ROLLOVER ANALYSIS

June Rollover Snippets June 26, 2020 Markets remained on a hot streak throughout the June with the benchmark index Nifty retracing 61.8% of its previous move from 12,430 to 7,511 level. Bank Nifty index outperformed the Nifty index by a whopping ~4%, with both the indices closing ~12%/8% higher. Long gamma positions were the flavour of the series as the option writers ran for cover on account of a sharp delta move in the underlying indices. Vix index closed the series on a flat note at ~30.

FIIs speculative index futures long/short hovered around 1x level during the closing part of the June series but the ratio for the July series starts at 0.7x, however the total open interest is very low. Their long rollover stood at 58% vs 87.5% in the previous series while the short rollovers stood at 77% vs 57% in the previous series. FIIs bought Rs 12.2k cr worth of stock, while the DIIs sold ~1k cr into the India equities during the June series.

Rollovers of Nifty/Bank Nifty in June stood at 79%/81% (1.14cr/13.1 lakh shares) as against 76%/81% (1.08cr/14.3 lakh shares) in the last series, while market-wide rollovers stood at 92% vs 90% in the last series. Nifty were higher in terms of the total number of open interest vis-à-vis last month. The percentage rollover is significantly higher vis-à-vis its past three-month average and the Cost of carry (CoC) is sharply lower than its three-month average. We expect both Nifty and Bank Nifty index to post wild swings in the July series, hence creating long gamma positions would be the ideal way to ride the markets.

July expiry starts with the maximum open interest build-up in Nifty call options, at 11,500CE (1.81mn shares) and for Nifty put options, at 9,000PE (2mn shares).

Stocks to watch out - July series Long Buildup Short Covering

GODREJCP TORNTPOWER MINDTREE FEDERALBNK BRITANNIA SAIL NEUTRAL BANKBARODA PVR Long Unwinding CUMMINSIND Short Buildup HINDPETRO NESTLEIND ULTRACEMCO COLPAL BHARTIARTL

PIDILITIND

ROLLOVER ANALYSIS

No of % Chg %OI % % Chg % Price Shr % Rollover Script change Rollover Coc vs 3 View Chg(eoe) Rolled Rollover vs 3 Mnt (eoe) cost Mnt Avg (lk) Avg A Index 127.1 79% BANKNIFTY 12% -9% 13.1 81% -0.30 8% 0.52 Neutral NIFTY 8.4% 13% 114.1 79% -0.49 9% -0.44 Neutral NIFTYINFRA 0% 0.0 0 0% NIFTYIT 3% 0% 0.0 0% -91.36 -81% -91.03 Neutral NIFTYMID50 0% 0.0 0 0% NIFTYPSE 0% 0.0 0 0% Auto Ancillaries 410.5 92% AMARAJABAT 4% 41% 18.0 97% 0.53 2% 0.00 Neutral BHARATFORG 16% -1% 55.9 97% 0.24 3% -0.05 Neutral BOSCHLTD 16% -15% 1.3 99% -0.05 13% 0.04 Neutral EXIDEIND -5% 115% 108.8 80% 0.60 -10% 0.02 Neutral MOTHERSUMI 4% -11% 226.5 98% -0.05 8% -0.56 Neutral Capital goods 433.2 89% BEL 20% -20% 172.8 94% 0.54 12% 0.10 Neutral CONCOR 21% -11% 46.3 97% 0.06 5% -0.63 Neutral CUMMINSIND 12% -12% 12.6 97% 0.43 20% -0.05 Neutral 16% -20% 51.2 97% -0.17 1% -0.53 Neutral Short LT 4% -26% 91.2 72% 0.03 -23% 0.25 covering 4% 9% 22.8 98% 0.38 7% -0.10 Neutral 13% 0% 36.4 90% 0.00 6% 0.31 Long Buildup Cement 414.5 98% ACC -2% -100% 22.2 99% 0.06 7% 0.36 Neutral AMBUJACEM -3% 8% 182.8 99% 0.48 3% 0.43 Neutral GRASIM 5% -4% 185.9 98% -0.17 3% -0.31 Neutral Long ULTRACEMCO 0% -6% 22.3 94% -0.13 -2% -0.42 unwinding SHREECEM 6% -6% 1.4 98% -0.12 6% -0.22 Neutral Fertilizers 107.0 88% TATACHEM 4% -34% 14.3 92% -0.08 13% 1.08 Neutral UPL 13% -10% 92.7 87% -0.97 3% -1.04 Neutral FMCG 1417.8 90% Short BRITANNIA 4% 0% 16.1 87% -0.05 -2% 0.19 covering COLPAL 8% -1% 20.7 97% 0.41 17% 0.31 Neutral 2% 3% 122.4 88% 0.07 -6% -0.15 Neutral GODREJCP 12% 9% 61.9 99% 0.50 14% 0.19 Long Buildup HINDUNILVR 8% -2% 171.4 92% -0.10 0% -0.01 Neutral ITC 6% 69% 718.9 86% -0.94 11% -0.17 Neutral 3% -2% 108.3 99% 0.41 4% 0.08 Neutral MCDOWELL-N 7% 34% 129.6 98% 0.32 3% -0.01 Neutral TITAN 9% -11% 63.4 97% -0.05 7% -0.10 Neutral NESTLEIND -1% 31% 5.1 99% -0.02 14% -0.09 Short Buildup Four Wheeler 1319.3 89%

ROLLOVER ANALYSIS

No of % Chg %OI % % Chg % Price Shr % Rollover Script change Rollover Coc vs 3 View Chg(eoe) Rolled Rollover vs 3 Mnt (eoe) cost Mnt Avg (lk) Avg Short ASHOKLEY 20% -54% 306.6 84% 0.19 -9% 0.88 covering EICHERMOT 11% 3% 2.8 95% -0.24 6% 0.08 Long Buildup M&M 15% 25% 175.5 96% -0.46 1% -0.66 Neutral MARUTI 5% -5% 28.9 97% 0.00 2% -0.31 Neutral TATAMOTORS 19% 0% 779.6 89% 0.00 -3% -0.44 Neutral ESCORTS 16% 8% 26.0 90% 0.39 -1% 0.34 Neutral Infrastructure 946.5 90% GMRINFRA 15% 57% 779.0 91% 0.24 2% 0.00 Neutral NCC 37% -32% 167.6 84% 0.62 -4% -0.39 Neutral IT 1170.2 92% HCLTECH 1% -16% 181.4 92% -0.05 -1% -0.60 Neutral INFY -1% -7% 497.9 97% -0.45 2% -0.10 Neutral MINDTREE 2% 105% 13.1 93% -0.79 11% 2.29 Long Buildup NIITTECH -6% 48% 5.1 93% 0.41 1% 2.70 Neutral TCS 1% -45% 78.9 58% -0.29 -39% -0.29 Neutral TECHM 5% 2% 167.4 99% -1.01 3% -1.12 Neutral 9% -10% 226.5 93% 0.00 2% 0.01 Neutral Media 286.2 80% SUNTV 6% 47% 55.4 98% 0.54 7% -0.01 Neutral ZEEL -5% -17% 230.9 76% 0.17 -19% 0.40 Neutral Metals 3072.1 93% COALINDIA 5% -3% 337.2 91% 0.07 -2% -0.33 Neutral HINDALCO 6% 11% 315.0 94% -0.10 4% 0.13 Long Buildup JINDALSTEL 26% -9% 134.0 83% -0.07 17% -1.24 Neutral JSWSTEEL 5% 22% 389.1 99% -0.80 4% -0.82 Neutral NMDC 7% -11% 257.2 97% 0.41 4% 0.04 Neutral SAIL 2% 14% 411.7 91% 0.65 7% 0.80 Long Buildup TATASTEEL 9% -13% 158.4 82% -1.30 -10% -1.31 Neutral VEDL 24% 11% 1069.5 94% 0.09 -1% -0.62 Neutral NBFC 1794.7 90% BAJFINANCE 54% 3% 65.2 91% -0.43 -4% -0.56 Neutral HDFC 9% -2% 296.9 99% -1.09 4% -1.39 Neutral Short IBULHSGFIN 88% -14% 122.0 83% -0.55 -8% 0.01 covering Short L&TFH 32% -8% 221.7 79% 0.35 -14% 0.53 covering Short LICHSGFIN 10% -3% 79.2 85% 0.15 -5% 0.80 covering M&MFIN 31% -28% 113.1 90% 0.06 -3% -0.34 Neutral PFC 16% 21% 462.1 98% 0.39 3% 0.15 Long Buildup RECLTD 30% -31% 136.6 92% 0.17 -3% -0.35 Neutral Short SRTRANSFIN 22% -13% 25.8 88% 0.22 -3% 0.64 covering BAJAJFINSV 40% -7% 7.6 93% 0.22 5% 0.02 Neutral CHOLAFIN 52% 4% 69.4 88% -1.77 1% -2.75 Neutral

ROLLOVER ANALYSIS

No of % Chg %OI % % Chg % Price Shr % Rollover Script change Rollover Coc vs 3 View Chg(eoe) Rolled Rollover vs 3 Mnt (eoe) cost Mnt Avg (lk) Avg EQUITAS 27% 15% 124.6 81% 0.37 -8% -0.10 Neutral MFSL 15% -32% 15.0 90% -1.14 9% -1.06 Neutral MUTHOOTFIN 30% 41% 30.0 86% 0.21 1% 0.18 Long Buildup UJJIVAN 31% -43% 25.4 90% 0.05 0% -0.14 Neutral Oil & Gas 2493.9 95% BPCL 13% -14% 185.2 96% 0.00 2% -0.34 Neutral GAIL 16% 40% 345.8 94% 0.39 2% 0.14 Long Buildup HINDPETRO 19% 41% 161.2 96% -4.03 18% -4.44 Neutral IGL -5% 95% 76.6 90% 0.09 -2% -0.05 Neutral IOC 9% 9% 536.7 97% 0.29 3% -0.13 Neutral ONGC 3% 39% 708.5 98% 0.18 4% -0.04 Neutral PETRONET 9% 4% 124.5 85% 0.10 -11% -0.21 Neutral RELIANCE 17% 47% 348.7 94% -0.15 5% -0.57 Neutral Short MGL 16% -55% 6.6 94% 0.00 -4% 0.03 covering Others 707.0 97% ADANIENT 13% -1% 178.5 97% 0.40 7% -0.60 Neutral ADANIPORTS 4% -11% 307.9 99% 0.14 4% 0.05 Neutral ASIANPAINT 3% -8% 52.8 97% -0.04 3% 0.00 Neutral BATAINDIA 1% -11% 13.2 96% 0.12 3% 0.43 Neutral JUBLFOOD 6% 4% 23.2 87% -0.62 5% 2.73 Long Buildup JUSTDIAL 1% -22% 11.2 74% -4.12 -3% -4.32 Neutral PAGEIND 10% 4% 1.1 80% -0.20 -4% 1.95 Neutral PIDILITIND -3% 30% 33.9 99% 0.24 3% -0.02 Short Buildup UBL 11% -18% 7.2 95% 0.13 13% 0.40 Neutral BERGEPAINT 13% 5% 41.6 98% 0.38 6% 0.01 Long Buildup Short INDIGO 7% -15% 24.4 83% -0.02 -6% 0.95 covering PVR 20% -18% 11.9 89% -4.93 22% -0.85 Neutral Pharma 1002.5 94% APOLLOHOSP 8% 30% 11.4 95% 0.30 3% 0.20 Long Buildup AUROPHARMA 11% 11% 111.7 99% 0.33 9% -0.10 Neutral BIOCON 17% 27% 151.2 96% 0.41 10% 0.28 Long Buildup CADILAHC 7% -11% 57.9 77% 0.07 -17% -0.23 Neutral 1% 19% 122.3 95% 0.05 8% -0.23 Neutral DIVISLAB 2% 31% 31.4 99% 0.16 4% -0.46 Neutral DRREDDY 3% 0% 32.2 98% -0.59 3% -1.06 Neutral GLENMARK 33% 5% 37.7 83% 0.94 -12% 0.57 Neutral LUPIN 6% -28% 70.0 91% -0.22 -5% -0.80 Neutral SUNPHARMA 6% -15% 325.5 97% -0.07 3% -0.42 Neutral TORNTPHARM 6% 10% 11.8 98% 0.20 10% -0.16 Neutral PEL 40% -15% 39.4 95% -0.94 -2% -0.54 Neutral Power 1965.2 86% ADANIPOWER 2% 0% 0.0 0% 1645.43 -92% 1644.66 Neutral BHEL 41% -21% 493.3 91% 0.53 0% -0.30 Neutral NTPC 0% 31% 602.3 97% 0.05 7% -0.21 Neutral

ROLLOVER ANALYSIS

No of % Chg %OI % % Chg % Price Shr % Rollover Script change Rollover Coc vs 3 View Chg(eoe) Rolled Rollover vs 3 Mnt (eoe) cost Mnt Avg (lk) Avg POWERGRID 14% -4% 316.1 95% -0.08 3% -0.03 Neutral Short TATAPOWER 19% -13% 536.0 84% -0.11 -7% 0.57 covering Short TORNTPOWER 7% -1% 17.6 93% 0.32 0% 0.05 covering Private Banks 3091.7 96% AXISBANK 8% 11% 643.4 96% 0.09 -1% 0.01 Neutral Short FEDERALBNK 22% -10% 599.2 92% 0.67 -1% 0.06 covering HDFCBANK 9% 3% 346.3 96% -0.44 4% 0.50 Long Buildup ICICIBANK 7% 17% 1117.2 97% 0.11 1% 0.47 Long Buildup INDUSINDBK 23% 46% 298.0 96% 0.30 1% -0.01 Neutral Short KOTAKBANK 12% -9% 87.7 90% -0.68 -4% 0.40 covering PSU Banks 2045.9 95% Short BANKBARODA 35% -14% 429.4 91% 0.68 -2% 0.19 covering CANBK 26% 32% 108.1 93% 0.48 2% -0.26 Neutral PNB 39% -16% 459.3 94% 0.81 1% 0.11 Neutral SBIN 17% -10% 1049.1 97% -0.03 4% -0.25 Neutral Real Estate 263.2 94% DLF 9% -3% 263.2 94% 0.16 2% 0.43 Neutral Telecom 2605.8 87% BHARTIARTL -1% 16% 785.6 97% -0.17 4% -0.72 Short Buildup IDEA 70% -43% 1730.4 83% 2.05 8% 0.57 Neutral INFRATEL 2% 12% 89.8 95% -1.40 3% -0.70 Neutral Textile 29.2 75% CENTURYTEX 8% 4% 24.1 72% -0.07 -22% -0.82 Neutral SRF 6% -9% 5.1 97% 0.08 2% -0.31 Neutral Two Wheeler 84.0 95% BAJAJ-AUTO 8% -6% 17.9 97% -0.10 3% -0.19 Neutral HEROMOTOCO 11% 35% 27.8 96% -1.49 5% -1.38 Neutral TVSMOTOR 15% -3% 38.4 94% -1.18 9% 0.33 Neutral TYRES 110.5 93% APOLLOTYRE 15% 28% 102.0 95% 0.58 4% 0.37 Long Buildup MRF 11% -7% 0.2 99% 0.09 10% -0.07 Neutral Short BALKRISIND 12% -33% 8.4 74% -0.23 -10% 1.27 covering Grand Total 25898.1 92%

Source: IIFL Research

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Recommendation Parameters for Fundamental/Technical Reports:

Buy – Absolute return of over +10% Accumulate – Absolute return between 0% to +10% Reduce – Absolute return between 0% to -10% Sell – Absolute return below -10%

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