Rollover Analysis May 31, 2018 Rollover Snapshot Volatile trade likely due to high OI prevailing May April March Market wide rollover (%) 58.69 56.3 55.35 across sectors, MSCI rebalancing... Nifty Rollover (%) 42.46 44.76 41.3  Nifty rolls were near 42.46%, in line with the 3M average of 42.84% Nifty Rollover cost (%) 0.09 0.21 0.27  Marketwide rolls were at 58.69% compared to the 3M average of 56.78%  Sectorally, technology, FMCG and pharma are witnessing high rollover of OI build up in current and mid series positions while the power, capital goods, oil & gas and banking space are witnessing relatively low rolls into the June series 35 Nifty May OI Nifty June OI 10,750  Highest rollover was observed in JSW Steel (88%), Infibeam (88%), (84%), 30 10,700 10,650 Bharat Finance (81%) and Britannia (78%) while rollover was relatively low in 25 10,600 OFSS, Container Corporation, Indigo, Colgate Palmolive and Torrent Power 20 10,550  Among index stocks, HDFC Ltd, , and are seeing 15 10,500 high rolls into the June series while Power Grid, Gail, and 10,450

OI inMillionsOI 10 are witnessing relatively low rolls into the next series 10,400  Rollover activity in the Nifty remained subdued in the last session as well amid a 5 10,350 0 10,300 declining roll spread. Near month Nifty futures saw closure of almost 2.7 million shares while June series added near 3.7 million shares indicating addition of fresh

short positions as the roll spread declined further to below 10 points. At the same

24-May 25-May 28-May 29-May 30-May 23-May time, Nifty near month futures still has 16.1 million shares, which remains on the higher side. Closure of these positions may trigger volatility during settlement

trade today. Among index heavyweights, pharma and oil & gas stocks continue to

hold significant open interest in the near month series while metal, FMCG space are seeing high rolls into next series. Bank Nifty futures have also saw accumulation of fresh open interest where roll cost fell further to just 25 points

Sectoral rollovers

High Rollover Low Rollover Sector Rollover % Sector Rollover % Technology 71.97 Infrastructure 49.08 FMCG 68.41 Power 53.33 Pharma 67.78 Oil_Gas 53.38

Realty Capital_Goods 65.73 54.67 Telecom 65.72 Banking 57.55 Stock rollovers

High Rollover Low Rollover

Stock Rollover % Stock Rollover % JSWSTEEL 87.40 CONCOR 27.52 INFIBEAM 85.54 NTPC 28.51 DABUR 83.57 POWERGRID 31.63 BHARATFIN 80.89 RNAVAL 31.68

HDFC 79.51 INDIGO 33.75

Source: NSE, Seediff, ICICIdirect Research Heavyweights build up vis-à-vis rollover cost

IBULHSGFIN 0.70 DRREDDY LT ULTRACEMCO HCLTECH TATASTEEL

0.50

GAIL ZEEL ADANIPORTS 0.30 LUPIN

Research Analyst 0.10

0.88 0.94 0.96 0.98 1.00 0.90 0.92 Amit Gupta ONGC ....….%Cost.…….. Rollover [email protected] -0.10 HINDPETRO Azeem Ahmad HINDUNILVR POWERGRID -0.30 [email protected]

…………%OI left from the highest OI of May series…… Raj Deepak Singh [email protected] Source: NSE, Seediff, ICICI Direct Research The diagram above depicts the rollover cost of index heavyweights along with the open interest left for the settlement in comparison with highest OI levels of the series. The size of the bubble represents maximum open Nandish Patel [email protected] interest of the 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

ICICI Securities Ltd | Retail Equity Research

w Previous Rollover Previous Rollover Instrument Rollover % May June July Total OI Rollover Cost % % Cost %

ACC 55.39 62.94 2189600 2712800 6400 4908800 0.734281781 -0.47 ADANIENT 59.76 61.22 5072000 7504000 28000 12604000 0.405679513 0.62 ADANIPORTS 39.79 51.46 11747500 7735000 27500 19510000 0.388271522 0.47

ADANIPOWER 58.74 68.13 50780000 69880000 2400000 123060000 0.75 0.60 AJANTPHARM 52 56.82 558500 603500 1500 1163500 0.324889588 0.45 ALBK 50.21 49.08 8190000 8040000 220000 16450000 0.599520384 0.42 AMARAJABAT 44.17 47.66 925400 730100 2100 1657600 -0.861522868 0.05 AMBUJACEM 59.82 44.49 6247500 9270000 32500 15550000 0.532945736 0.49

ANDHRABANK 50.26 48.58 13290000 13220000 208000 26718000 0.547945205 0.66

APOLLOHOSP 56.64 60.04 486500 634500 1000 1122000 0.435443038 0.25 APOLLOTYRE 54.42 39.77 4311000 5076000 72000 9459000 0.398117988 0.53

ARVIND 51.42 55.25 3614000 3802000 24000 7440000 0.409207161 0.50

ASHOKLEY 58.66 55.85 26327000 36141000 1216000 63684000 0.46964106 0.34 ASIANPAINT 56.25 58.06 2590800 3313800 16800 5921400 -0.011577647 0.46 AUROPHARMA 72.8 67.25 6559200 17497600 62000 24118800 0.547799965 0.48

AXISBANK 72.43 63.31 14139600 37076400 79200 51295200 0.463263226 0.50

BAJAJ-AUTO 68.01 63.21 724500 1523000 17250 2264750 0.434978793 0.45 BAJAJFINSV 69.6 63.56 214375 490250 625 705250 0.481840884 0.48 BAJFINANCE 59.86 60.9 2194000 3268000 4500 5466500 0.457914365 0.55 BALKRISIND 62.56 56.95 474400 780000 12800 1267200 0.484949102 0.50 BALRAMCHIN 55.14 52.49 7441000 9110500 35000 16586500 0.55401662 0.60

BANKBARODA 69.13 61.75 17736000 39584000 128000 57448000 0.43274432 0.51

BANKINDIA 63.31 54.99 9708000 16578000 174000 26460000 0.397022333 0.51

BANKNIFTY 52.69 49.43 1418880 1559320 20840 2999040 0.101139967 0.21

BATAINDIA 44.44 57.49 1527900 1216600 5500 2750000 0.462435069 0.48

BEL 53 51.42 15924150 17735850 217800 33877800 0.461409396 0.49

BEML 58.64 63.61 861900 1221000 1000 2083900 0.440038172 0.47

BERGEPAINT 43.03 54.29 1581800 1190200 4400 2776400 -1.643153527 -2.55 BHARATFIN 80.89 73.67 1078000 4550500 12500 5641000 0.360885256 0.52 BHARATFORG 67.66 80.46 2918400 6090000 14400 9022800 0.443075999 0.41 BHARTIARTL 76.65 78.83 12427000 40720100 81600 53228700 0.545067801 0.53 BHEL 54.93 48.73 23782500 28492500 487500 52762500 0.361663653 0.47 74.32 70.52 2306700 6619500 55800 8982000 0.406774647 -0.15 BOSCHLTD 71.04 49.39 43575 106900 0 150475 -0.110933869 0.47 BPCL 46.09 47.17 6546600 5448600 149400 12144600 -1.098626717 0.39 BRITANNIA 77.95 82.92 182200 641800 2400 826400 0.503011165 0.48 CADILAHC 65.02 75.03 3574400 6612800 32000 10219200 0.422458436 0.52 CANBK 69.03 57.7 4443200 9820800 82000 14346000 0.449043342 0.26 CANFINHOME 57.42 53.89 2023750 2708750 20000 4752500 0.385505012 0.51 CAPF 64.12 65.48 3246400 5752000 48800 9047200 0.472469562 0.51 CASTROLIND 67.43 67.93 3777200 7814800 5600 11597600 0.490903841 0.51 CEATLTD 51.47 56.95 829850 878500 1750 1710100 0.456604457 0.50 CENTURYTEX 72.28 77.92 1881000 4880700 23650 6785350 0.482465242 0.46 CESC 72.24 76.67 1663200 4307600 19800 5990600 0.448776722 0.54 CGPOWER 47.87 51.66 9840000 8988000 48000 18876000 0.455136541 0.55 CHENNPETRO 55.03 64.81 1501500 1831500 6000 3339000 0.424778761 0.45 CHOLAFIN 53.06 58.72 544000 614500 500 1159000 0.457257751 0.36 CIPLA 46.52 71.73 6570000 5695000 20000 12285000 0.504041845 0.45 COALINDIA 59.94 63.76 7900200 11649000 169400 19718600 -0.121065375 -0.17 COLPAL 34.88 62.09 1412600 756000 700 2169300 -0.335973122 0.45 CONCOR 27.52 61.03 1576875 598750 0 2175625 0.402874564 0.47 CUMMINSIND 52.65 31.29 429600 477600 0 907200 0.311041991 0.41 DABUR 83.57 59.76 2447500 12400000 45000 14892500 0.497707924 0.47 DALMIABHA 68.05 74.41 192300 409500 0 601800 0.492846372 0.46 DCBBANK 59.27 48.89 3231000 4666500 36000 7933500 0.484391819 0.23

DHFL 79.39 73.28 5232000 20151000 1500 25384500 0.047858339 0.62 DISHTV 56.69 74.7 22043000 28805000 48000 50896000 0.603217158 0.47

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Previous Rollover Previous Rollover Instrument Rollover % May June July Total OI Rollover Cost % % Cost % DIVISLAB 62.79 65.52 1182400 1989600 5600 3177600 0.456273764 0.45 DLF 63.49 61.52 14340000 24835000 102500 39277500 0.553949904 0.57 DRREDDY 61.64 67.22 2051750 3250250 46750 5348750 0.523613701 0.50 EICHERMOT 52.38 67.83 90350 99225 150 189725 0.412646992 0.52 ENGINERSIN 62.07 59.04 4431000 7227500 24500 11683000 0.409836066 0.52 EQUITAS 73.64 69.82 5904000 16476800 16000 22396800 0.49200492 0.48 ESCORTS 51.01 50.77 2385900 2473900 9900 4869700 0.42167067 0.47 EXIDEIND 58.96 63.86 3324000 4752000 24000 8100000 0.418410042 0.39 FEDERALBNK 64.18 44.79 30937500 53212500 2222000 86372000 0.46484602 0.47 GAIL 41.47 57.17 9270492 6542151 26670 15839313 0.378071834 0.44 GLENMARK 76.24 78.49 1337400 4267800 23000 5628200 0.275927688 0.30 GMRINFRA 46.16 52.17 194535000 165690000 1125000 361350000 0.821917808 0.74 GODFRYPHLP 61.48 58.2 233000 370500 1400 604900 0.575953924 0.68 GODREJCP 55.38 32.6 1008000 1250400 800 2259200 0.406414278 0.11 GODREJIND 53.23 43.45 1225500 1387500 7500 2620500 0.283968677 0.49 GRANULES 56.97 60.6 7485000 9820000 90000 17395000 0.438871473 0.50 GRASIM 67.31 69.46 1981500 4080000 750 6062250 0.533397405 0.51 GSFC 63.63 59.39 6484500 11277000 67500 17829000 0.468683426 0.54 62.14 59.04 1871000 3054000 17000 4942000 0.403478885 0.49 HCC 52.48 46.28 26280000 28650000 378000 55308000 0.653594771 0.62 HCLTECH 65.75 63.92 4302200 8244600 12600 12559400 0.441014333 0.18 HDFC 79.51 66.57 5146000 19842000 132000 25120000 0.515880762 0.55 HDFCBANK 58.73 59.68 11041000 15214500 498500 26754000 0.091076923 0.18 HDIL 66.05 0 521400 1002800 11800 1536000 0.431328352 0.00 HEROMOTOCO 57.91 63.35 2431500 3325500 19500 5776500 -0.706594886 0.48 HEXAWARE 61.2 55.76 15081500 23758000 28000 38867500 0.356768101 -0.99 HINDALCO 59.48 68.78 12762225 18625950 108675 31496850 -0.373862159 0.45 HINDPETRO 61.6 58.56 3726600 5974200 4800 9705600 -0.315079715 0.64 HINDUNILVR 71.43 61.81 5017600 12547200 0 17564800 0.644395455 0.40

HINDZINC 72.54 64.73 4530400 11947200 23500 16501100 0.571498551 0.49

IBULHSGFIN 56.96 65.86 40348000 52973250 426250 93747500 0.455580866 -0.20

ICICIBANK 63.31 61.41 1817400 3103100 32500 4953000 -0.26156224 0.47

ICICIPRULI 43.71 58.23 35010000 26980000 210000 62200000 0.304878049 0.08

IDBI 77.15 42.72 34524000 115906000 630000 151060000 0.48582996 0.45

IDEA 60.54 75.6 74751600 112358400 2323200 189433200 0.488758553 0.42

IDFC 58.44 58.46 109152000 148671000 4807000 262630000 0.498132005 0.48

IDFCBANK 55.39 63.57 33990000 41624000 575000 76189000 0.546448087 0.53

IFCI 50.58 46.62 4705250 4724500 90750 9520500 0.491865305 0.76

IGL 60.01 61.23 10111500 15109500 66500 25287500 0.453172205 0.46

INDIACEM 54.36 64.46 1656000 1956000 16000 3628000 -1.763641845 0.38

INDIANB 33.75 53.28 2910000 1482600 0 4392600 -1.251559419 0.49

INDIGO 56.74 60.53 3402900 4440600 22500 7866000 -0.974911914 -0.47

INDUSINDBK 85.54 52.5 5208000 30764000 36000 36008000 -0.704432052 -0.41 INFIBEAM 44.79 78.25 4646100 3617600 151300 8415000 -0.761463334 -0.24 INFRATEL 72.58 38.02 10192800 26901000 75000 37168800 -2.04098462 -0.28 INFY 48.39 75.86 20913000 19437000 174000 40524000 -0.058462438 0.29 IOC 59.19 53.67 8115000 11765000 2500 19882500 0.463841451 0.47 IRB 73.3 67.45 23697600 64718400 340800 88756800 0.589970501 0.51 ITC 51.12 47.66 3067200 3204000 3600 6274800 0.211317211 -0.44 JETAIRWAYS 63.54 59.74 11916000 20565000 200250 32681250 0.620453573 0.48 JINDALSTEL 53.91 59.97 18000000 21024000 27000 39051000 0.578871201 0.60 JISLJALEQS 66.17 57.13 67422000 131206000 646000 199274000 0.634920635 0.57 JPASSOCIAT 87.4 61.11 8250000 57087000 114000 65451000 0.481782596 0.74 JSWSTEEL 64.58 86.79 955750 1727750 14500 2698000 0.221764929 0.44 JUBLFOOD 43.17 51.37 1986600 1502200 7000 3495800 -0.566669529 0.50 JUSTDIAL 43.97 54.45 909600 708800 5000 1623400 0.431338028 -0.25 KAJARIACER 51.12 55.48 9193600 9607200 9600 18810400 0.299780929 0.42

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Previous Rollover Previous Rollover Instrument Rollover % May June July Total OI Rollover Cost % % Cost % KOTAKBANK 55.33 57.52 4203000 5179500 27000 9409500 0.565590221 0.36 KPIT 59.33 54.18 1000500 1446000 13500 2460000 0.453283996 0.51 KSCL 54.31 53.02 11381000 13110000 418500 24909500 0.49382716 0.57 KTKBANK 60.69 67.86 12172500 18702000 94500 30969000 0.463768116 0.55 L&TFH 72.28 63.25 4238300 10995600 53900 15287800 0.46213633 0.45 LICHSGFIN 60.52 72.82 5731500 8741250 45750 14518500 0.497803807 0.48 LT 55.47 50 6285600 7689600 140000 14115200 0.353584057 0.40 LUPIN 70.56 66.56 5444000 12992000 57000 18493000 0.496430165 0.47

M&M 66.03 61.51 3093750 6003750 10000 9107500 0.52279381 0.45 M&MFIN 67.01 65.55 6882000 13836000 144000 20862000 0.459136823 0.47 MANAPPURAM 54.49 51.69 2555800 3057600 2600 5616000 0.470366886 0.42

MARICO 62.92 58.02 1048950 1770825 8850 2828625 0.443437073 0.53

MARUTI 73.47 63.67 683000 1890250 1500 2574750 0.456930606 0.46

MCDOWELL-N 68.92 69.15 1107500 2443500 11900 3562900 0.452352232 0.45

MCX 62.61 68.98 1129000 1889000 1200 3019200 0.433168317 0.51

MFSL 56.33 60.6 1008600 1294800 6000 2309400 0.478898533 0.47

MGL 40.54 52.06 2289600 1551600 9600 3850800 0.352820111 0.66

MINDTREE 59.06 41.59 5700800 8212800 12800 13926400 0.447498801 -0.68 MOTHERSUMI 61.73 70.06 11745 18945 0 30690 0.412050446 0.47 MRF 54.44 59.19 2817000 3330000 36000 6183000 -0.422163588 0.43 MRPL 58.6 53.29 1011000 1428000 3000 2442000 0.429401364 0.37 MUTHOOTFIN 46.28 59.93 29224000 25024000 152000 54400000 0.566171267 0.23 NATIONALUM 48.92 55.14 10740000 10092000 192000 21024000 0.476442562 0.58 NBCC 59.91 50.92 15616000 23088000 248000 38952000 0.453234446 0.56 NCC 66.57 53.98 99300 197700 0 297000 0.491412089 0.51 NESTLEIND 51.64 59.85 15903000 16794000 189000 32886000 0.562851782 0.24 NHPC 42.46 42.73 16186125 11523000 419250 28128375 0.093828092 0.36 NIFTY 45.08 44.76 28450 23350 0 51800 -0.162673765 0.21 NIFTYIT 99.97 44.01 200 591400 0 591600 0.519568084 0.14 NIFTYMID50 41.33 99.97 1149000 804750 4500 1958250 0.39424223 0.67 NIITTECH 55.64 48.34 12240000 14970000 384000 27594000 0.5 -0.63 NMDC 28.51 51.46 35080000 13976000 16000 49072000 0.422450211 0.52 NTPC 27.17 65.24 104550 39000 0 143550 0.046559889 0.09 OFSS 49.26 51.94 1740288 1689303 0 3429591 -0.023030861 0.30 OIL 63.74 37.21 17073750 29857500 153750 47085000 0.05730659 -0.75 ONGC 59.39 61.89 6252000 9090000 54000 15396000 0.305250305 0.47 ORIENTBANK 59.34 51.77 27225 39725 0 66950 0.465820379 0.06 PAGEIND 38.07 52.36 6081000 3507000 231000 9819000 0.429799427 0.30 PCJEWELLER 75 56.99 587692 1738614 24160 2350466 0.479769032 0.64 PEL 60.14 81.21 8784000 13134000 117000 22035000 0.458926113 0.16 PETRONET 66.5 60.68 33450000 66072000 342000 99864000 0.757575758 0.46 PFC 41.44 58.7 2337000 1651000 3000 3991000 -0.936030893 0.53 PIDILITIND 63.63 41.49 26908000 46084000 995500 73987500 0.522648084 0.01 PNB 31.63 55.78 32652000 15076000 28000 47756000 -0.475624257 0.54 POWERGRID 44.02 52.47 13888000 10816000 104000 24808000 0.467016929 0.43 PTC 71.31 56.99 344400 855600 400 1200400 0.461544282 0.57 PVR 56.49 67.18 490400 636800 0 1127200 -0.491949911 0.41 RAMCOCEM 66.41 72.84 1671200 3298400 5600 4975200 0.480626301 -0.60 RAYMOND 61.25 70.69 1555000 2433000 25200 4013200 0.335216933 0.42 RBLBANK 46.03 60.94 55356000 46368000 840000 102564000 0.852272727 0.26 RCOM 61.94 59.18 14328000 22812000 510000 37650000 0.465707028 0.28 RECLTD 51.4 54.71 5046750 5268000 69000 10383750 0.433255269 0.47 RELCAPITAL 43.74 66.98 28583000 21790000 432000 50805000 -0.032704677 0.42 RELIANCE 54.27 50.89 3679000 4334200 32500 8045700 0.463606861 0.08 RELINFRA 50.26 64.71 341100 344700 0 685800 0.415712225 0.50 REPCOHOME 31.68 58.14 19755000 9162000 0 28917000 0.319488818 0.63 RNAVAL 56.15 62.27 27209000 34216000 624000 62049000 0.417246175 0.66

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Previous Rollover Previous Rollover Instrument Rollover % May June July Total OI Rollover Cost % % Cost % RPOWER 41.84 58.07 58464000 41436000 624000 100524000 0.514138817 0.541271989 SAIL 59.31 58.52 34839000 50205000 567000 85611000 0.468779299 0.450160772 SBIN 43.27 51.7 35600 27150 0 62750 0.348776601 0.273569024 SHREECEM 60.35 58.9 529500 802500 3500 1335500 0.441035475 0.626514028 42.15 67.9 120136125 82090257 5435124 207661506 0.618556701 0.488562166 SOUTHBANK 53.21 51.03 8460000 9510000 112000 18082000 0.513808606 0.569259962 SREINFRA 42.77 68.01 374000 278500 1000 653500 0.432204507 0.446428571 SRF 66.11 56.12 1168200 2274000 4800 3447000 0.489587874 -0.613116561 SRTRANSFIN 61.5 69.23 1026600 1630200 9600 2666400 0.301786577 0.45517882 STAR 76.61 62.35 13874300 45309000 133100 59316400 0.435707772 0.516351119 SUNPHARMA 62.91 77.21 2202000 3720000 15000 5937000 0.442666667 0.485436893 SUNTV 58.38 65.87 137025000 183575000 8640000 329240000 1.063829787 0.48004627 SUZLON 69.36 41.04 9180000 20673000 108000 29961000 0.506585613 0.454545455 SYNDIBANK 57.91 58.88 2059500 2790750 42750 4893000 0.47347835 0.46339203 TATACHEM 46.64 54.71 3102400 2708800 2400 5813600 0.37212985 0.487397298 TATACOMM 54.84 71.16 1011200 1216000 12000 2239200 0.460550236 0.46899841 TATAELXSI 63.77 52.85 7227000 12633750 87750 19948500 -0.679758308 0.442513803 TATAGLOBAL 65.44 61.44 33358500 62296500 880500 96535500 0.432675666 0.501469825 TATAMOTORS 54.63 62.04 15185000 18197500 84000 33466500 0.74940048 0.471339516 TATAMTRDVR 48.62 73.74 25182000 23319000 513000 49014000 0.42527339 0.485567845 TATAPOWER 72.46 59.27 7726202 19899055 430766 28056023 0.474506082 0.522951772 TATASTEEL 64.77 56.58 2473750 4536500 12250 7022500 0.544814203 0.536535514 TCS 72.53 42.93 4374000 11412000 136800 15922800 0.452455667 -0.128271648 TECHM 70.67 66.22 4404000 10586250 27000 15017250 0.558292282 0.502037253 TITAN 40.16 60.34 298000 200000 0 498000 0.223813787 0.503765256 TORNTPHARM 37.8 34.52 3036000 1845000 0 4881000 -1.041052838 -1.001925408 TORNTPOWER 63.35 44.9 31977000 55148000 136000 87261000 0.539568345 0.424358158 TV18BRDCST 52.32 59.53 2595000 2831000 16000 5442000 -0.562076376 0.463320463 TVSMOTOR 58.26 56.72 634900 883400 2800 1521100 0.374799966 0.570472351 UBL 51.98 62.98 3038400 3265600 24000 6328000 0.368581596 0.533345285 UJJIVAN 69.22 47.04 635400 1428200 800 2064400 0.45329448 0.456215942 ULTRACEMCO 66.94 67.32 11000000 22028000 240000 33268000 0.556792873 0.429915345 UNIONBANK 49.34 64.28 6483600 6260400 54000 12798000 0.070781427 0.495321959 UPL 65.45 68.32 17617250 33141500 232750 50991500 0.659472422 0.470430108 VEDL 43.11 56.91 1437000 1080000 9000 2526000 -0.042909247 0.619834711 VGUARD 49.59 47.54 1859000 1803000 26000 3688000 0.218599144 0.127145582 74.19 50.38 8323200 23904000 24000 32251200 0.421294523 0.391880241 WIPRO 61.81 76.87 1236600 1998900 2700 3238200 0.386297376 0.435312554 WOCKPHARMA 71.52 58.19 15142750 37787750 232750 53163250 -0.350364964 0.448430493 YESBANK 59.55 68.07 4115800 6054100 5200 10175100 0.404749056 0.138397663 ZEEL 57.02 57.02 1889100 1397700 2700 3289500 0.453282644 0.479000941 YESBANK 57.76 0 22202250 30189250 168000 52559500 -0.325395652 0.138397663 ZEEL 37.96 0 6204900 3790800 5200 10000900 0.448913629 0.479000941

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Trading Portfolio allocation  It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research products.  Please avoid allocating the entire trading corpus to a single stock or a single product segment.  Within each product segment it is advisable to allocate equal amount to each recommendation.  For example: The ‘Daily Derivatives’ product carries 2 intraday recommendations. It is advisable to allocate equal amount to each recommendation

Allocation Return Objective Product wise Max allocation Frontline Mid-cap Products allocation per stock Number of Calls Stocks stocks Duration Daily Derivatives 5% 2-3% 2 Stocks 1% 2-3% Intraday Weekly Derivatives 10% 3-5% 2 Stocks 3-5% 5-7% 1 Week High OI stock 5% 2-3% 2-3 Stocks 5-7% 7-10% 1-2 Weeks Monthly Derivatives 20% 3-5% 4-7 Stocks 7-10% 10-15% 1 Month Global Derivatives 5% 2-3% 1-2 index strategy - - 1 Month Stock Trader/ Stock in Focus 10% 2-3% 5-6 Stocks 7-10% 10-15% 3 Months Alpha Trader 5% 2-3% 2-3 Alpha strategy 5% - 3 Months

Volatility Insights 5% 2-3% 1-2 Strategy 8-10% 10-15% 1-2 Month

Arbitrage Opportunity 5% 2-3% 2-3 Stocks > 2.5% >2.5% Event Based Intraday Futures 10% 2-3% 8-12 Stocks 05.-1% 1-3% Intraday Index option & Strategy 15% 3-4% 2-5 Nifty 2-3% - 1-14 days

Stock option & Strategy 5% 3-4% 2-8 Stocks - 3-5% 1-14 days

Pankaj Pandey Head – Research [email protected]

ICICI Direct Derivatives Desk

ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC, Andheri (East), Mumbai – 400 093 [email protected]

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Disclaimer ANALYST CERTIFICATION We /I, Amit Gupta B.E, MBA (Finance), Azeem Ahmad MBA (Fin), CS, Raj Deepak Singh BE, MBA (Finance) and Nandish Patel, Research Analysts, authors and the names subscribed to this report, hereby certify that all of the views expressed in this research report accurately reflect our views about the subject issuer(s) or securities. We also certify that no part of our compensation was, is, or will be directly or indirectly related to the specific recommendation(s) or view(s) in this report.

Terms & conditions and other disclosures:

ICICI Securities Limited (ICICI Securities) is a full-service, integrated investment banking and is, inter alia, engaged in the business of stock brokering and distribution of financial products. ICICI Securities Limited is a Sebi registered Research Analyst with Sebi Registration Number – INH000000990.ICICI Securities is a wholly-owned subsidiary of ICICI Bank which is India’s largest private sector bank and has its various subsidiaries engaged in businesses of housing finance, asset management, life insurance, general insurance, venture capital fund management, etc. (“associates”), the details in respect of which are available on www.icicibank.com.

ICICI Securities is one of the leading merchant bankers/ underwriters of securities and participate in virtually all securities trading markets in India. We and our associates might have investment banking and other business relationship with a significant percentage of companies covered by our Investment Research Department. ICICI Securities generally prohibits its analysts, persons reporting to analysts and their relatives from maintaining a financial interest in the securities or derivatives of any companies that the analysts cover.

The information and opinions in this section have been prepared by ICICI Securities and are subject to change without any notice. The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities. While we would endeavour to update the information herein on reasonable basis, ICICI Securities is under no obligation to update or keep the information current. Also, there may be regulatory, compliance or other reasons that may prevent ICICI Securities from doing so. Non-rated securities indicate that rating on a particular security has been suspended temporarily and such suspension is in compliance with applicable regulations and/or ICICI Securities policies, in circumstances where ICICI Securities might be acting in an advisory capacity to this company, or in certain other circumstances.

The research recommendations are based on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. These research recommendations and information herein is solely for informational purpose and shall not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. ICICI Securities will not treat recipients as customers by virtue of their receiving these recommendations. Nothing in this section constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and opinions expressed herein may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and needs of specific recipient. This may not be taken in substitution for the exercise of independent judgment by any recipient. The recipient should independently evaluate the investment risks. The value and return on investment may vary because of changes in interest rates, foreign exchange rates or any other reason. ICICI Securities accepts no liabilities whatsoever for any loss or damage of any kind arising out of the use of these recommendations. Past performance is not necessarily a guide to future performance. Investors are advised to see Risk Disclosure Document to understand the risks associated before investing in the securities markets. Actual results may differ materially from those set forth in projections. Forward-looking statements are not predictions and may be subject to change without notice.

ICICI Securities or its associates might have managed or co-managed public offering of securities for the subject company or might have been mandated by the subject company for any other assignment in the past twelve months.

ICICI Securities or its associates might have received any compensation from the companies mentioned herein during the period preceding twelve months from the date of these recommendations for services in respect of managing or co-managing public offerings, corporate finance, investment banking or merchant banking, brokerage services or other advisory service in a merger or specific transaction.

ICICI Securities or its associates might have received any compensation for products or services other than investment banking or merchant banking or brokerage services from the companies mentioned herein in the past twelve months.

ICICI Securities encourages independence in research report preparation and strives to minimize conflict in preparation of research report. ICICI Securities or its associates or its Analysts did not receive any compensation or other benefits from the companies mentioned in the report or third party in connection with preparation of the research report. Accordingly, neither ICICI Securities nor Research Analysts and their relatives have any material conflict of interest at the time of publication of this report.

It is confirmed that Amit Gupta B.E, MBA (Finance), Azeem Ahmad MBA (Fin), CS, Raj Deepak Singh BE, MBA (Finance) and Nandish Patel, Research Analysts, giving these recommendations have not received any compensation from the companies mentioned herein in the preceding twelve months. Compensation of our Research Analysts is not based on any specific merchant banking, investment banking or brokerage service transactions.

ICICI Securities or its subsidiaries collectively or Research Analysts or their relatives do not own 1% or more of the equity securities of the company/companies mentioned herein as of the last day of the month preceding the publication of these research recommendations. Since Associates (ICICI group companies) of ICICI Securities are engaged in various financial service businesses, they might have financial interests or beneficial ownership in various companies including the subject company/companies mentioned herein. It is confirmed that Research Analysts do not serve as an officer, director or employee or advisory board member of the companies mentioned herein.

ICICI Securities may have issued other reports that are inconsistent with and reach different conclusion from the information presented herein. Neither the Research Analysts nor ICICI Securities have been engaged in market making activity for the companies mentioned herein. We submit that no material disciplinary action has been taken on ICICI Securities by any Regulatory Authority impacting Equity Research Analysis activities.

This report or recommendations are not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject ICICI Securities and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.

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