Rollover Analysis - 26th May 2010

Market Snapshot for May Series – Largest loss since October 2009

Nifty registered a largest loss of 448 points or 8.5% to 4,807 since October 2009. Decline in the Nifty was mainly on account of FIIs short position built up of Rs ~5,300 crore in index future and cash based selling. Higher put writing and concentration level at lower levels indicates Nifty to settle between above 4,900.

Rollover– Double digit negative rollover cost would invite to short covering in last 3 trading sessions

Currently open position in Nifty stands at ~43 million shares which is higher as compared to April series (~30.3 million shares) and 6 months average (~31.4 million shares) indicates more volatility to seen in the of June. As compared to 3 month average and April series, Nifty rollover was higher by 600bps and 300bps to 45% with larger negative cost of ~37bps.

Outlook for May Series- Expecting more volatile ahead in June series

Major activity in put at lower levels and call activity at higher levels. On the Put options, major addition was seen at 4,700 and 4,600 of ~6.9 lacs and ~5.3 lacs respectively. On the other hand, call addition at 4,800 and 4,900 of ~6.7 lacs and ~7.6 lacs shares respectively. Major concentration of call observed at 5,100 and put at 4,700.

Sector-wise Rollovers (See: Exhibit 1&2)

Highest long Roll: Bullish Signal 

Cement (52.5%), Automobile (50.8%), Finance (49.5%)

Highest Short Roll: Bearish Signal 

Hotels (49.3%), Oil & Gas (44.2%), FMCG (40.3%)

Lowest Rollover

Metals (37.8%), Sugar (36.0%), Fertilizers (29.1%)

Stocks Rollovers (Exhibit 4-6)

Highest long Roll: Bullish Signal

GTL (85.6%), ULTRACEMCO (76.2%), BHARATFORG (63.4%)

Highest Short Roll: Bearish Signal

SEAGOA (66.3%), JSWSTEEL (62.4%), ADANIENT (59.4%)

Lowest Rollover

DCHL (11.9%), BOSCHLTD (12.0%), CONCOR (14.4%)