Rollover Analysis

October 27, 2017

Rollover Snapshot High leverage continues in November series also...
October September August
Market wide rollover (%) 86.03 85.07 84.15  Nifty rolls were at 72.69%, higher than the 3M average of 64.96%
Nifty Rollover (%) 72.69 69.32 57.16  Market wide rollover was at 86.03%, also higher than the 3M average of 83%
Nifty Rollover cost (%) 0.16 0.2 0.19  Sectorally, media, pharma and infrastructure stocks witnessed high rollover of
positions while stocks from the oil & gas, technology and capital goods space
witnessed relatively low rolls into the November series
OI build-up in current and mid series  Highest rollover was observed in Indiabulls Real Estate (96%), JSW Energy (95%),
Nifty October OI Nifty November OI Castrol India (94%), Adani Power (94%) and IDFC Bank (93%)
30 10,400
Nifty Spot  Rollover activities were relatively low in Bata India, Muthoot Finance, NTPC, PNB
25 10,350 and Torrent Power
OI in Millions

20 10,300  Among index stocks, Dr Reddy’s, Sun Pharma, Yes Bank and Hindustan Unilever
witnessed high rolls into the November series while Coal India, Gail, Vedanta and
15 10,250
Infosys witnessed relatively low rolls into the next series
10 10,200  The open interest in Nifty futures at 22.3 million shares is the highest seen in since
5 10,150 March 2017 amid subdued roll cost. The roll spread in the Nifty remained below
35 points throughout the settlement week and finally declined further to 17 points
0 10,100
in the last session. The relatively high open interest amid continued low roll
18-Oct
17-Oct

23-Oct

24-Oct

25-Oct

26-Oct

spread indicates continued short aggression despite Nifty moving to life high
levels. The current up move may extend towards 10500 on the back of short
covering. At the same time, Nifty Bank open interest has also increased marginally
going into October series and is at 1.7 million shares at the inception. The roll
Nifty & market wide rollovers (MoM) spread in the banking index has remained under continued pressure indicating
88 Marketwide v/s Nifty Rollover 90 consolidation in coming sessions. Roll spread in the banking index has declined to
86 85 just 54 points during the settlement suggesting continued short bias
Sectoral rollovers
Market wide rollover (%)

84 80
Nifty Rollover (%)

82 75 High Rollover Low Rollover

80 70 Sector Rollover % Sector Rollover %
78 65 Media 91.39 Oil_Gas 78.86
76 60 Pharma 90.66 Technology 82.95
74 55 Fertilisers 89.76 Capital_Goods 84.04
72 50 Realty 89.52 Finance 84.48
70 45 Infrastructure 89.39 Metals 84.56
Jan'1 7
Oct'16

Oct'17
Jun'17
May'17

Jul'17
Aug'16

Aug'17
Nov'16

Mar'17
Sep'16

Sep'17
Apr'17
Dec'16

Feb'17

Stock rollovers
High Rollover Low Rollover
Market wide rollover (in %) Nifty Rollover (in %)
Stock Rollover % Stock Rollover %
IBREALEST 96.37 POWERGRID 61.30
JSWENERGY 95.83 BATAINDIA 64.98
The Nifty witnessed relatively high rollover activity due to FORTIS 95.28 BPCL 65.49
continued fresh additions in the November series. With the CASTROLIND COALINDIA
95.22 67.36
banking space taking the lead once again along with the
JSWSTEEL 94.32 GAIL 67.50
Infrastructure space, the Nifty is starting the new series with
the significantly high open interest. Index heavyweights from Source: NSE, Seediff, ICICIdirect.com Research
across sectors witnessed relatively high open interest moving Stock rollovers
into the new series 100 Sectoral Rollover
90
Stocks from the private sector banking and pharma space are 80
Rollover %

89.60

starting the new series with significantly high open interest. It

89.22
91.4

90.7
88.11

88.00
89.8

89.5

89.4

86.72
86.44

88.1

70
87.8
85.65
87.8
84.92

84.38
84.35

84.44

83.84
83.47

83.53
85.4
82.65
84.9

84.7

84.6

84.6

84.5

82.00
84.0

81.15
82.9

78.9

60
seems like fresh short positions were formed in this space. The
50
Nifty has no major Call base for November series while the Put
Realty

Oil_Gas
Media

Technology
Finance
Textile
Fertilisers

Power
Pharma

FMCG
Automobile
Cement

Capital_Goods
Metals
Telecom

Banking
Infrastructure

base is placed at 1000 strike which is likely to act as major

support in the days to come.
Roll over (in % ) 3 M AVG

Among midcaps, stocks that are witnessing high open interest

in the November series include Havells, Torrent Pharma,
Heavyweights build-up vis-à-vis rollover cost
1.00
Castrol India and United Spirits LUPIN
0.90
BAJFINANCE YESBANK
Research Analyst DRREDDY
0.80
....….% Rollover Cost.……..

HDFC
0.70
Amit Gupta INDUSINDBK 0.60
amit.gup@icicisecurities.com TATAMOTORS 0.50
ZEEL
Azeem Ahmad EICHERMOT BHARTI
0.40

azeem.ahmad@icicisecurities.com HCLTECH 0.30

0.20
ULTRACEMCO
Raj Deepak Singh
AXISBANK
0.10
HDFCBANK
rajdeepak.singh@icicisecurities.com 0.00
0.92

0.94

0.96

0.98

1.00

1.02

1.04

1.06

1.08

1.10

…………%OI at inception f rom the highest OI of October series……

Nandish Patel
Nandish.patel@icicisecurities.com

ICICI Securities Ltd | Retail Equity Research

 Previous Rollover Previous Rollover
Instrument Rollover % October November December Total OI Rollover Cost %
% Cost %
ACC 79.56 72.46 362000 1404800 4400 1771200 0.631153749 0.69
ADANIENT 89.15 85.36 3680000 30192000 56000 33928000 0.839694656 0.65
ADANIPORTS 81.26 82.65 1642500 7097500 25000 8765000 0.627564567 0.36
ADANIPOWER 93.59 92.84 7080000 103080000 280000 110440000 1.073619632 0.85
AJANTPHARM 92.05 83.24 82400 953600 400 1036400 0.875507154 0.86
ALBK 80.16 83.59 3160000 12290000 480000 15930000 0.591016548 0.68
AMARAJABAT 84.89 83.47 399600 2231400 13800 2644800 0.789454624 0.68
AMBUJACEM 79.41 73.36 2645000 10167500 35000 12847500 0.633025864 0.41
ANDHRABANK 83.38 83.02 3990000 19890000 130000 24010000 0.501073729 0.79
APOLLOHOSP 87.55 83.76 238500 1675000 2000 1915500 0.606001368 0.58
APOLLOTYRE 75.1 80.17 4833000 14535000 39000 19407000 0.796311819 0.23
ARVIND 85.46 82.78 882000 5148000 34000 6064000 0.719152157 0.54
ASHOKLEY 86.5 87.27 8414000 53424000 511000 62349000 0.800609989 0.81
ASIANPAINT 75.11 77.24 949800 2857800 8400 3816000 0.352600428 0.54
AUROPHARMA 93.09 91.36 1204800 16215200 18400 17438400 0.580774366 0.48
AXISBANK 84.94 77.9 8560800 47901600 394800 56857200 0.289077018 0.31
BAJAJ-AUTO 85.66 85.7 284000 1696500 0 1980500 0.447706646 0.64
BAJAJFINSV 92.52 90.07 62125 768750 125 831000 0.703532718 0.69
BAJFINANCE 87.59 78.09 868500 6098000 30000 6996500 0.792901102 0.24
BALKRISIND 70.54 82.05 251200 598400 3200 852800 0.843351325 0.46
BALRAMCHIN 83.59 80.85 3034500 15298500 157500 18490500 0.852272727 0.70
BANKBARODA 80.68 80.24 8589000 35584500 283500 44457000 0.511577814 0.72
BANKINDIA 73.88 79.17 4866000 13620000 144000 18630000 0.103653796 0.69
BANKNIFTY 68.63 64.64 794240 1694560 43080 2531880 0.23359257 0.10
BATAINDIA 64.98 82.12 729300 1334300 18700 2082300 0.23855577 0.40
BEL 84.67 83.36 2677950 14746050 49500 17473500 0.765381219 0.55
BEML 88.39 87.72 310800 2364000 1200 2676000 0.120510258 0.80
BERGEPAINT 78.59 76.11 314600 1148400 6600 1469600 0.774621911 0.85
BHARATFIN 88.1 91.36 1726000 12756000 25000 14507000 0.051007396 0.50
BHARATFORG 85.23 83.62 1117200 6436800 9600 7563600 0.377729093 0.33
BHARTIARTL 86.79 91.07 4659700 30346700 280500 35286900 0.449833757 0.60
BHEL 85.06 83.01 8265000 46642500 397500 55305000 0.725012947 0.54
BIOCON 80.71 88.41 2219400 9244800 41400 11505600 -1.221995927 0.53
BOSCHLTD 85.56 84.74 17400 103075 0 120475 0.680171838 0.39
BPCL 65.49 84.05 5077800 9622800 12600 14713200 0.009320533 0.46
BRITANNIA 92.64 85.69 58200 731400 1200 790800 0.698207247 0.52
CADILAHC 80.04 86.73 689600 2761600 3200 3454400 0.537134594 0.27
CANBK 74.42 82.63 2118708 6069312 95604 8283624 0.530535251 0.63
CANFINHOME 88.89 85.15 510000 3998750 82500 4591250 0.852472169 0.71
CAPF 89.46 83.72 333600 2828000 2400 3164000 0.771010023 0.61
CASTROLIND 95.22 87.1 704200 13983200 56000 14743400 0.663412192 0.63
CEATLTD 80.67 86.36 397600 1656900 2800 2057300 1.008257539 0.67
CENTURYTEX 91.58 91.33 662200 7189050 11000 7862250 0.815146912 0.67
CESC 88.73 78.84 628100 4932400 12100 5572600 0.791070129 0.65
CGPOWER 89.72 85.19 3108000 27120000 12000 30240000 0.852099817 0.52
CHENNPETRO 78.54 86.75 405000 1482000 0 1887000 0.633484163 0.69
CHOLAFIN 83.99 82.76 75000 393500 0 468500 0.835016835 0.44
CIPLA 86.02 80.43 1229000 7545000 17000 8791000 0.768601799 0.13
COALINDIA 67.36 79.07 7534400 15427500 119000 23080900 -0.835179819 0.00
COLPAL 83.2 83.06 301700 1494500 0 1796200 0.635281847 -0.04
CONCOR 83.12 74.99 243750 1200000 625 1444375 0.646835258 -0.74
CUMMINSIND 83.88 70.06 102600 534000 0 636600 0.710587198 0.51
DABUR 89.11 90.18 1357500 11100000 10000 12467500 0.030978934 0.39
DALMIABHA 83.78 92.5 104700 540900 0 645600 0.673489951 0.54
DCBBANK 81.1 85.56 1485000 6349500 22500 7857000 0.984528833 0.70
DHFL 88.01 92.36 3522000 25845000 9000 29376000 0.712333306 0.89
DISHTV 85.18 87.46 3738000 21420000 70000 25228000 0.390370852 0.26

ICICI Securities Ltd | Retail Equity Research Page 2

 Previous Rollover Previous Rollover
Instrument Rollover % October November December Total OI Rollover Cost %
% Cost %
DIVISLAB 82.98 81.41 819200 3973600 21600 4814400 0.757046355 0.59
DLF 88.23 80.64 5860000 43740000 180000 49780000 0.796484482 0.90
DRREDDY 90.74 83.48 360000 3520400 7600 3888000 0.648367351 0.04
EICHERMOT 84.98 81.86 25225 142650 100 167975 0.300782319 0.51
ENGINERSIN 81.01 85.46 2929500 12428500 70000 15428000 0.295159386 0.77
EQUITAS 83.72 74.15 2697600 13817600 54400 16569600 0.547570157 0.76
ESCORTS 80.44 81.75 552200 2262700 8800 2823700 0.824099723 0.71
EXIDEIND 79.32 88.98 4156000 15908000 28000 20092000 -0.241779497 0.64
FEDERALBNK 83.79 86.67 13475000 69091000 583000 83149000 0.753453328 0.67
FORTIS 95.28 91.73 2060100 41604300 27000 43691400 0.891632373 0.41
FTSE100 0 0 0 0 0 0 0 0.00
GAIL 67.5 86.58 5738000 11906000 10000 17654000 -0.913389211 0.45
GLENMARK 86.33 88.93 1089200 6841100 39200 7969500 0.442699632 0.69
GMRINFRA 91.28 89.76 27855000 289350000 2295000 319500000 1.08401084 0.94
GODFRYPHLP 80.63 78.19 119000 495500 0 614500 0.926018122 0.67
GODREJCP 89.64 88.61 198400 1716000 0 1914400 0.698770381 0.49
GODREJIND 79.41 88.42 858000 3268500 40500 4167000 0.89363939 0.77
GRANULES 88.24 84.26 2165000 16215000 35000 18415000 0.833937636 0.71
GRASIM 91.29 85.68 326250 3408750 12750 3747750 0.640971931 0.59
GSFC 91.06 88.57 1872000 19030500 45000 20947500 0.804634696 0.64
HAVELLS 83.58 81.14 1124000 5658000 62000 6844000 0.836431227 0.61
HCC 85.74 84.13 4176000 24948000 156000 29280000 0.897435897 0.76
HCLTECH 88.38 77.62 1071000 8140300 2100 9213400 0.391231805 -0.12
HDFC 75.54 75.13 3842500 11848000 20000 15710500 0.576121961 0.33
HDFCBANK 84.34 72.91 3983500 21362000 92500 25438000 0.222797783 -0.28
HDIL 85.84 86.24 5200000 31160000 360000 36720000 0.868055556 0.72
HEROMOTOCO 78.87 83.2 433400 1617000 600 2051000 0.599864031 0.36
HEXAWARE 74.35 73.19 594000 1713000 9000 2316000 0.281195079 0.49
HINDALCO 84.56 72.72 6958000 37866500 241500 45066000 0.43972151 0.31
HINDPETRO 84.46 83.34 3877650 21035700 31500 24944850 -0.436408978 0.12
HINDUNILVR 88.79 83.17 1174800 9294600 7200 10476600 -0.251236555 -0.15
HINDZINC 82.62 88.5 1920000 9068800 60800 11049600 0.173419518 0.86
IBREALEST 96.37 95.27 1650000 43840000 0 45490000 1.208021261 0.82
IBULHSGFIN 86.49 80.07 1116800 7112800 36800 8266400 -0.004005608 0.57
ICICIBANK 82.81 74.06 16170000 77550000 357500 94077500 -0.033416876 0.33
ICICIPRULI 91.25 83.91 601900 6256900 23400 6882200 0.012901561 0.72
ICIL 87.14 84.57 1491000 10097500 3500 11592000 0.745341615 0.68
IDBI 80.36 85.77 4800000 19384000 256000 24440000 0.662251656 0.76
IDEA 76.48 81.78 17136000 55419000 287000 72842000 0.56876939 0.53
IDFC 79.52 84.85 33343200 129096000 343200 162782400 0.226244344 0.76
IDFCBANK 92.77 90.82 8847000 113022000 432000 122301000 0.699912511 0.62
IFCI 89.19 91.26 9460000 77528000 484000 87472000 0.970873786 0.66
IGL 80.4 78.55 231000 943800 3850 1178650 0.835873425 0.45
INDIACEM 92.21 86.05 2173500 25683000 35000 27891500 0.791018117 0.50
INDIANB 84.57 80.55 664000 3602000 38000 4304000 0.689007203 0.62
INDIAVIX 0 0 0 0 0 0 0 0.00
INDIGO 91.19 68.26 202800 2098200 0 2301000 0.804312484 0.67
INDUSINDBK 83.94 71.29 1054800 5482800 30000 6567600 0.661473788 0.26
INFIBEAM 84.1 91.19 8552000 45220000 0 53772000 0.841300191 0.93
INFRATEL 82.95 84.63 1837700 8904600 34000 10776300 0.691699605 0.39
INFY 74.26 84.33 12207500 34874000 341500 47423000 -2.058373357 0.29
IOC 71.63 87.81 5247000 13200000 51000 18498000 -0.40091638 0.21
IRB 79.59 69.26 3935000 15302500 45000 19282500 0.105064089 0.00
ITC 82.52 84.74 11860800 55514400 482400 67857600 0.44709389 0.42
JETAIRWAYS 88.51 82.25 643200 4922400 30000 5595600 0.973167045 0.57
JINDALSTEL 81.32 89.11 7272000 31612500 54000 38938500 0.594707107 0.78
JISLJALEQS 88.75 91.1 5877000 46269000 72000 52218000 0.842105263 0.80

ICICI Securities Ltd | Retail Equity Research Page 3

 Previous Rollover Previous Rollover
Instrument Rollover % October November December Total OI Rollover Cost %
% Cost %
JPASSOCIAT 88.91 86.21 20332000 162996000 68000 183396000 0.824175824 0.90
JSWENERGY 95.83 92.46 2728500 62747000 34000 65509500 0.955794504 1.09
JSWSTEEL 94.32 94.8 3015000 50049000 57000 53121000 0.865551068 0.80
JUBLFOOD 81.5 81.99 429500 1875500 17000 2322000 0.733570755 0.53
JUSTDIAL 82.42 81.19 896400 4185600 18000 5100000 0.725796531 0.66
KAJARIACER 79.3 76.34 228000 873600 0 1101600 0.793479045 0.66
KOTAKBANK 78.27 70.34 2219200 7968800 24000 10212000 0.323878693 0.12
KPIT 92.55 90.51 888000 11028000 4000 11920000 0.909752547 0.91
KSCL 90.28 85.12 451500 4182000 13500 4647000 0.736951621 0.77
KTKBANK 88.89 82.86 2960200 23529600 148200 26638000 0.641231164 0.68
L&TFH 90.87 87.22 3348000 33102000 220500 36670500 0.790010194 0.58
LICHSGFIN 90.53 87.48 1172600 11181500 33000 12387100 0.78829744 0.50
LT 80.62 85.66 2585250 10689000 68250 13342500 0.118512464 0.46
LUPIN 84.78 83.17 1400400 7728400 70800 9199600 0.810674723 0.30
M&M 83.22 83.55 786000 3893000 6000 4685000 0.345970356 0.52
M&MFIN 87.81 79.64 1365000 9812500 20000 11197500 0.732029281 0.46
MANAPPURAM 84.3 86.07 5652000 30096000 258000 36006000 0.559511699 0.74
MARICO 73.91 84.4 1640600 4648800 0 6289400 0.414739193 0.55
MARUTI 85.15 85.41 334800 1907250 13200 2255250 0.560854234 0.46
MCDOWELL-N 90.98 91.9 227250 2287250 4250 2518750 0.870021168 0.70
MCX 86.59 86.03 266500 1718000 3000 1987500 1.03993542 1.06
MFSL 87.36 86.15 612000 4224000 4000 4840000 0.496602196 0.74
MGL 78.1 85.44 186600 661800 3600 852000 0.808842212 0.66
MINDTREE 87.63 81.35 464400 3289200 1200 3754800 -0.020554985 0.64
MOTHERSUMI 88.37 79.27 1578750 11977500 18750 13575000 0.788288288 0.27
MRF 88.71 88.35 5895 46290 15 52200 0.877270068 0.60
MRPL 83.68 81.07 1489500 7623000 13500 9126000 0.669642857 0.66
MUTHOOTFIN 69.55 86.57 760500 1735500 1500 2497500 0.596155823 0.71
NATIONALUM 90.96 82 2304000 23008000 184000 25496000 0.054525627 0.52
NBCC 86.27 81.48 726000 4524000 36000 5286000 0.721810378 0.69
NCC 82.99 86.65 4408000 21224000 280000 25912000 0.459136823 0.86
NESTLEIND 80.94 80.93 22000 93400 0 115400 0.609525676 0.55
NHPC 84.71 80.53 6588000 36099000 405000 43092000 0.892857143 0.56
NIFTY 72.69 69.87 8691750 22355025 775050 31821825 0.161932752 0.18
NIFTYCPSE 0 0 0 0 0 0 0.61090399 0.48
NIFTYINFRA 0 0 2475 0 0 2475 0.610386345 0.48
NIFTYIT 76.46 70.17 8900 28900 0 37800 0.027106372 0.26
NIFTYMID50 0 0 0 0 0 0 0.610443833 0.48
NIFTYPSE 0 0 0 0 0 0 0.610212554 0.48
NIITTECH 73.64 61.11 232500 649500 0 882000 0.919389263 0.69
NMDC 84.09 85.05 5934000 31290000 78000 37302000 0.589390963 0.64
NTPC 69.61 80.08 10188000 23304000 28000 33520000 -0.649878148 0.24
OFSS 76.98 83.68 13500 45150 0 58650 0.92374158 0.57
OIL 70.01 66.31 1049158 2438216 11330 3498704 -1.250888415 -1.08
ONGC 74.71 88.43 14032500 41088750 375000 55496250 -1.1559064 0.35
ORIENTBANK 81.56 76.18 3072000 13506000 78000 16656000 0.684228532 0.75
PAGEIND 75.59 72.76 5700 17650 0 23350 0.51231052 0.81
PCJEWELLER 78.97 86.25 2613000 9765000 48000 12426000 0.850938967 0.72
PEL 89.18 84.03 177600 1460400 2700 1640700 0.612237137 0.82
PETRONET 83.32 84.36 1908000 9525000 6000 11439000 0.773993808 0.58
PFC 81.2 85.26 10356000 44430000 306000 55092000 -1.809954751 0.61
PIDILITIND 80.79 84.8 315000 1324000 1000 1640000 0.869068764 0.62
PNB 70.67 79.23 12582500 29928500 392000 42903000 -2.785580524 0.65
POWERGRID 61.3 70.26 7792000 12280000 60000 20132000 0.306603774 0.24
PTC 88.74 79.81 2136000 16744000 88000 18968000 0.8399832 0.66
PVR 74.61 80.45 167200 488800 2400 658400 0.488937353 0.52
RAMCOCEM 80.34 67.72 121600 490400 6400 618400 0.726040658 0.40

ICICI Securities Ltd | Retail Equity Research Page 4

 Previous Rollover Previous Rollover
Instrument Rollover % October November December Total OI Rollover Cost %
% Cost %
RAYMOND 90.47 87.05 440800 4175200 9600 4625600 0.812682424 0.733933638
RBLBANK 90.58 71.9 638000 6076000 56000 6770000 0.782207144 0.446916278
RCOM 88.68 86.66 14238000 110264000 1330000 125832000 0.949367089 1.507537688
RECLTD 73.89 89.13 13578000 38172000 258000 52008000 0.448967375 0.728235684
RELCAPITAL 90.53 84.18 1248000 11919000 18000 13185000 0.820974576 0.717025179
RELIANCE 86.16 79.33 5995000 36890000 421000 43306000 0.564703399 0.29245343
RELINFRA 91.84 85.31 958100 10751000 28600 11737700 0.804808476 0.734976221
REPCOHOME 85.19 78.8 136500 785400 0 921900 0.606796117 0.739236393
RNAVAL 88.95 83.33 1530000 12240000 72000 13842000 0.954198473 0.859598854
RPOWER 90.64 88.36 6420000 61524000 648000 68592000 0.875 0.609013398
SAIL 86.98 85.83 9600000 63084000 1068000 73752000 -0.389863548 0.845864662
SBIN 75.23 85.55 19926000 59757000 774000 80457000 0.15600624 0.475153435
SHREECEM 88.76 75.28 3900 30750 50 34700 0.824433936 0.289045134
SIEMENS 87.61 81.95 131000 926500 0 1057500 0.727778882 0.672919208
SOUTHBANK 91.03 85.64 16703064 168058011 1458204 186219279 0.96 0.896057348
SREINFRA 89.87 80.88 1130000 10020000 10000 11160000 0.852878465 0.778967868
SRF 78.22 87.64 204500 730500 4000 939000 0.910253288 0.719541577
SRTRANSFIN 85.91 76.96 520200 3172200 600 3693000 0.263675366 0.227649988
STAR 91.54 89.78 395500 4271000 6500 4673000 0.862223819 0.7225923
SUNPHARMA 93.74 90.97 2548800 38028000 151200 40728000 0.763934735 0.370592949
SUNTV 87.12 81.23 797000 5359000 32000 6188000 0.606691997 0.579255827
SUZLON 89.28 84.01 51630000 421920000 8100000 481650000 0.94637224 0.974025974
SYNDIBANK 80.8 77.66 4356000 18261000 72000 22689000 0.732600733 0.801924619
TATACHEM 86.66 74.53 970500 6289500 15000 7275000 0.765373449 0.653131885
TATACOMM 88.71 87.21 998900 7849800 2800 8851500 0.961965369 0.736716773
TATAELXSI 85.22 82.08 299200 1725600 0 2024800 0.696262795 0.768372785
TATAGLOBAL 90.69 89.3 3591000 34821000 171000 38583000 0.691134414 0.738370662
TATAMOTORS 87.18 79.87 6235500 42145500 253500 48634500 0.584167859 0.423517688
TATAMTRDVR 94 82.09 1652700 25855200 31500 27539400 0.803125678 0.768014457
TATAPOWER 85.56 69.65 5427000 31932000 216000 37575000 0.791235545 0.841423948
TATASTEEL 82.84 78.16 4874000 23272000 256000 28402000 0.719967087 0.584885332
TCS 83.5 85.4 1144000 5784250 5000 6933250 0.600665656 -0.109027035
TECHM 83.84 86.03 2099900 10848200 42900 12991000 0.50288109 0.121025415
TITAN 86.19 80.72 868500 5394000 27000 6289500 0.778243393 0.660123339
TORNTPHARM 91.24 76.96 49200 512000 400 561600 0.713055322 0.691659163
TORNTPOWER 73.55 87.12 1818000 5040000 15000 6873000 0.697981513 0.694444444
TV18BRDCST 93.86 92.78 5984000 91307000 204000 97495000 0.812064965 0.64683053
TVSMOTOR 78.92 89.82 1440000 5352000 38000 6830000 -1.149743732 0.023266636
UBL 82.22 70.32 265300 1221500 5600 1492400 0.610630277 0.558068496
UJJIVAN 90.17 84.08 722400 6598800 30000 7351200 0.946910897 0.810038119
ULTRACEMCO 83.67 88.3 251600 1287200 1800 1540600 0.227480541 0.403236229
UNIONBANK 75.9 86.53 4956000 15512000 96000 20564000 0.348712446 0.818075575
UPL 89.21 78.09 964800 7975200 1200 8941200 0.455104551 0.404594101
VEDL 72.35 83.25 14637000 38132500 164500 52934000 0.393758203 0.647458725
VGUARD 75.04 71.88 516000 1545000 6000 2067000 0.842764267 0.554938957
VOLTAS 81.76 75.95 514000 2294000 10000 2818000 0.776935318 0.718562874
WIPRO 87.62 88.75 4665600 33031200 2400 37699200 -0.479655971 -0.157397692
WOCKPHARMA 87.11 88.53 429600 2886400 17600 3333600 0.630889634 0.650580581
YESBANK 89.47 85.23 6168750 51875250 532000 58576000 0.709541063 0.527366021
ZEEL 86.08 88.92 1225900 7562100 19500 8807500 0.545625588 0.336538462
YESBANK 85.23 85.23 11268250 29176000 173250 40617500 0.550469182 0.527366021
ZEEL 88.92 88.92 2610400 2863900 2600 5476900 0.452358037 0.336538462

ICICI Securities Ltd | Retail Equity Research Page 5

 Trading Portfolio allocation
 It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research
products.
 Please avoid allocating the entire trading corpus to a single stock or a single product segment.
 Within each product segment it is advisable to allocate equal amount to each recommendation.
 For example: The ‘Daily Derivatives’ product carries 2 intraday recommendations. It is advisable to allocate equal
amount to each recommendation.

Allocation Return Objective

Product wise Max allocation Frontline Mid-cap
Products allocation per stock Number of Calls Stocks stocks Duration
Daily Derivatives 5% 2-3% 2 Stocks 1% 2-3% Intraday
Weekly Derivatives 10% 3-5% 2 Stocks 3-5% 5-7% 1 Week
High OI stock 5% 2-3% 2-3 Stocks 5-7% 7-10% 1-2 Weeks
Monthly Derivatives 20% 3-5% 4-7 Stocks 7-10% 10-15% 1 Month
Global Derivatives 5% 2-3% 1-2 index strategy - - 1 Month
Stock Trader/ Stock in Focus 10% 2-3% 5-6 Stocks 7-10% 10-15% 3 Months
Alpha Trader 5% 2-3% 2-3 Alpha strategy 5% - 3 Months
Volatility Insights 5% 2-3% 1-2 Strategy 8-10% 10-15% 1-2 Month
Arbitrage Opportunity 5% 2-3% 2-3 Stocks > 2.5% >2.5% Event Based
Intraday Futures 10% 2-3% 8-12 Stocks 05.-1% 1-3% Intraday
Index option & Strategy 15% 3-4% 2-5 Nifty 2-3% - 1-14 days
Stock option & Strategy 5% 3-4% 2-8 Stocks - 3-5% 1-14 days

Pankaj Pandey Head – Research pankaj.pandey@icicisecurities.com

ICICIdirect.com Derivatives Desk

ICICI Securities Limited,

1st Floor, Akruti Trade Centre,
Road No 7, MIDC,
Andheri (East), Mumbai – 400 093
research@icicidirect.com

research@icicidirect.com

ICICI Securities Ltd | Retail Equity Research Page 6

Disclaimer
ANALYST CERTIFICATION
We /I, Amit Gupta B.E, MBA (Finance), Raj Deepak Singh BE, MBA (Finance), Azeem Ahmad MBA(Fin),CS & Nandish Patel, Research Analysts, authors and the names subscribed to this report, hereby
certify that all of the views expressed in this research report accurately reflect our views about the subject issuer(s) or securities. We also certify that no part of our compensation was, is, or will be directly
or indirectly related to the specific recommendation(s) or view(s) in this report.

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ICICI Securities Ltd | Retail Equity Research Page 7