MOSt Rollover Report
Date:
Friday, April 26, 2013
Nifty Rollovers at 63%, Stock Rollovers at 80%
Nifty Rollovers
Exchange
NSE
SGX
Nifty OI Vs Index
NSE OI
SGX OI
Nifty
Rollovers(%)
63%
71%
3M Avg.
53%
81%
Roll Spread (3MA)
20bps (60bps)
25bps (87bps)
Open Interest
15.8mn
25mn
OI Ch.
+31%
+2%
Nifty rollovers saw late expiry pickup, ending up with stellar lead over avrg.
Lower SGX Rollovers leads to just 2% jump in EoE open interest and a drop in SGX’s
share in Nifty futures to 1.5X from 2X of NSE in previous expiry.
Interestingly the rollover cost on Nifty futures on both the exchanges have been
excessively low, indicating creation of short hedges along the rally in index futures,
eventually being rolled over.
Hence, the view remains cautiously bullish. Even on options front while the OIPCR is
just above the average signalling moderately bullish bias, the IVIX near its lower
bounds indicates over optimism.
60
40
20
0
6500
6000
5500
5000
4500
Stock Rollovers
Sector Rollovers Vs. 3M Avg.
Notble Sectors EoE
Auto:
Short Covering in the sector, except for Maruti which saw fresh longs.
PSU Financials:
Smalller Banks saw longs, larger ones saw short covering.
Pvt. Financials:
Mix of Longs and Short Covering.
Engineering:
Short covering in the entire sector.
20.0
15.0
10.0
5.0
0.0
-5.0
-10.0
-15.0
-20.0
Infra:
Short covering in Relinfra, JP Associates. Longs in GMR & IVRCL.
IT:
Fresh Shorts in the sector except Fintech which saw short covering.
Metal:
Shorts continue to roll into May.
EoE Price(%)
EoE OI (%)
Power:
Majority of stocks saw short covering.

MOSt Rollover Report
Date:
Friday, April 26, 2013
Stock Rollovers
Observations :
Stock futures rolled at 81% slightly above 3M average
of 78%.
Around half of the participating stocks saw unwinding
led by short covering in many of them.
Large unwinding has led to the open interest on
aggregate basis hit yet another low at 1.18bn shares at
the start of May series.
One interesting observation is that the proportion of
short covering is higher in Large Cap stocks, while
fresh longs were seen more in relatively smaller stocks.
Individual Stock Rollovers
Name
Roll
3M
Name
ABIRLANUVO
ACC
ADANIENT
ADANIPORTS
ADANIPOWER
ALBK
AMBUJACEM
ANDHRABANK
APOLLOTYRE
ARVIND
ASHOKLEY
ASIANPAINT
AUROPHARMA
AXISBANK
BAJAJ-AUTO
BANKBARODA
BANKINDIA
BATAINDIA
BHARATFORG
BHARTIARTL
BHEL
BIOCON
BPCL
CAIRN
CANBK
CENTURYTEX
93.3
63.9
81.4
67.6
86.1
75.3
63.1
84.9
77.5
81.4
87.0
52.3
84.1
61.6
78.4
57.9
80.7
92.7
88.7
63.1
74.7
81.8
80.9
84.7
82.0
89.2
88.2
59.5
82.5
66.4
83.9
75.8
61.7
73.4
78.0
83.7
84.2
58.2
88.2
76.3
71.7
67.1
78.6
92.6
91.4
59.1
85.1
80.3
80.3
81.0
78.5
87.3
CESC
CHAMBLFERT
CIPLA
COALINDIA
COLPAL
CROMPGREAV
DABUR
DENABANK
DISHTV
DIVISLAB
DLF
DRREDDY
EXIDEIND
FEDERALBNK
FINANTECH
GAIL
GMRINFRA
GODREJIND
GRASIM
GSPL
HAVELLS
HCLTECH
HDFC
HDFCBANK
HDIL
HEROMOTOCO
Roll
74.1
83.4
81.8
56.9
77.0
90.4
75.4
85.9
81.3
67.5
80.1
65.8
78.1
88.2
75.8
63.0
92.2
75.8
70.1
85.5
55.0
74.6
52.5
61.3
70.7
70.3
3M
85.7
85.9
81.6
62.5
80.6
82.7
65.4
80.5
80.8
78.1
73.1
60.8
70.8
78.5
84.0
61.3
82.5
77.0
78.5
82.4
64.2
68.7
60.9
56.2
71.9
79.6
Name
HEXAWARE
HINDALCO
HINDPETRO
HINDUNILVR
HINDZINC
IBREALEST
ICICIBANK
IDBI
IDEA
IDFC
IFCI
IGL
INDHOTEL
INDIACEM
INDUSINDBK
INFY
IOB
IOC
IRB
ITC
IVRCLINFRA
JINDALSTEL
JISLJALEQS
JPASSOCIAT
JPPOWER
JSWENERGY
Roll
71.8
88.0
84.5
71.4
82.0
83.5
51.5
80.9
84.5
74.1
87.9
77.3
93.1
81.7
66.4
67.6
76.9
83.5
93.0
57.1
86.9
74.6
83.2
81.4
81.3
77.8
3M
85.3
82.4
86.3
61.8
77.6
88.4
65.8
81.5
83.7
77.0
87.0
81.1
87.8
77.0
69.7
57.4
83.6
74.0
87.8
56.3
81.8
78.5
89.4
79.4
72.9
86.2

MOSt Rollover Report
Date:
Friday, April 26, 2013
Stock Rollovers
Individual Stock Rollovers
Name
Roll
3M
Name
JSWSTEEL
JUBLFOOD
KOTAKBANK
KTKBANK
LICHSGFIN
LT
LUPIN
M&M
MARUTI
MCDOWELL-N
MCLEODRUSS
MRF
NHPC
NMDC
NTPC
OFSS
ONGC
OPTOCIRCUI
ORIENTBANK
FRL
PETRONET
PFC
PNB
POWERGRID
PTC
86.2
73.0
75.4
90.4
91.6
69.8
58.2
66.8
76.3
92.0
94.6
73.0
81.6
82.2
69.1
91.4
67.4
78.7
85.4
83.1
82.7
80.9
87.2
62.3
88.7
80.2
78.4
62.9
89.3
86.7
71.3
66.6
64.2
72.4
93.8
94.1
80.3
77.5
80.8
70.1
91.7
61.2
73.4
67.6
80.4
83.3
79.7
82.0
65.7
78.1
PUNJLLOYD
RANBAXY
RAYMOND
RCOM
RECLTD
RELCAPITAL
RELIANCE
RELINFRA
RENUKA
RPOWER
SAIL
SBIN
SESAGOA
SIEMENS
SINTEX
SRTRANSFIN
STER
SUNPHARMA
SUNTV
SYNDIBANK
TATACHEM
TATACOMM
TATAGLOBAL
TATAMOTORS
TATAMTRDVR
Roll
85.7
81.7
80.0
71.8
78.1
79.0
66.5
80.4
83.1
88.8
74.4
69.7
72.0
80.9
89.8
92.9
85.2
66.4
81.9
78.0
83.9
95.6
87.9
76.5
70.2
3M
77.7
82.3
88.5
81.6
75.4
82.6
67.7
81.5
89.7
87.8
72.6
74.3
75.9
68.4
86.2
56.9
87.3
74.0
78.3
83.2
78.9
85.8
87.5
70.1
73.8
Name
TATAPOWER
TATASTEEL
TCS
TECHM
TITAN
UCOBANK
ULTRACEMCO
UNIONBANK
UNIPHOS
UNITECH
VIJAYABANK
VOLTAS
WIPRO
YESBANK
ZEEL
Roll
68.5
81.5
75.4
75.6
81.6
86.0
64.3
64.1
85.3
80.4
75.6
83.0
59.2
80.8
76.2
3M
60.0
72.1
64.5
78.7
72.9
82.5
73.5
75.7
86.5
80.2
85.8
84.1
65.2
82.8
80.9
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