Rollovers Analysis 20 Dec,2007

 

Rollover Analysis: Market-wide OI (D-3 Days): Market-wide rollover 29%; Nifty rollover 44%

 

v      Market wide OI is currently at INR 918bn (2,354,830 contracts) of which 29% of the positions have been rolled into next month expiry compared with 30% rolls on D-3 of lasted expiry.

v       The market wide OI (in contracts) has increased by 9% as against D-3 OI of Nov expiry.

v       More over the average rollover cost in this expiry has been in the range of 70-75 bps (avg of positives) which is inline with (though contracted over past 5-days) as against the rollover cost of around 70 bps seen on the 1st day of expiry week.

v        Low rollover, coupled with contraction in roll cost indicates that long rollers not being aggressive at current levels and we expect the rollovers to pick in upcoming sessions.

v       Inline with market wide open interest, Nifty open interest in contracts is up by 14% since the D-3 of previous expiry. Current Nifty OI stands at 738,319 contracts (INR 213bn) with nearly 44% positions already getting rolled into next expiry.

v       With the approaching Christmas season holidays; rollovers have been quite high compared with the D-3 rolls of the previous expiry of 38%.

v       Nifty roll are currently in the range of 20-25 bps (12-15 points) (cost to the Short roller) as compared to 25-30bps in the previous expiry.  

v       We recommend short roll to be aggressive at current levels and long position can be aggressive at around 15-20 points profit.