Rollovers: (D-1 Day): Market-wide roll 60%; Nifty roll 52%; Stock Futures 63%
§ Reversing the negative trend of the past two sessions, Nifty ended the penultimate session of the March series gaining ~1.8%. The overnight comments from the Federal Reserve pointing towards a gradual increase in rates in the US was cheered by the markets.
§ Rollovers went on smoothly with market-wide rollovers moving to 60% which is lower compared to average rollovers of 63% (last three series). Market wide futures OI is ~INR 894bn as against OI of ~INR 828bn on the D-1 of February expiry. After spiking up yesterday, roll levels cooled off a bit. Average levels in the market were ~58-60bps (cost to long rollers) from yesterday's levels of ~62-65bps.
§ Nifty rollovers moved to 52% as compared to average rollovers of 57% (last three series). Low rollovers in Nifty is amidst a higher OI base this time around. Nifty futures OI stands at INR 233bn (~30.12mn shares) as against the OI of INR 183bn (~26.13mn shares) on D-1 of the last series. Like stock futures, Nifty futures roll levels also came down to ~44-45 points (cost to long rollers) as compared to 46-47 points seen yesterday. Around 21.18k contracts got rolled today while ~16.97k contracts were added in the next month.
§ The month of March has been an eventful one with Nifty gaining ~11%. Cost of carry witnessed sharp swings during the month on the back of expectations of early dividends. This led to a scramble of buying the underlying equity especially by reverse arbitrageurs. Going into the expiry day, rollovers present a settled look with most of the positions getting rolled over. However bias is likely to be from the Nifty futures long rollers who would prefer to convert the positions into cash owing to expensive roll level. Based on the Nifty Index options open interest structure, 7800 Call and 7600/7700 Put options hold the maximum open interest.
Focus Stock – Stocks which may see some volatility on expiry day
§ Cairn India (CAIR IN): Rollovers on the D-1 stands at ~59%. With futures going into discount, reverse arbitrage positions (sell cash and buy futures) have been set up. The near month OI at ~5.80mn shares is ~1.3times the average daily volume in cash market. Roll levels during the day were ~38-40bps (profit to short rollers). If rollovers don't pick up, arbitrageurs will prefer to buy the cash in the VWAP.
§ Just Dial (JUST IN): On the D-1, rollovers stand at ~52%. With futures going into discount, reverse arbitrage positions (sell cash and buy futures) have been set up. The stock holds an OI of ~1.18mn shares in the near month (~2.13times average daily volume in cash market). Roll levels were ~-410bps (cost to short rollers). If rollovers don't pick up, reverse arbitrageurs (long rollers) will look to buy the cash in the VWAP.
§ Power Finance Corporation (POWF IN): With a day left in the March series, ~53% positions have been rolled over to the April series. With the futures trading at a premium to spot, fresh arbitrage positions (buy cash and sell futures) have been set up. The near month OI at ~7.44mn shares is ~4.45times the average daily volume in cash market. Roll levels during the day were ~46-48bps (profit to short rollers) which is on the lower side. If rollovers don't pick up, arbitrageurs will sell the cash in the VWAP tomorrow.
Rollover Analysis 30-Mar-16-EDEL
Regards,
Vijay Bamola
Daiwa Capital Markets India Private Ltd.
10th Floor, 3 North Avenue, Maker Maxity,
Bandra Kurla Complex, Bandra (East),
Mumbai - 400 051.
India T : +91 22 6622 1000 - (Board). Ext.. 1048
Tel : +91 22 6622 1048 - (Direct)
CIN - U67120MH2007FTC174953
Website : http://www.in.daiwacm.com/
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