Rollover Analysis

April 23, 2014

April
55.70
45.25
0.69

Market wide rollover (%)

Nifty Rollover (%)
Nifty Rollover cost (%)

March
60.45
44.79
0.87

February
58.42
50.36
0.56

OI Build up in current and mid series

6,850

OI (in millions)

12.4
9.6

6,750
14.2
6.8

4.7

15.3

15.7
2.7

15.4
2.3

2.0

16.1

6,800

6,700
6,650

11-Apr 15-Apr 16-Apr 17-Apr 21-Apr 22-Apr

Nifty Apr OI

Nifty May OI

Nifty Spot

Stock specific rolls still on lower side; Nifty OI

too low for VWAP action
Nifty rolls were at 45.25%, lower than the 3M average of 52.82%
Market wide rollover was at 55.7% marginally lower than 3M average of 59.3%
Sectorally, capital goods, telecom and metal stocks are witnessing high rollover of

positions while stocks from the realty, media and infrastructure space are
witnessing relatively low rolls into the May series
Highest rollover was observed in JSW Steel (80%), Hindustan Zinc (75%),
McLeod Russel (72%), HPCL (71%) and Century Textiles (70%)
Rollover activities are noteworthy low among Dabur (33.2%), REC Ltd (33%),
CESC (34%), Havells (36%) and Voltas (38%)
Among index stocks, Bajaj Auto (69%), Lupin (67%) and Kotak Mahindra Bank
(65%) are witnessing highs rolls into the May series while Dr Reddys (47%), ACC
(48%) and Tech Mahindra (48%) are witnessing low rollover into the next series
Market wide rollover activity improved significantly in the last session as rollover
among midcaps picked up. Nifty future also witnessed higher roll action and just
12.3 million shares are left for settlement. At the same time, May series open
interest has risen to 9.5 million shares. At such a lower open interest VWAP
selling may not be seen during settlement. Moreover, with roll spread of more
than 47 points, short positions can be easily rolled into the next series
Sectoral rollovers
High Rollover

Low Rollover

Sector
Capital_Goods
Telecom
Metals
Cement
Pharma

Both Nifty and market wide rollover is marginally lower

compared to the three month average figure. However, looking
at the low open interest in the Nifty April series futures, VWAP
activity may not be seen during settlement. On the other hand,
noteworthy open interest is visible among stocks across the
sectors.
Among heavyweights, HDFC, DLF and L&T are witnessing
noteworthy open interest in the April series compared to their
highest open interest seen during the series. Noteworthy
positions are still intact in these stocks and despite favourable
roll cost, rollover activities failed to pick.
Among midcaps, CESC, Voltas and Petronet still have
significant open interest left in the April series. Closure of
positions among these stocks is expected to create volatile
movements during settlement if roll activities fail to pick up

Analyst

Rollover %
80.20
76.03
74.84
72.33
71.53

Stock
GSKCONS
DABUR
RECLTD
CESC
HAVELLS

High Rollover

Rollover %
50.33
51.32
51.93
53.56
53.96

Low Rollover

Stock
JSWSTEEL
BHEL
HINDZINC
MCLEODRUSS
HINDPETRO

Rollover %
30.70
33.27
33.29
34.77
36.09

Source: NSE, Seediff, ICICIdirect.com Research

Heavyweights build up vis--vis rollover cost

BHARTI

SUNPHARMA

ITC

TATAMOTORS
SSLT

HDFC

ASIANPAINT

1.0
0.8

DRREDDY

M&M

Significant open interest is still left in the

abovementioned stocks and they are probable
candidates for short covering/long closure if
rollover fails to pick up

Sector
Realty
Media
Infrastructure
Power
Automobile

Stock rollovers

1) HDFC: Sell below 871

2) ITC: Buy above 352

Rollover %
67.34
62.90
59.74
58.36
58.01

LT

DLF

ULTRACEMCO

0.6
0.4
0.2

SBIN
0.51

0.53

0.0
0.55

0.57

0.59
INFY

0.61

0.63

0.65
-0.2

.....% Rollover Cost...

Rollover Snapshot

%OI at inception from the highest OI of April series... -0.4

Amit Gupta
amit.gup@icicisecurities.com

Source: NSE, Seediff, ICICIdirect.com Research

Azeem Ahmad
azeem.ahmad@icicisecurities.com

The diagram above depicts the rollover cost of index heavyweights along with the open interest
left for the settlement in comparison with the highest OI levels of the series. The size of the
bubble represents maximum open interest of stock futures while the X axis indicates
percentage left in near month open interest of the highest open interest attained in the series.
The Y axis shows the percentage rollover cost associated with the stock.

Raj Deepak Singh

rajdeepak.singh@icicisecurities.com

ICICI Securities Ltd | Retail Equity Research

Instrument
ABIRLANUVO
ACC
ADANIENT

Previous Rollover
%

Rollover %

April

May

June

Total OI

Previous Rollover
Cost %

Rollover Cost %

44.84

59.02

591000

480250

250

1071500

0.891242003

0.91

47.8

57.43

720500

658000

1750

1380250

0.929312533

0.69

41.33

45.67

5292000

3716000

12000

9020000

0.781426954

0.79

ADANIPORTS

40.9

55.82

6966000

4808000

12000

11786000

0.9004624

0.81

ADANIPOWER

53.94

47.71

19992000

23344000

64000

43400000

0.973709834

0.96
0.89

ALBK

41.79

64.99

6676000

4628000

164000

11468000

0.736842105

AMBUJACEM

50.45

68.24

4728000

4812000

2000

9542000

0.673791822

0.70

ANDHRABANK

42.27

60.52

3900000

2828000

28000

6756000

0.996932515

0.93

APOLLOHOSP

40.73

27.69

195750

134500

330250

1.000393413

0.49

APOLLOTYRE

48.8

50.63

7524000

7160000

12000

14696000

1.014925373

0.87

55.11

55.97

4796000

5856000

32000

10684000

0.898045431

0.60

ARVIND
ASHOKLEY

49.04

61.57

18750000

17910000

135000

36795000

-1.470588235

-2.47

ASIANPAINT

53.82

55.94

1597000

1859000

2000

3458000

0.929713648

0.75

AUROPHARMA

65.58

69.87

6106000

11608000

28000

17742000

0.9550664

0.92

AXISBANK

55.44

46.86

2459500

3019250

40500

5519250

0.199920032

0.15

BAJAJ-AUTO

69.15

53.7

388375

841375

29000

1258750

0.695859635

0.90

BANKBARODA

59.88

56.95

1788000

2655500

13000

4456500

0.863502622

0.84

BANKINDIA

58.46

54.61

5572000

7724000

116000

13412000

0.947762839

0.88

BANKNIFTY

44.16

48.8

1126350

872300

18375

2017025

0.622988267

0.97

BATAINDIA

48.5

38.4

223750

210750

434500

0.60400151

0.37

BHARATFORG

56.01

54.37

1351000

1719000

1000

3071000

0.930557171

0.81

BHARTIARTL

54.41

52.87

6624000

7887000

19000

14530000

0.864510359

0.90

BHEL

76.03

67.3

10520000

32386000

978000

43884000

-4.007480631

-4.02

BIOCON

45.21

48.81

2137000

1761000

2000

3900000

0.877103519

0.82

BPCL

56.59

52.2

1987000

2584000

6000

4577000

0.910313437

0.99

CAIRN

54.77

66.02

3436000

4154000

7000

7597000

0.919445588

0.92
0.85

CANBK

52.62

58.8

4145000

4547000

56000

8748000

0.822456642

CENTURYTEX

70.53

70.24

1497000

3582000

5079000

0.979175286

0.81

CESC

34.77

50.44

544000

290000

834000

0.973068606

0.90

CIPLA

62.27

70.41

3047500

5029500

1000

8078000

0.93081761

0.71

0.912265306

0.76

52.72

37.04

19150

21250

100

40500

0.566278213

0.48

0.912006069

0.76

COALINDIA

53.61

76.61

4083000

4708000

10000

8801000

0.969575393

0.91

COLPAL

49.82

50.86

138250

137250

275500

0.940850917

0.36

CROMPGREAV

68.48

40.42

6856000

14872000

24000

21752000

0.92936803

0.72

DABUR

33.27

44.61

2170000

1076000

6000

3252000

0.889135871

0.87

52

63.08

17648000

19088000

32000

36768000

0.954400848

0.87

63.29

71.27

281750

485750

767500

0.933480338

0.90

CNXINFRA
CNXIT
CNXPSE

DISHTV
DIVISLAB
DJIA
DLF

0.00

47.34

53.08

27474000

24626000

72000

52172000

0.825134878

0.77

DRREDDY

47.03

59.26

771500

683375

1500

1456375

0.811612299

0.89

EXIDEIND

66.16

50.79

2938000

5736000

8000

8682000

0.916380298

0.81

FEDERALBNK

57.47

52.05

4668000

6308000

10976000

0.962566845

0.87

0.00

GAIL

50.86

65.89

1689000

1748000

3437000

0.934456436

0.72

GLENMARK

37.42

49.42

334500

200000

534500

0.832827275

0.84

GMRINFRA

50.8

61.6

30459000

31317000

132000

61908000

0.790513834

0.69
0.68

FTSE100

GODREJIND
GRASIM
GSKCONS

51.6

48.93

393000

419000

812000

0.864197531

64.04

57.89

377125

671500

1048625

0.981061559

1.02

30.7

27.71

9875

4375

14250

0.634336461

0.84

HAVELLS

36.09

43.44

263000

148500

411500

-0.02673225

-0.08

HCLTECH

60.75

52.01

1394750

2144000

14750

3553500

0.711413548

0.58

HDFC

49.12

52.86

3927000

3752500

39000

7718500

0.945976749

0.84

HDFCBANK

64.84

72.71

11717000

21566500

45000

33328500

1.228720483

1.23

HDIL

52.08

48.17

10512000

11408000

16000

21936000

1.046025105

0.70

HEROMOTOCO

61.07

59.23

534375

835125

3000

1372500

0.894805281

0.89

ICICI Securities Ltd | Retail Equity Research

Page 2

Instrument

Previous Rollover
%

Rollover %

April

May

June

Total OI

Previous Rollover
Cost %

Rollover Cost %

HEXAWARE

50.88

74.03

3774000

3906000

4000

7684000

0.352112676

HINDALCO

62.3

74.27

11564000

19052000

54000

30670000

1.000690131

0.90
0.88

HINDPETRO

71.53

72.73

2024000

5082000

2000

7108000

0.91296409

0.99

HINDUNILVR

58.99

62.24

2601500

3741000

1000

6343500

0.92778335

0.87

HINDZINC

74.84

72.5

2498000

7416000

14000

9928000

-0.418250951

0.87

IBREALEST

42.73

49.61

14620000

10844000

64000

25528000

0.081037277

1.04

ICICIBANK

50.29

50.32

5156500

5186250

30750

10373500

0.305976219

0.85

IDBI

49.45

64.48

7224000

7052000

16000

14292000

1.040892193

0.97

IDEA

61.03

46.34

4866000

7622000

12488000

0.948366702

0.78

IDFC

57.04

68.3

26064000

34420000

184000

60668000

0.881242132

0.87

IFCI

60.53

63.4

23510000

35790000

270000

59570000

0.763358779

0.81
0.90

IGL

69.81

63.64

465000

1074000

1000

1540000

0.850694444

INDIACEM

50.09

59.01

6672000

6696000

13368000

0.952380952

0.93

INDIAVIX

62.37

44.5

107250

94500

83250

285000

4.182281517

14.32
0.85

INDUSINDBK

57.5

67.38

3083000

4161000

10000

7254000

0.850255077

INFY

53.88

49.17

2005750

2297500

45375

4348625

-0.395550844

0.86

IOB

43.31

47.02

3424000

2480000

136000

6040000

0.947867299

0.83

IOC

52.71

72.96

2134000

2377000

2000

4513000

0.939985539

0.63

IRB

57.07

78.03

5820000

7724000

12000

13556000

0.877192982

0.76

ITC

55.17

48.6

12012000

14694000

87000

26793000

0.88118249

0.78

JINDALSTEL

60.82

72.04

3249000

5036000

7000

8292000

0.760043431

0.77

JISLJALEQS

46.98

57.54

8896000

7884000

16780000

0.909090909

0.83

JPASSOCIAT

60.12

60.9

30592000

46024000

88000

76704000

0.868055556

0.93

JPPOWER

49.29

48.88

16705000

16172000

65000

32942000

1.242236025

1.13

JSWENERGY

51.72

51.98

6392000

6840000

8000

13240000

0.937766411

0.85

JSWSTEEL

80.2

72.24

1427500

5768000

14500

7210000

0.891209434

0.91

JUBLFOOD

59.83

67.37

735000

1094000

500

1829500

0.579992814

0.50

JUSTDIAL

59.8

34.94

300500

445750

1250

747500

0.93878195

0.10

65.21

57.62

1465500

2744500

2500

4212500

0.529199353

0.68
0.90

KOTAKBANK
KTKBANK

57.27

66.12

7560000

10052000

80000

17692000

0.922431866

L&TFH

47.27

46.03

19392000

17208000

176000

36776000

0.946142649

1.05

LICHSGFIN

60.64

64.63

5356000

8220000

32000

13608000

0.913814729

0.86

LT

52.36

51.25

3616000

3941000

32500

7589500

0.72407263

0.64

LUPIN

67.04

59.07

2199250

4461500

11500

6672250

1.146800629

1.06

M&M

52.74

54.07

1085500

1208000

3250

2296750

0.725272586

0.87

M&MFIN

51.31

55.27

4143000

4360000

6000

8509000

0.894672631

0.58

MARUTI

63.42

71.19

1220750

2109500

7250

3337500

0.882650481

1.01

MCDOWELL-N

60.68

76.39

2790000

4268000

36875

7094875

0.892416226

0.80

MCLEODRUSS

72.33

79.35

1023000

2674000

3697000

0.90892565

0.79

MRF

41.73

32.62

27750

19125

750

47625

0.90376569

0.71

NFTYMCAP50
NHPC

0.91415098

0.76

58.47

52.79

17976000

25092000

216000

43284000

1.11

NIFTY

45.25

44.79

12365000

9574200

643900

22583100

0.689645074

0.87

NMDC

55.39

56.92

4764000

5910000

6000

10680000

0.992720053

0.89

NTPC

54.85

58.14

13156000

15812000

170000

29138000

0.886739218

0.87

OFSS

56.42

45.58

70375

91125

161500

0.933494482

0.90

ONGC

52.47

63.04

6115000

6744000

6000

12865000

0.948592411

0.76

ORIENTBANK

60.03

59.82

2000000

2994000

10000

5004000

0.928270042

0.91

PETRONET

44.58

45.75

1084000

832000

40000

1956000

0.941750959

0.82

PFC

43.68

72.15

4064000

3144000

8000

7216000

1.046025105

0.76

PNB

64.81

75.91

2624500

4776000

57500

7458000

1.120891647

1.10

POWERGRID

50.43

45.94

9872000

10004000

40000

19916000

0.941176471

0.67

PTC

41.68

38.96

2720000

1944000

4664000

1.083032491

0.88

RANBAXY

52.19

73.6

4621000

5034000

11000

9666000

0.91133269

0.83

RCOM

69.95

75.01

11768000

27368000

28000

39164000

0.525131283

0.61

RECLTD

33.29

66.77

2248000

1110000

12000

3370000

0.894854586

0.81

RELCAPITAL

65.79

58.6

4945000

9476000

35000

14456000

0.903894723

0.91

ICICI Securities Ltd | Retail Equity Research

Page 3

Instrument

Previous Rollover
%

Rollover %

April

May

June

Total OI

Previous Rollover
Cost %

Rollover Cost %

RELIANCE

60.34

51.74

5527500

8376250

33750

13937500

0.180272985

0.86

RELINFRA

56.16

52.92

3052000

3892000

17000

6961000

0.945626478

0.90

RPOWER

55.2

62.59

19192000

23552000

96000

42840000

0.886766712

0.83

0.00

SAIL

56.96

63.75

16752000

22088000

80000

38920000

0.916138125

0.71

SBIN

54.84

62.51

2772875

3312875

54125

6139875

-0.002438489

0.78

SIEMENS

57.55

60.61

430000

583000

1013000

0.676652214

0.78

63.1

63.62

241500

412500

500

654500

0.844205679

0.89

54.67

65.6

13434000

16130000

74000

29638000

0.902294406

0.90
0.89

S&P500

SRTRANSFIN
SSLT
SUNPHARMA

49.03

63.44

5688500

5449500

23500

11161500

0.894151764

SUNTV

42.81

48.33

636000

476000

1112000

0.938544613

0.64

SYNDIBANK

41.26

60.09

4636000

3232000

24000

7892000

0.97703957

0.88

TATACHEM

43.48

50.52

1331000

1022000

2000

2355000

1.021998961

0.98

TATACOMM

45.73

51.78

4094000

3448000

2000

7544000

0.908500973

0.78

TATAGLOBAL

60.21

63.1

8688000

13090000

54000

21832000

0.886356442

0.87

TATAMOTORS

51.58

58.61

12009000

12599000

194000

24802000

0.919459963

0.88

TATAMTRDVR

62.9

68.03

6096000

10334000

16430000

0.957039558

0.95

TATAPOWER

54.12

52.46

9831940

11589420

8290

21429650

0.950683304

0.92

TATASTEEL

53.5

59.64

5972000

6752000

118000

12842000

0.925157158

0.87

TCS

62.37

58.64

1951750

3180875

54125

5186750

0.867103963

0.81

TECHM

48.41

47.63

2131250

1996750

3000

4131000

0.882062843

0.71

TITAN

56.2

80.46

4712000

6038000

8000

10758000

0.89643334

1.02

UBL

38.01

43.36

204250

125250

329500

0.938155783

0.86

UCOBANK

66.98

66.87

8132000

16452000

44000

24628000

0.986842105

1.01

ULTRACEMCO

57.21

61.6

505750

658750

17375

1181875

0.438973616

0.50

UNIONBANK

65.83

57.68

3720000

7060000

108000

10888000

1.064183572

0.88

UNITECH

52.12

59.56

83172000

90180000

348000

173700000

1.183431953

1.30

UPL

57.85

64.84

4864000

6674000

2000

11540000

0.935432352

0.92

VOLTAS

38.08

47.06

5984000

3424000

256000

9664000

0.949367089

0.79

WIPRO

66.31

66.51

2814500

5483000

55500

8353000

0.901408451

0.80

YESBANK

52.28

63.28

5910000

6455000

20000

12385000

0.586409107

0.82

48.8

48.83

3200000

3050000

6250000

0.783040489

0.68

ZEEL

ICICI Securities Ltd | Retail Equity Research

Page 4

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

allocation
per stock

Products

Frontline Mid-cap
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

ArbitrageOpportunity

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

DISCLAIMER: The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied
or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Limited. The author may be holding a
small number of shares/position in the above-referred companies as on date of release of this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an
open position in the above referred companies as on the date of release of this report." This report is based on information obtained from public sources and sources believed to be
reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may
not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes
investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and
opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions
and needs of specific recipient. This may not be taken in substitution for the exercise of independent judgement by any recipient. The recipient should independently evaluate the
investment risks. ICICI Securities Ltd and affiliates accept no liabilities for any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a
guide to future performance. Actual results may differ materially from those set forth in projections. ICICI Securities Ltd may have issued other reports that are inconsistent with and
reach different conclusion from the information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or
resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would
subject ICICI Securities Ltd and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all
jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.

ICICI Securities Ltd | Retail Equity Research

Page 5