Rollover analysis – September ’14

OVERALL OUTLOOK

 

The Aug series saw some huge volatility and but finally closed with gains of 233 to close at 7954   for the series. The banking stocks saw some divergent trend with the PSU banking stocks showing a negative trend while the private sector stocks managed to nullify some of the negativity. The real estate space also saw short rolls after some distinct weakness towards the end of the series. The IT and pharma sectors saw some renewed buying and look to regain leadership in the Sept series. Cement was another space where some good rolls were seen for the Sept series with a positive bias.

 

 

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Nifty & Bank Nifty Overview

The Nifty saw rollover of 71 % compared to 63% in the previous month. The rollover was also higher compared to the 3-month average (63%) and the 6-month average (60%).This has been at a premium of 32 basis points as compared to 29 points in the previous month. However the point to note was the higher quantum of Nifty futures to begin with which was at 15.95 mn compared to 13.21 mn in the beginning of Aug series.

Market-wide rolls were at 85 % vs previous month’s 82 and the 3-month average of 82.6%.

 

Bank Nifty

The index saw rolls maintained of 57% compared to the same in the previous month. Rollover has been at a premium of 45 points compared to 83 points in the July series hinting at possible shorts. Again higher quantum of Bank Nifty futures to begin with which was at 1.61 mn compared to 1.3 mn in the beginning of Aug series.

 

Derivative Indicators

 

The Implied Volatility closed at 13.09% against 13.55% of the previous month while Historical vols closed at 13.37% vs. 15.33% of previous month. Any rise in volatility indicates sharp movement in index another leading Derivative Indicator, the Nifty PCR opened on a negative note this month at 0.74 against last month’s 0.78. From the Nifty options activity it is evident that maximum addition of Open Interest on the call options front exists at strike price of 8000 & 8100 (with nearly 36.5 lacs & 36.2 lacs shares outstanding) indicating these levels will act as the resistance zone on the upside whereas on the put options front, maximum addition of open interest is at strike price of 7900 (with nearly 34.94 lacs shares respectively) indicating the stronger support zone on the downside.

 

 

Rollover Highlights

 

MEDIA

 

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

Zee Ent

86%

79%

79%

76%

0.75%

The scrip saw good rolls of 86% against   79% in the previous month, 3-mnth average (79%) and 6-mnth average (76%).Buying   could be considered in the 272-278 range for a possible target  of   293. 

 

 

      

 

OIL n GAS

 

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

Hind Petro

87%

57%

74%

79%

0.75%

The scrip saw rolls of 87% against 57   % in the previous month, 3-mnth average (74%) and 6-mnth average   (79%).The scrip has already seen a    good run up. Ideally buying could be considered at  around 440-45 .for a possible target    of 480.

 

 

 

 

 

 

FMCG

 

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

Colgate Palmolive

89%

75%

77%

78%

0.75%

The scrip saw rolls   of 89% against 75in the previous month, 3-mnth average (77%) and   6-mnth average (78%).Buying could be considered for a possible target of   1650.

 

ITC

71%

77%

76%

71%

0.61%

The scrip saw rolls   lesser than 3 m avg. indicates cut down in open interest in next series.   Expect the stock to test 375 in the short term.

 

 

 

 

INFRA

 

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

GMR Infra

87%

72%

83%

82%

0.39%

The scrip saw rolls of 87% against 72% in the   previous month, 3-mnth average (83%) and 6-mnth average (82%).Buying could be considered for a possible   target of   27.

 

 

 

 

 

 

BANKING

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

ICICIBANK

58%

71%

72%

70%

0.08

The stock has seen low rollovers in next series indicates cur down in   short rolls. Buy could be considered at around 1530-1540 for a possible   target of 1650.

 

 

 

         

 

 

TELECOM

Scrip (`)

Current

Last month

3M Average

6M Average

C-o-C

Summary

TATACOMM

93%

91%

89%

89%

0.59%

The stock has seen aggressive rollovers in sept series indicates long positions   in next series. Buy could be considered at around 370-375 for a possible   target of 400.

 

 

 

Sector Wise Rollover

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