September 26, 2013

Rollover Analysis

ICICI Securities Ltd | Retail Equity Research

Nifty, stock specific rolls suggest smooth rollover of short positions, VWAP action unlikely Nifty rolls were at 54.63%, higher than the 3M average of 48.39% Market wide rollover was at 58.7%, in line with 3M average of 56.67% Sectorally, FMCG, capital goods and technology stocks are witnessing high

rollover of positions while stocks from the infrastructure, media and finance space are witnessing relatively low rolls into the August series

Highest rollover was observed in Titan (85%), McDowell (76%), JSW Steel (77%), Jubilant Foodworks (76%) and McLeod Russel (75%)

Rollover activity is low among Godrej Industries (26%), Divis Lab (28%), Voltas (32%), Havells (34%) and GSPL (41%).

Among index stocks, Maruti (71%), Bhel (70%) and Hindustan Unilever (70%) are witnessing highs rolls into the October series while Grasim (46%), Tata Steel (50%) and IDFC (51%) are observing low rollover into the October series

Rollover in Nifty future shot up to 55% a day prior to the settlement clearly indicating the higher rolls pattern. Despite the roll spread coming down to 49 points from 53 points of the penultimate session, the spread remains high and further increase in the spread cannot be ruled out. Looking at the lower open interest of 11.9 million shares in Nifty futures and high degree of rollover among index heavyweights, VWAP action may not be seen during settlement

Sectoral rollovers

Sector Rollover % Sector Rollover % Realty 65.35 Media 48.78FMCG 65.29 Metals 53.71Automobile 62.73 Cement 55.54Pharma 61.74 Telecom 55.67Finance 61.19 Technology 56.28

High Rollover Low Rollover

Stock rollovers

Stock Rollover % Stock Rollover % TITAN 84.89 GODREJIND 26.27MCDOWELL-N 77.57 DIVISLAB 28.25JSWSTEEL 77.42 VOLTAS 32.22UNIPHOS 76.49 OPTOCIRCUI 32.36JUBLFOOD 75.56 HAVELLS 34.55

High Rollover Low Rollover

Source: NSE, Seediff, ICICIdirect.com Research

Heavyweights build up vis--vis rollover cost

TISCO

TATAMOTORS

RELIANCEWIPRO

DRREDDY

AMBUJACEM

SBIN

RELINFRACOALINDIA

ONGC

ITC

HDFCBANK

CAIRN

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

0.42 0.45 0.48 0.51 0.54 0.57 0.60

%OI left from the highest OI of September series...

....

.% R

ollo

ver C

ost.

..

Source: NSE, Seediff, ICICIdirect.com Research The diagram above depicts the rollover cost of index heavyweights along with the open interest left for the settlement in comparison with the highest OI levels of the series. The size of the bubble represents maximum open interest of stock futures while the X axis indicates percentage left in near month open interest of the highest open interest attained in the series. The Y axis shows the percentage rollover cost associated with the stock.

Rollover Snapshot September August July

Market wide rollover (%) 58.70 57.62 55.91Nifty Rollover (%) 54.63 44.13 62.1Nifty Rollover cost (%) 0.83 0.33 0.57

OI Build up in current and mid series

OI (in millions)

16.2

14.9

14.7

13.7

12.0

5.9 6.4 8

.3

11.6 1

3.7

19-Sep 20-Sep 23-Sep 24-Sep 25-Sep

5,800

5,900

6,000

6,100

6,200

Nifty Sep OI Nifty Oct OI Nifty Spot

Both the Nifty and market wide rollover are significantly higher than the average rollover figure of the last three months. Moreover, stock specific rollover seems to be on the higher side compared to their three month averages. Most of the index heavyweights have witnessed either closure of open interest or rollover of short positions into the October series. The open interest among most index heavyweights is on the lower side. However, some of the heavyweights like Tata Steel, Wipro and Reliance still hold noteworthy open interest in the September series. Majority of the positions were on the short side and witnessed forward arbitrage during the month. Hence, a round of selling pressure among these stocks cannot be ruled out during settlement Among midcaps, Divis Lab, Andhra Bank and Godrej Industries still have noteworthy open interest left in the September series. Despite favourable roll cost, roll activities are not picking up among these stocks. Hence, volatile action is expected among these stocks

1) Tata Steel: Buy above 293 2) Reliance: Sell Below 845

* Significant open interest is still left in the abovementioned stocks and they are probable candidates for short covering/long closure if rollover fails to pick up

Analyst

Amit Gupta amit.gup@icicisecurities.com

Azeem Ahmad azeem.ahmad@icicisecurities.com Raj Deepak Singh rajdeepak.singh@icicisecurities.com

Page 2ICICI Securities Ltd | Retail Equity Research

Instrument Rollover % Previous Rollover

%September October November Total OI Rollover Cost %

Previous Rollover Cost %

ABIRLANUVO 48.66 46.28 224500 212500 250 437250 1.309809107 1.01

ACC 51.09 49.77 431500 450500 250 882250 0.872385128 0.85

ADANIENT 53.4 61.46 3446000 3946000 3000 7395000 1.12084063 0.82

ADANIPORTS 47.07 57.63 1408000 1252000 0 2660000 1.064584812 0.93

ADANIPOWER 63.05 43.99 6136000 10456000 16000 16608000 0.29154519 -0.83

ALBK 46.72 51.16 1640000 1426000 12000 3078000 1.175015461 0.82

AMBUJACEM 54.37 54.64 5900000 6820000 210000 12930000 0.343189018 -1.18

ANDHRABANK 48.75 53.37 3444000 3252000 24000 6720000 0.931098696 1.09

APOLLOTYRE 67 46.19 3140000 6348000 28000 9516000 1.165331391 0.97

ARVIND 46.04 37.67 1716000 1456000 8000 3180000 1.049382716 0.80

ASHOKLEY 62.3 56.64 6867000 11295000 54000 18216000 1.01010101 0.41

ASIANPAINT 61.56 56.86 1867500 2978750 12500 4858750 0.532081377 0.53

AUROPHARMA 69.8 57.52 3718000 8582000 12000 12312000 1.115434501 0.98

AXISBANK 53.08 54.15 3547250 3941750 71500 7560500 0.641737033 0.37

BAJAJ-AUTO 66.02 55.02 363375 705000 875 1069250 0.735148023 0.62

BANKBARODA 63.86 62.17 1514000 2673500 2000 4189500 1.007729185 0.61

BANKINDIA 51.95 48.44 1575000 1702000 1000 3278000 1.008249313 0.84

BANKNIFTY 50.7 57.47 1234575 1238875 30650 2504100 0.774073487 0.46

BATAINDIA 46.39 40.48 330500 284500 1500 616500 1.210830545 1.15

BHARATFORG 72.01 79.79 826000 2125000 0 2951000 1.201260339 0.94

BHARTIARTL 56.13 37.53 5367000 6842000 24000 12233000 0.993917816 0.71

BHEL 70.51 74.12 10788000 24842000 946000 36576000 -1.275239107 -2.54

BIOCON 54.02 59.41 933000 1096000 0 2029000 1.181281236 0.88

BPCL 51.83 50 1552000 1662000 8000 3222000 1.210139002 -2.90

CAIRN 55.7 56.05 3002000 3686000 88000 6776000 1.122369447 0.91

CANBK 61.33 43 1428500 2254000 11500 3694000 1.120824927 0.90

CENTURYTEX 67.3 58.54 1314000 2701000 3000 4018000 1.276171486 0.70

CESC 61.07 47.18 190000 298000 0 488000 1.059859681 0.89

CHAMBLFERT 39.07 46.23 4204000 2696000 0 6900000 1.151079137 0.93

CIPLA 66.33 51.35 2391000 4706000 5000 7102000 1.218123862 0.94

CNXINFRA 0 0 100 0 0 100 0.974333529 0.85

CNXIT 36.24 30.07 19350 11000 0 30350 0.168795398 -0.77

CNXPSE 0 0 0 0 0 0 0.974828466 0.85

COALINDIA 51.41 45.71 2610000 2719000 42000 5371000 1.236868858 -0.73

COLPAL 55.03 46.82 160750 196000 750 357500 1.208069907 0.81

CROMPGREAV 63.13 42.9 2268000 3872000 12000 6152000 1.135718342 0.90

DABUR 51.98 51.13 1114000 1202000 4000 2320000 1.045088086 0.83

DENABANK 43.14 49.24 6068000 4560000 44000 10672000 1.256544503 0.92

DISHTV 47.14 45.24 14292000 12732000 12000 27036000 1.204819277 0.95

DIVISLAB 28.25 23.67 323750 127500 0 451250 1.167295341 0.86

DJIA 0 0 34975 0 0 34975 -1.989887457 1.83

DLF 69.43 77.84 7919000 17907000 80000 25906000 1.022270902 0.57

DRREDDY 54.8 35.9 438875 529625 2500 971000 0.968139774 0.84

EXIDEIND 42.76 55.96 846000 628000 4000 1478000 1.076923077 1.03

FEDERALBNK 44.3 42.65 522500 415000 500 938000 1.046685496 0.93

FINANTECH 45.5 48.87 1034500 855000 8500 1898000 0.267469074 -0.56

FRL 67.35 60.32 2100000 4332000 0 6432000 1.334269663 1.02

FTSE100 0 0 3150 0 0 3150 2.018348624 0.90

GAIL 60.85 41.39 1404000 2180000 2000 3586000 0.87941571 -1.15

GMRINFRA 60.92 63.78 34220000 53260000 90000 87570000 1.376146789 0.37

GODREJIND 26.27 48.99 376000 134000 0 510000 0.833622786 0.83

GRASIM 46.3 44.09 313125 262500 7500 583125 0.538336052 -0.20

GSPL 41.36 59.06 1480000 1044000 0 2524000 1.194029851 -0.79

HAVELLS 34.55 59.34 572000 301000 1000 874000 0.628634292 -0.92

HCLTECH 58.87 55.79 1323000 1886000 7500 3216500 0.39866798 0.62

HDFC 58.87 38.19 3284250 4700000 1500 7985750 1.157215012 0.89

HDFCBANK 54.1 45.9 6511500 7674000 1000 14186500 1.108700892 0.71

Page 3ICICI Securities Ltd | Retail Equity Research

Instrument Rollover % Previous Rollover

%September October November Total OI Rollover Cost %

Previous Rollover Cost %

HDIL 55.19 37.19 11528000 13836000 360000 25724000 -4.140526976 -2.95

HEROMOTOCO 65.27 67.69 869000 1573375 60125 2502500 -0.022019426 -4.39

HEXAWARE 51.96 50.8 4404000 4476000 288000 9168000 0.819992191 0.86

HINDALCO 60.05 53.98 9304000 13848000 136000 23288000 0.941780822 -0.39

HINDPETRO 72.4 61.64 1959000 5136000 2000 7097000 1.146972526 1.10

HINDUNILVR 70.33 63.07 2448000 5792000 11500 8251500 0.212615167 0.19

HINDZINC 55.69 34.19 1416000 1774000 6000 3196000 0.838414634 0.72

IBREALEST 59.36 54.38 6104000 8892000 24000 15020000 1.073345259 0.91

ICICIBANK 46.19 44.22 6447500 5483750 50250 11981500 0.969942443 0.66

IDBI 58.13 54.45 3480000 4784000 48000 8312000 1.068200493 0.85

IDEA 59.88 60.8 4172000 6196000 30000 10398000 1.091123562 0.79

IDFC 50.92 62.05 11732000 12116000 58000 23906000 1.162790698 0.75

IFCI 67.66 74.37 20792000 38616000 4880000 64288000 -3.296703297 -2.93

IGL 60.69 37.19 585000 902000 1000 1488000 1.305202932 1.00

INDHOTEL 0 37.98 3396000 0 0 3396000 0 0.81

INDIACEM 63.29 57.47 2044000 3516000 8000 5568000 1.183431953 -3.36

INDUSINDBK 58.34 73.52 3348000 4685500 2500 8036000 0.71400753 -0.18

INFY 60.12 39.3 1015000 1524500 5500 2545000 0.644744257 0.90

IOB 68.55 42.59 1292000 2792000 24000 4108000 1.182795699 1.30

IOC 63.31 57.69 918000 1564000 20000 2502000 0.809248555 -0.12

IRB 57.31 68.21 3984000 5300000 48000 9332000 1.237623762 0.88

ITC 55.93 36.03 11675000 14703000 112000 26490000 0.940257486 0.70

JINDALSTEL 57.19 61.15 3926000 5235000 9000 9170000 1.221498371 0.42

JISLJALEQS 54.87 55.98 5184000 6304000 0 11488000 1.099830795 0.00

JPASSOCIAT 54.38 61.85 28276000 33404000 304000 61984000 1.2 1.18

JPPOWER 58.43 57.18 7160000 10016000 48000 17224000 1.290322581 1.21

JSWENERGY 61.5 61.57 4932000 7876000 4000 12812000 1.231802912 1.08

JSWSTEEL 77.42 78.05 1862000 6365000 21000 8248000 1.100059285 0.78

JUBLFOOD 75.56 65.56 500500 1547250 250 2048000 1.133414085 0.68

KOTAKBANK 63.59 64.09 2483500 4200000 137500 6821000 0.288549511 -1.16

KTKBANK 70.54 65.22 3410000 8138000 26000 11574000 1.146788991 1.00

LICHSGFIN 54.08 46.09 4399000 5160000 21000 9580000 1.155488571 0.95

LT 55.41 50.65 4187250 5095875 106875 9390000 0.282180596 0.43

LUPIN 59.59 47.82 1146500 1690500 0 2837000 1.003771395 0.98

M&M 61.74 61.54 1454750 2343750 3750 3802250 0.809811631 0.39

MARUTI 71.05 59.52 506250 1225750 16750 1748750 0.616399083 0.31

MCDOWELL-N 77.57 77.33 1371625 4743625 875 6116125 1.270084471 0.86

MCLEODRUSS 75.14 68.79 693000 2095000 0 2788000 1.206225681 0.86

MRF 40.91 30.07 32500 22000 500 55000 1.114416254 0.71

NFTYMCAP50 0 50 0 0 0 0 0.972615921 0.85

NHPC 58.34 71.77 13570000 18940000 60000 32570000 1.272264631 -2.80

NIFTY 54.63 44.13 11955850 13683050 710800 26349700 0.834606894 0.28

NMDC 55.78 53.22 6734000 8300000 196000 15230000 1.236537694 -2.24

NTPC 59.2 41.81 4246000 6144000 18000 10408000 1.005025126 -0.67

OFSS 70.77 50.87 45750 110625 125 156500 1.247557493 0.90

ONGC 55.13 45.2 4867000 5972000 7000 10846000 1.178992497 0.84

OPTOCIRCUI 32.36 65.74 2876000 1376000 0 4252000 1.14416476 0.21

ORIENTBANK 50.11 54.49 1166000 1170000 1000 2337000 1.109701966 0.83

PETRONET 43.68 45.89 1070000 826000 4000 1900000 1.171717172 0.94

PFC 53.02 63.32 2858000 3210000 16000 6084000 1.164100638 0.10

PNB 66.07 63.3 1656500 3217000 8500 4882000 0.96538975 0.93

POWERGRID 57.02 31.24 4136000 5466000 20000 9622000 1.19047619 -0.32

PTC 43.82 41.32 1328000 1036000 0 2364000 1.223581758 0.95

PUNJLLOYD 47.12 42.66 8800000 7840000 0 16640000 1.321585903 0.92

RANBAXY 61.76 67.58 3577500 5774500 4500 9356500 1.172755977 0.76

RAYMOND 0 69.61 933000 0 0 933000 0 1.03

RCOM 52.09 78.63 19956000 21580000 116000 41652000 0.620732464 -0.04

Page 4ICICI Securities Ltd | Retail Equity Research

Instrument Rollover % Previous Rollover

%September October November Total OI Rollover Cost %

Previous Rollover Cost %

RECLTD 46.49 57.66 1823000 1581000 3000 3407000 1.055011304 0.49

RELCAPITAL 53.25 52.66 2635000 2966000 35000 5636000 1.182827103 0.89

RELIANCE 51.36 36.13 4578000 4783000 50250 9411250 1.139433807 0.83

RELINFRA 51.85 54.45 2299000 2454000 22000 4775000 1.222493888 0.93

RENUKA 58.96 60.54 12285000 17649000 0 29934000 1.385041551 0.99

RPOWER 55.93 59.01 17876000 22624000 64000 40564000 1.182197497 0.75

S&P500 0 0.09 88250 0 0 88250 -2.199586655 1.81

SAIL 47.22 64.55 8496000 7488000 112000 16096000 1.151631478 0.95

SBIN 60.74 62.35 2842875 4333500 65375 7241750 0.151191747 0.26

SESAGOA 44.46 80.61 14014000 11098000 120000 25232000 0.97702667 -5.17

SIEMENS 37.33 53.46 591000 351000 1000 943000 1.063497028 0.91

SRTRANSFIN 72.35 48.42 272500 712000 1000 985500 1.064377682 0.86

SUNPHARMA 67.82 53.21 1924000 4042500 12500 5979000 1.034724658 0.56

SUNTV 54.28 42.58 525500 619500 4500 1149500 1.165121523 0.41

SYNDIBANK 57.1 40.19 1644000 2154000 34000 3832000 1.147776184 0.85

TATACHEM 53.29 34.25 518000 590000 1000 1109000 1.231274369 0.77

TATACOMM 75.14 71.79 1271000 3798000 43000 5112000 1.352447931 0.96

TATAGLOBAL 62.35 60.56 2708000 4470000 14000 7192000 1.094765652 0.95

TATAMOTORS 56.07 54.9 11813000 14806000 273000 26892000 1.016112643 0.82

TATAMTRDVR 73.82 67.77 3040000 8566000 6000 11612000 1.164874552 0.90

TATAPOWER 40.46 39.94 6164000 4164000 24000 10352000 1.103617413 0.84

TATASTEEL 50.09 63.09 10340000 10228000 149000 20717000 1.130136986 0.71

TCS 63.88 69.11 2893500 5088000 28500 8010000 0.592739576 -0.46

TECHM 54.7 46.96 1296250 1559500 6000 2861750 1.2182817 0.56

TITAN 84.89 82.37 1615000 9068000 2000 10685000 1.045724831 0.68

UCOBANK 60.87 62.97 4152000 6456000 4000 10612000 1.146601147 0.89

ULTRACEMCO 62.37 55.99 328750 520250 24750 873750 0.269040883 0.09

UNIONBANK 54.83 63.44 3318000 4019000 8000 7345000 1.166810717 0.94

UNIPHOS 76.49 26 1748000 5688000 0 7436000 1.272984441 0.98

UNITECH 67.87 53.66 31216000 65768000 184000 97168000 1.492537313 0.94

VIJAYABANK 45.67 44.82 2712000 2272000 8000 4992000 1.184210526 1.02

VOLTAS 32.22 51.45 3072000 1456000 4000 4532000 1.089918256 0.67

WIPRO 53.7 62.13 2971000 3444500 1000 6416500 1.1212407 0.96

YESBANK 64.96 62.23 5834000 10756000 58500 16648500 1.158178645 1.02

ZEEL 58.75 62.62 1570000 2235000 1000 3806000 0.894901145 0.98

Page 5ICICI Securities Ltd | Retail Equity Research

Derivatives research product basket Directional Non-directional Quant products

Long build up/Short covering Futures Theta & Vega strategies Pair trading

Short build up Futures Delta differential strategy Enhanced Basket

High OI stocks delivery product Option indicators analysis VIX Analyser

Plain vanilla options Gamma neutral delta neutral strategy Quant Picks

Deep Value Strategy Reverse, Synthetic options & Situational arbitrage Volatility insights

Hybrid Strategies Index/Stocks Opportunity Matrix

Rollover week product ( Long/Short rollover stocks) Calendar Spreads

VWAP(expiry day product) Ratio Spreads

Pankaj Pandey Head Research pankaj.pandey@icicisecurities.com

ICICIdirect.com Derivatives Desk

ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC, Andheri (East), Mumbai 400 093 research@icicidirect.com research@icicidirect.com

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