Rollover (Day 1)

Market-wide roll 61%; Nifty roll 55%

§  With a day left for the June expiry, Nifty traded in a narrow range. On the D-1, market-wide rollovers moved to 61% as compared to average rollovers of 55% (last three series). Future market holds an OI of ~INR 853bn as against OI of ~INR 896bn on D-1 of May expiry. Average roll levels in the market were ~78-80bps (cost to long rollers). Roll levels inched up slightly today.

§  Nifty rollovers stand at 55% as compared to the average rollovers of 45% (last three series) but on the lower OI base. Nifty futures OI stands at INR 156bn (~412k contracts) as against the OI of 194bn (~529k contracts) on D-1 of the last series. As compared to the D-1 of May series, Nifty futures OI base (contracts) is lower by ~22%.

§  Long roll participation was seen in Nifty as the levels inched up to ~58 points (cost to long rollers) as against 54-55 points yesterday. This is inclusive of dividend impact of ~24 points in next month futures. Around 42k contracts got rolled today while ~20k contracts were added in the next month.

§  After scaling new highs, Nifty has lost some steam. The rally in crude led by recent tensions in Iraq has been weighing on the sentiments. From the expiry perspective, we believe the market may see some selling pressure in the VWAP on the back of unrolled positions from the fresh arbitrageurs. However we will reassess the scenario tomorrow depending on the rollover activity during the day.