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%), Dabur (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, Sun Pharma, Bharti Airtel and Wipro are seeing 15 10,500 high rolls into the June series while Power Grid, Gail, Reliance Industries and 10,450 OI inMillionsOI 10 Cipla 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 65.73 Capital_Goods 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 interest of the stock futures while the ‘X’ axis indicates percentage left in near month open interest of the highest [email protected] 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 BIOCON 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 ICICI Securities Ltd | Retail Equity Research Page 2 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 HAVELLS 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