Roll Over Snapshot
February, 2010
Total Roll Overs at 83% & Nifty Roll Overs at 67%
After reasonably strong start in February series Nifty topped out in initial sessions itself. Nifty gave into its low for the
month in a couple of days. The consolidation in next three weeks landed Nifty less than half a percent near its beginning.
Roll Over Update
February series ended with Stock rollover of 83.4% (6-m avg. 84.3%) and Nifty rollover of 67.1 % (6-m avg. 72%). Stock
futures also had a lull in incremental participation after the initial fall; however the recovery brought the open interest up
to 1.66bn. Decent rollovers post that help March expiry open with 1.37bn shares in open interest, without any month
over month decrement. On the Nifty the apprehension took its toll, as the participants rolled Nifty at nearly 7% slower
than averages resulting into one of the lightest participation in recent months of little less than 22nm shares.
Sectorwise Roll Overs
Sector
Roll Overs
Current
6-m Avg.
81.80
83.01
89.50
86.27
86.38
74.47
78.40
82.01
84.20
79.45
85.58
80.31
87.81
76.88
85.13
79.65
84.36
88.85
82.76
86.84
81.11
88.74
83.33
84.54
80.74
83.25
81.97
86.00
80.48
86.22
On aggregate basis FMCG, Technology, Infra & Realty stocks
rolled slower; while Cement, Sugar & Fertilizer rolled faster.
Except Auto, Cement, Engineering, Power and Sugar all
other sectors rolled slower than their resepctive 6-m aver-
ages.
Auto
Banking & Fin.
Cement
Engineering
Fertilizer
FMCG
Infra
Metal
Oil & Gas
Pharma
Power
Realty
Sugar
Technology
Telecom
Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.

Roll Over Snapshot
Average Roll Overs
Underlying
RECLTD
Above Average
Current
94.1
89.9
89.9
85.4
89.8
85.7
79.6
88.1
83.4
83.0
6-m avg
80.1
77.6
79.3
76.4
80.9
78.0
72.3
81.2
76.8
77.5
Underlying
CANBK
INFOSYSTCH
TCS
HDFCBANK
LT
GMRINFRA
ITC
ANDHRABANK
BPCL
SESAGOA
February, 2010
Below Average
Current
65.4
64.0
64.7
62.5
66.5
76.5
58.7
65.3
65.0
67.3
6-m avg
76.6
75.5
76.5
74.8
79.9
90.8
73.9
81.1
82.4
84.9
Roll Over Update
NATIONALUM
LICHSGFIN
BHEL
IOC
DRREDDY
LUPIN
DCHL
YESBANK
TATAMOTORS
Key Takeaway:
Key Takeaway:
§ Nifty rolled slower than its 6-month average as well as previous month. This will be one of the lightest starts to a new
expiry where even the last session of February did not indicate any aggressive long or short rollovers.
§ Stock rollovers too draw a cautious picture indicated by exits in sectors like Banking, Cement, Engineering and FMCG.
On the other hand select Infra and Sugar stocks had reasonable M-o-M addition with positive rollover cost indicating long
rollovers in expectation of further upside.
§ March options surprisingly enter the expiry with very low IV's ahead of the event indicating no great risk of major
downside. The March option composition indicates broader range of 4500 - 5100 for immediate term.
Highest Roll Overs
SYMBOL
INDIACEM
BALRAMCHIN
RECLTD
NAGARFERT
ULTRACEMCO
PUNJLLOYD
LICHSGFIN
WELGUJ
IOC
INDIAINFO
Open
Interest
13492250
22576800
21925800
17881500
601200
11662500
1072700
14283200
2469600
8212500
Roll Over
%
95.8
94.4
94.1
90.8
90.8
90.5
89.9
89.8
89.8
89.8
Roll Over
Cost (bps)
29
25
-283
27
25
32
9
-14
28
36
Lowest Roll Overs
SYMBOL
ITC
HDFCBANK
ONGC
INFOSYSTCH
TCS
WIPRO
BPCL
ANDHRABANK
BANKBARODA
CANBK
Open
Interest
6261750
1491600
1117800
2053000
2719000
1806000
1635700
2852000
1268400
641600
Roll Over
%
58.7
62.5
63.6
64.0
64.7
65.0
65.0
65.3
65.3
65.4
Roll Over
Cost (bps)
4
-8
23
3
-9
-3
-16
27
-68
-11
Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.

Roll Over Snapshot
Nifty Options
Expiry
Calls
STRIKE
5100
5000
MAR
4900
5200
4800
Open Interest
3750750
3106850
2513400
2265800
1739000
STRIKE
4500
4800
4700
4600
4900
Puts
February, 2010
Open Interest
4253900
4059900
3171200
2757750
2324550
Roll Over Update
Scripwise Roll Overs
Symbol
ABAN
ABB
ABIRLANUVO
ACC
ADANIENT
ALBK
AMBUJACEM
ANDHRABANK
APIL
APOLLOTYRE
AREVAT&D
ASHOKLEY
ASIANPAINT
AUROPHARMA
AXISBANK
BAJAJ-AUTO
BAJAJHIND
BALRAMCHIN
BANKBARODA
BANKINDIA
BEL
BEML
BGRENERGY
BHARATFORG
Open Interest
MAR MoM (%)
%
1655600
827500
1047600
1268624
245200
1575350
9926468
2852000
192600
829600
210750
7515850
19600
1317400
4153500
302000
-13.7
-19.9
-7.7
-18.3
N/A
-5.7
-7.0
-9.4
-32.3
N/A
N/A
4.2
-21.0
-9.6
64.2
24.8
82.2
80.6
85.6
77.7
97.9
83.8
83.1
65.3
67.2
92.1
94.3
78.7
46.9
89.2
79.1
79.2
82.2
94.4
65.3
75.6
87.4
79.9
83.3
88.7
Roll Over Cost
6-m avg. (bps)
85.6
84.2
91.0
83.7
0.0
83.9
82.1
81.1
81.0
0.0
0.0
75.6
55.0
86.3
78.4
81.5
81.8
89.6
69.2
75.6
84.2
76.5
0.0
86.7
-21
7
34
-127
53
32
-1
27
45
48
40
30
-1
-56
0
2
-91
25
-68
7
29
34
12
28
Symbol
BHARTIARTL
BHEL
BHUSANSTL
BIOCON
BOSCHLTD
BPCL
BRFL
CAIRN
CANBK
CENTURYTEX
CESC
CHAMBLFERT
CHENNPETRO
CIPLA
COLPAL
CONCOR
CROMPGREAV
CUMMINSIND
DABUR
DCHL
DENABANK
DISHTV
DIVISLAB
DLF
Open Interest
MAR MoM (%)
%
17552500 11.7
2080650
256500
3461400
4700
1635700
4077900
11130000
641600
4740320
521400
8904450
808200
3591250
144100
52000
539000
95000
291600
3291200
5344500
21583650
700600
13416800
-2.1
-3.4
-12.0
-29.9
-12.0
-5.9
-4.0
-31.9
23.9
4.6
55.7
-27.9
-0.3
-37.9
-6.3
14.9
-9.9
-58.0
-15.6
-38.0
1.7
-28.7
4.8
79.5
85.4
74.1
80.7
65.3
65.0
89.1
81.5
65.4
91.6
81.2
84.9
82.4
75.6
60.0
72.7
83.7
64.9
24.5
88.1
83.8
82.5
85.5
81.6
Roll Over Cost
6-m avg. (bps)
82.2
76.4
80.0
82.6
59.0
82.4
90.5
90.8
76.6
91.2
83.9
85.6
81.4
78.8
78.2
33.0
81.7
73.6
72.3
81.2
84.1
86.2
87.1
84.1
8
1
32
9
32
-16
31
9
-11
17
55
23
-2
21
41
40
31
-13
54
67
14
20
20
13
14871300 58.6
22576800 31.0
1268400
2043450
111228
243375
22000
3634000
-24.6
23.1
10.4
-10.5
N/A
23.3
Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.

Roll Over Snapshot
Scripwise Roll Overs
Symbol
DRREDDY
EDUCOMP
ESSAROIL
FEDERALBNK
FINANTECH
FORTIS
FSL
GAIL
GESHIP
GLAXO
GMRINFRA
GODREJIND
GRASIM
GSPL
GTL
GTLINFRA
GTOFFSHORE
GVKPIL
HCC
HCLTECH
HDFC
HDFCBANK
HDIL
HEROHONDA
HINDALCO
HINDPETRO
HINDUNILVR
HINDZINC
HOTELEELA
IBREALEST
ICICIBANK
ICSA
IDBI
IDEA
Open Interest
MAR MoM (%)
%
779200
2501625
20.7
-6.8
-24.0
-5.5
-50.2
7.9
N/A
0.5
50.6
-23.5
-69.8
8.9
N/A
-10.4
-4.5
2.7
4.9
-23.0
-7.5
28.6
-1.8
-23.6
-6.8
-13.2
7.6
-2.5
-4.5
-3.4
-10.1
1.5
-5.2
85.7
82.2
77.3
89.3
75.7
88.9
94.7
78.2
69.6
75.6
60.3
76.5
96.2
76.6
87.8
96.4
94.4
63.1
84.3
84.1
67.4
78.0
62.5
87.2
84.7
73.8
78.9
82.7
76.1
85.6
86.6
68.1
86.0
78.3
84.3
Roll Over Cost
6-m avg. (bps)
78.0
84.7
86.4
89.5
85.4
85.9
0.0
87.9
73.8
82.4
84.8
90.8
0.0
85.1
85.2
94.6
92.2
79.7
83.8
86.7
69.5
82.6
74.8
84.8
86.5
77.7
84.6
84.6
73.6
85.5
83.0
78.4
86.2
84.0
86.4
-26
-15
11
23
13
25
63
73
18
28
-152
7
90
-41
24
37
54
14
43
23
22
-15
-8
7
-116
-48
2
-85
8
-65
32
19
39
23
-18
Symbol
IDFC
IFCI
INDHOTEL
INDIACEM
INDIAINFO
INDIANB
INFOSYSTCH
IOB
IOC
ISPATIND
ITC
IVRCLINFRA
JINDALSAW
JINDALSTEL
JISLJALEQS
JPASSOCIAT
JPPOWER
JSWSTEEL
KFA
KOTAKBANK
KSOILS
LICHSGFIN
LITL
LT
LUPIN
M&M
MARUTI
MCDOWELL-N
MCLEODRUSS
MLL
MOSERBAER
MPHASIS
MRPL
MTNL
MUNDRAPORT
February, 2010
Open Interest
MAR MoM (%)
%
12112700
82763640
4280346
8212500
976800
2053000
2619600
2469600
72434100
6261750
2606000
10755000
7478400
25000
18284416
8312500
2994004
12673500
2444200
7516600
1072700
2408600
399000
2110992
1978800
605500
725400
9775500
4885650
2712800
4165200
13286400
87000
3.1
8.2
-4.4
-0.7
9.4
-9.4
-20.4
25.1
-4.3
5.6
-3.6
-3.3
-18.2
N/A
-3.7
-20.5
29.3
-0.2
6.6
-7.7
-3.3
-38.1
-9.2
-6.4
-15.8
-21.7
N/A
-12.7
-9.5
-10.3
-19.4
-8.0
N/A
75.4
87.3
78.2
95.8
89.8
82.2
64.0
83.1
89.8
88.3
58.7
83.8
85.6
81.3
87.7
79.2
83.7
83.9
90.8
82.6
91.3
89.9
88.3
66.5
79.6
83.7
82.3
85.5
89.0
86.9
83.3
83.9
82.9
84.9
92.4
Roll Over Cost
6-m avg. (bps)
83.1
86.1
88.4
94.4
88.4
85.5
75.5
80.7
80.9
86.7
73.9
86.2
85.9
80.9
0.0
86.5
84.6
84.3
88.3
81.5
89.3
79.3
85.7
79.9
72.3
87.3
87.0
86.0
0.0
86.5
85.4
88.5
84.3
86.9
0.0
17
24
72
29
36
-128
3
29
28
56
4
26
27
17
31
8
32
-50
21
28
27
9
32
12
30
22
-60
-3
-30
32
7
1
23
38
58
Roll Over Update
EKC
2406000
18511320
272320
743700
837200
29744500
3081375
559200
28200
35177500
197600
557920
12413500
5982000
63006350
979000
17983500
5495700
1466400
1596150
1491600
7446654
2792600
3783650
342500
5670000
8834000
2132400
29430000
13492250 -18.1
20683960 -30.6
19816894 41.6
13996000 10.8
14050400 33.5
12168000 -13.3
Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.

Roll Over Snapshot
Scripwise Roll Overs
Symbol
NAGARCONST
NAGARFERT
NEYVELILIG
NOIDATOLL
NTPC
OFSS
ONGC
ONMOBILE
OPTOCIRCUI
ORCHIDCHEM
ORIENTBANK
PANTALOONR
PATELENG
PATNI
PETRONET
PFC
PIRHEALTH
PNB
POLARIS
POWERGRID
PRAJIND
PTC
PUNJLLOYD
RANBAXY
RCOM
RECLTD
RELCAPITAL
RELIANCE
RELINFRA
RELMEDIA
RENUKA
RNRL
ROLTA
RPOWER
SAIL
NATIONALUM
Open Interest
MAR MoM (%)
%
1348000
1649675
1964700
10094200
20356375
602400
1117800
75350
1107720
4720800
998400
2371500
481000
648700
3731200
433200
1303500
1887300
2651600
7909825
7532800
3205400
2139200
20357400
4442496
4317468
1608000
33217464
1576800
20152000
5040900
35.3
-1.8
-19.6
-26.7
4.1
5.4
-20.7
-10.3
N/A
-17.1
-27.3
7.2
11.0
-28.5
22.0
-10.4
-32.4
30.3
-6.1
-0.6
-18.8
-17.3
-21.8
-8.2
-3.2
1.2
6.5
-4.7
-0.4
3.4
1.8
-26.1
84.1
90.8
89.9
72.9
83.3
75.6
92.0
63.6
84.6
78.9
76.7
78.9
96.3
73.1
65.8
85.2
74.6
91.9
78.7
85.9
81.5
86.9
80.4
90.5
69.0
84.8
78.9
77.6
88.9
88.7
84.3
86.6
76.2
90.8
67.5
Roll Over Cost
6-m avg. (bps)
79.3
87.7
77.6
84.1
85.4
80.5
88.2
65.7
0.0
78.5
81.7
74.4
86.4
81.1
77.6
84.8
78.7
78.8
81.2
80.6
81.8
86.5
87.4
85.8
79.9
85.3
80.1
84.7
75.3
87.5
85.4
86.1
84.7
80.8
88.4
74.1
22
27
-96
3
27
-13
28
23
51
33
-13
3
18
36
19
29
39
52
0
32
-16
26
31
32
18
22
-283
9
12
21
38
6
15
19
24
10
Symbol
SBIN
SCI
SESAGOA
SIEMENS
SINTEX
STER
STERLINBIO
SUNPHARMA
SUNTV
SUZLON
SYNDIBANK
TATACHEM
TATACOMM
TATAMOTORS
TATAPOWER
TATASTEEL
TATATEA
TCS
TECHM
TITAN
TRIVENI
TTML
TULIP
TV-18
UCOBANK
ULTRACEMCO
UNIONBANK
UNIPHOS
UNITECH
VIDEOIND
VIJAYABANK
VOLTAS
WELGUJ
WIPRO
YESBANK
ZEEL
February, 2010
Open Interest
MAR MoM (%)
%
3078636
1185600
13348500
912176
1037400
3821988
2775000
243000
183000
56118000
2386400
2224800
1853775
9270950
1602800
17507824
339900
2719000
621000
102794
4843300
25174050
107000
4557025
10510000
601200
1589700
743400
759050
12144000
1379700
14283200
1806000
4307600
2570400
-14.3
10.0
2.4
3.3
-23.2
-19.3
14.6
-31.0
61.9
-3.4
-28.4
-59.4
2.6
-17.7
36.5
3.7
-46.6
-21.1
1.5
2.0
7.4
-3.2
4.4
-13.1
-3.8
2.1
-6.5
0.0
N/A
-1.9
-17.7
-1.7
5.8
13.1
36.3
67.4
76.4
67.3
66.2
75.1
71.3
77.5
55.4
59.8
86.5
82.5
56.8
85.6
83.0
82.9
82.3
74.1
64.7
78.6
68.4
87.2
87.7
79.6
91.8
87.3
90.8
72.6
78.6
77.5
95.2
88.8
79.7
89.8
65.0
83.4
81.4
Roll Over Cost
6-m avg. (bps)
75.8
79.5
84.9
70.1
84.1
78.4
84.0
75.0
74.9
82.5
83.1
84.9
79.4
77.5
78.4
79.7
82.5
76.5
81.2
81.0
81.8
87.8
74.1
82.1
88.8
88.7
78.5
79.4
80.9
0.0
88.5
85.8
86.7
69.6
76.8
77.2
12
22
-304
-23
-11
9
33
18
26
15
14
46
16
-39
-25
-89
33
-9
-107
-9
10
33
37
21
25
25
-21
6
17
18
26
6
-14
-3
22
-54
17881500
Roll Over Update
11662500 -14.2
21925800 1783.4
94.1
11487300 12.5
56592000 -14.4
17775000 10.3
Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.

Roll Over Snapshot
February, 2010
Roll Over Update
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Motilal Oswal Securities Ltd.,Palm
Spring Centre, 2nd floor, Palm Court Complex, New Link Road, Malad (W), Mumbai - 64.