Rollovers:

(D-2 Days): Market-wide roll 46%; Nifty roll 42%

§  After four straight sessions of decline, Nifty managed to close in the green today. On the D-2, market-wide rollovers stands at 46% compared to average rollovers of ~40% (last three series). Market wide futures OI stands at ~INR 840bn compared with an OI of ~INR 860bn on the D-2 of May expiry.

§  Roll levels (cost to long rollers) in the market expanded slightly. It was ~75-80bps in most of names. Nifty rollovers stand ~42% compared to the average rollovers of 35% (last three series). Nifty roll level during the day was ~54-55 points (cost to long roller). Dividend of ~24 points is expected to go ex next month.

§  Nifty future holds an OI of 391k contracts (INR 149bn) as compared to 517.7k contracts (INR 189.9bn) on D-2 of May expiry. Around 43.7k Nifty contracts were rolled while ~30k contracts were added in July series.

§  Rollover activity has picked up in pharma (48%/18%), telecom (53%/20%) and oil & gas (48%/27%) on the D-2. Counters where rolls have picked up are Wipro (53%/23%), LIC Housing (50%/19%) and Tata Motors (46%/24%).