VWAP Analysis - 26/08/2010 - August Expiry - Disclaimer Post applies

Following is a VWAP analysis:

VWAP: Volume Weighted Average Price. A VWAP is computed from a beginning cut-off time to an ending cut-off time, and is calculated by volume weighting all transactions during this time period. On the day of expiry, positions in futures either long or short which are cannot be rolled into next series, they are taken into VWAP and their equivalent cash positions are bought or sold in the last 30 minutes on expiry day.

·         TATAPOWER: The counter has witnessed weak rollovers with only 57% of the positions getting rolled into the next series as compared to 71% rolls seen on D-1 of July expiry. The average 6 months rolls on D-1 day are 70%. Since the start of the expiry the OI has risen by ~40% to 2.35 mn shares while the current  month OI is ~3.8 times the average daily volumes seen in the counter. The July month future was trading at a discount to the cash during the major part of the month. The stock witnessed good delivery positions during the series. Some amount of VWAP SELLING could be witnessed in the counter if rolls don’t pick up.

·         ULTRACEMCO: 39% of the positions have got rolled into the next series as compared to 66% rolls seen on D-1 of August expiry. The average 6 months rolls on D-1 day are 74%. The OI in the counter stands at 0.65 mn with nearly 20% positions being added through this month. The counter has been trading at a discount to cash during the major part of the month. The stock witnessed good delivery positions during the series. Lack of rollovers may trigger VWAP BUYING. The current month OI is ~4.6 times the average daily traded volumes.

·         AUROPHARMA: The counter has witnessed weak rollover with only 38% positions getting rolled into next series as compared to 77% rolls seen on D-1 of July expiry. The average roll of last 6 expiries on D-1 day is 78% in the counter. The counter added 38% positions in open interest during the series. The OI in the current month stands at 1.03 mn. The counter could witness VWAP SELLING if rolls do not pick up.

·         PETRONET: The stock witnessed 33% positions getting rolled into next series as compared to 55% rolls seen on D-1 of July expiry. The average rolls of last 6 expiry on D-1 day is 50% in the counter. Open interest has risen by ~70% and the OI outstanding in the current month is ~0.9 times the average daily traded volumes. Lack of rollover may trigger VWAP SELLING.

·         INDHOTEL: The counter added 99% positions in open interest during the series. The counter has witnessed rollover of 65% as of yesterday. The average roll of last 6 expiries on expiry day is 85% in the counter. The OI in the current month stands at 5.25 mn and is 2.75 times the average traded volume in the entire month. The counter traded at a premium to cash throughout the month. The counter could witness VWAP SELLING if rolls do not pick up.