69
0.96
0.33
0.60
1.33
0.47
0.28

66.79
72.62
92.97
81.63
87.86
59.98
64.96
85.12
86.76
66.04

89.43
83.31
73.04
85.66
81.23
67.45
61.22
81.19
88.64
57.25

9.82
-1.46
10.45
10.89

0.33
0.48
0.37
0.43

59.54
83.65
81.24
82.84

77.77
73.80
86.20
79.97

POWER
ADANIPOWER
CESC
JPPOWER
JSWENERGY
NHPC
NTPC
POWERGRID
PTC
RPOWER
TATAPOWER

59.05
334.10
24.90
57.55
19.55
157.60
115.05
57.70
72.40
91.00

18.69
12.08
(8.62)
(11.46)
(9.49)
0.96
3.98
(6.41)
(2.82)
(4.51)

8432000
602000
15544000
9916000
36218000
10274000
7474000
4072000
38460000
11032000

(32.09)
0.50
12.38
49.25
15.24
18.72
75.20
62.62
4.48
84.98

REAL ESTATE
DLF
HDIL
IBREALEST
UNITECH

207.30
44.55
75.45
24.15

(14.97)
(22.45)
9.19
(16.87)

16407000
28592000
13700000
65836000

16.35
16.02
(14.80)
24.08

TELECOM
BHARTIARTL
IDEA

317.50
133.95

3.61
14.49

7417000
5150000

52.99
(49.41)

8.68
4.39

0.91
0.45

63.01
73.03

57.54
84.77

RCOM
TATACOMM

110.10
213.70

14.45
(6.54)

32280000
3238000

(14.08)
23.31

2.37
12.00

0.75
0.63

77.85
94.05

78.64
87.36

TEXTILES
ARVIND
CENTURYTEX
RAYMOND

82.50

4.83

3444000

(33.67)

8.75

0.40

72.35

84.04

293.05
285.70

(1.21)
1.60

4998000
4188000

14.92
(1.83)

11.90
11.04

0.44
0.00

90.12
93.25

86.84
85.69

For Private Circulation Only

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Derivative Report | India Research

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