Rollover Analysis
Derivatives Note August 27, 2010
Highlights
Nifty saw a rollover of 76% in Sep series vs 70% in August series.
Market wide rollovers stood flat at ~86% compared to 85% in the previous series.
Strong rollovers in Sugar, Infrastructure, Fertilizers & Finance.
Weak rollovers in Automobiles, Textiles, Banking & FMCG.
Negative cost of carry seen in Idea, NALCO, Ambuja Cement, ABB & Hero Honda.
Positive cost of carry seen in JSW Steel, Deccan Chronicles, Tech Mahindra, & Tata Teleservices.
Calls based on Rollover Strategy (execute near closing price for a gain of 4-5%):
- Long BHEL Sep Future at Rs2478-2500, Target Rs2650, Stop loss Rs2410 (Rollover at 80% &
OI addition at 17%).
- Short Petronet Sep Future at Rs111-113, Target Rs101, Stop loss Rs116 (Rollover at 57% &
OI addition of 44%).
- Long HCC Sep Future at Rs62-63, Target Rs72, Stop loss Rs57 (Rollover at 93% & OI addition
at 46%).
- Long MTNL Sep Future at Rs63-64, Target Rs73, Stop loss Rs58 (Rollover at 89% & OI
addition at 35%).
Market Vs Nifty Rollover Nifty August Futures for last 1-month
Source: Seediff
Strong Rollovers
Company LTP
Expiry
Price Chg %
Rollover
%
Rollover
Cost
GTL 428 1.8 96.8 1.2
PIRHEALTH 501 2.2 96.0 1.2
WELCORP 240 (4.0) 95.4 1.2
COREPROTEC 252 (4.9) 94.8 1.6
BHARATFORG 357 9.3 94.1 1.9
INDIACEM 108 2.2 93.8 2.1
BALRAMCHIN 88 9.0 93.6 1.2
HCC 63 (51.9) 93.3 1.7
ICSA 131 (0.7) 93.2 1.2
ABIRLANUVO 817 4.5 93.0 1.2
Source: Seediff
Weak Rollovers
Company LTP
Expiry
Price Chg %
Rollover
%
Rollover
Cost
BOSCHLTD 5,899 4.2 47.8 1.2
CHENNPETRO 254 3.2 55.1 0.5
PETRONET 111 19.6 57.3 1.2
AUROPHARMA 1,039 6.1 57.3 (0.5)
HINDZINC 1,064 5.4 60.3 1.2
COLPAL 829 (1.9) 63.5 1.2
DCHL 129 (2.5) 65.2 2.7
GAIL 445 (2.2) 65.5 0.2
INDIANB 255 12.4 68.3 1.8
HCLTECH 414 8.7 68.8 1.2
Rollover Analysis
Derivatives Note 2
Sector-wise rollovers
Source: Seediff
Derivative Rollover Details
Company Sector LTP
Last Expiry
Price
Chg
Price
Price Chg till
Expiry % Rollovers
Rollover
%
Rollover
Cost
ABAN Capital Goods 789 882 (92.7) (10.5) 2,820,000 87.7 0.12
ABB Capital Goods 765 848 (83.3) (9.8) 1,020,500 69.6 (2.39)
ABGSHIP Others 233 240 (6.8) (2.9) 671,000 86.3 (0.94)
ABIRLANUVO Textile 817 781 35.6 4.5 1,502,250 93.0 1.20
ACC Cement 860 842 18.1 2.1 1,677,500 82.4 (0.94)
ADANIENT Others 637 582 54.6 9.4 2,997,000 79.1 1.20
ALBK Banking 213 193 20.0 10.4 2,450,000 71.8 1.21
AMBUJACEM Cement 119 116 2.9 2.5 23,348,000 81.0 (3.03)
ANDHRABANK Banking 159 142 16.8 11.8 4,112,000 83.7 0.99
APIL Capital Goods 750 701 49.1 7.0 405,000 78.7 1.20
APOLLOTYRE Others 75 63 11.2 17.6 8,328,000 81.6 1.22
AREVAT&D Others 299 290 8.2 2.8 1,634,000 79.8 1.20
ASHOKLEY Automobile 72 73 (0.9) (1.3) 11,168,000 74.3 1.20
ASIANPAINT Others 2,768 2,634 134.0 5.1 62,125 71.4 1.20
AUROPHARMA Pharma 1,039 979 60.1 6.1 922,750 57.3 (0.45)
AXISBANK Banking 1,367 1,365 2.1 0.2 3,929,250 78.3 0.00
BAJAJ-AUTO Automobile 2,802 2,703 99.3 3.7 643,625 88.1 1.20
BAJAJHIND Sugar 122 115 6.8 5.9 10,322,000 90.5 1.20
BALRAMCHIN Sugar 88 81 7.3 9.0 18,444,000 93.6 1.20
BANKBARODA Banking 824 727 97.2 13.4 1,945,500 77.9 1.20
BANKINDIA Banking 465 403 62.3 15.5 2,497,000 70.0 1.21
BEL Power 1,696 1,797 (101.5) (5.6) 318,000 89.4 1.20
BEML Capital Goods 1,014 1,009 4.3 0.4 199,000 82.0 2.10
BGRENERGY Others 789 716 72.7 10.1 347,500 72.0 0.85
BHARATFORG Automobile 357 327 30.4 9.3 5,320,000 94.1 1.85
BHARTIARTL Telecom 322 318 3.6 1.1 21,272,000 86.6 0.28
BHEL Power 2,478 2,476 2.4 0.1 2,239,250 80.6 (0.41)
BHUSANSTL Metals 1,824 1,567 257.7 16.4 243,250 76.6 1.20
BIOCON Pharma 339 315 23.5 7.5 2,536,000 88.8 2.19
BOSCHLTD Automobile 5,899 5,663 235.5 4.2 25,625 47.8 1.20
BPCL Oil & Gas 756 644 111.7 17.3 3,390,000 82.3 (1.13)
BRFL Textile 258 274 (15.7) (5.7) 3,799,000 70.7 1.11
CAIRN Oil & Gas 342 337 5.7 1.7 16,823,000 86.0 1.28
CANBK Banking 516 488 28.3 5.8 2,290,000 87.4 1.20
CENTURYTEX Cement 494 457 37.0 8.1 5,681,500 91.7 1.75
CESC Power 388 388 (0.3) (0.1) 1,046,000 85.3 1.21
Rollover Analysis
Derivatives Note 3
Company Sector LTP
Last Expiry
Price
Chg
Price
Price Chg till
Expiry % Rollovers
Rollover
%
Rollover
Cost
CHAMBLFERT Fertilisers 68 67 1.0 1.5 10,248,000 88.3 1.26
CHENNPETRO Oil & Gas 254 246 7.9 3.2 833,000 55.1 0.46
CIPLA Pharma 309 330 (21.5) (6.5) 5,926,000 75.5 1.09
COLPAL FMCG 829 845 (16.4) (1.9) 256,500 63.5 1.20
CONCOR Transport 1,313 1,385 (71.8) (5.2) 34,000 78.2 1.20
COREPROTEC Others 252 265 (13.0) (4.9) 9,395,000 94.8 1.60
CROMPGREAV Capital Goods 307 278 28.9 10.4 1,057,000 79.3 1.21
CUMMINSIND Capital Goods 713 613 99.8 16.3 256,500 80.0 1.20
DABUR FMCG 211 197 13.4 6.8 1,872,000 76.6 1.22
DCHL Media 129 132 (3.3) (2.5) 4,106,000 65.2 2.70
DENABANK Banking 106 99 6.3 6.3 8,512,000 83.8 1.15
DISHTV Media 50 44 5.8 13.1 11,816,000 83.2 1.19
DIVISLAB Pharma 760 761 (0.7) (0.1) 568,000 84.8 1.20
DLF Realty 317 312 5.7 1.8 13,270,000 86.5 0.02
DRREDDY Pharma 1,349 1,374 (24.6) (1.8) 1,283,750 74.4 1.20
EDUCOMP Technology 562 612 (50.1) (8.2) 4,364,500 73.4 (1.74)
EKC Others 111 117 (6.1) (5.2) 7,612,000 89.6 1.23
ESSAROIL Oil & Gas 128 129 (1.0) (0.7) 19,802,000 89.2 1.62
EXIDEIND Others 148 143 5.0 3.5 1,430,000 82.9 1.23
FEDERALBNK Banking 344 353 (9.1) (2.6) 1,716,000 88.9 1.20
FINANTECH Technology 1,375 1,207 168.8 14.0 861,750 82.1 1.57
FORTIS Others 158 158 (0.8) (0.5) 5,258,000 86.2 2.09
FSL Technology 26 25 0.3 1.0 31,648,000 89.5 1.18
GAIL Oil & Gas 445 455 (10.0) (2.2) 3,554,000 65.5 0.15
GESHIP Transport 303 287 16.2 5.6 1,122,000 75.5 1.20
GLAXO Pharma 1,890 2,046 (155.4) (7.6) 222,750 92.9 1.20
GMDCLTD Others 120 119 0.2 0.2 2,630,000 74.8 1.20
GMRINFRA Infrastructure 61 58 2.7 4.6 42,072,000 92.8 1.75
GODREJIND Others 207 196 10.7 5.4 5,528,000 87.6 1.22
GRASIM Cement 2,064 1,834 230.1 12.5 457,000 87.9 1.20
GSPL Oil & Gas 114 108 6.0 5.6 6,592,000 88.9 1.24
GTL Telecom 428 420 7.4 1.8 6,418,000 96.8 1.21
GTLINFRA Telecom 47 46 0.1 0.2 42,888,000 91.6 1.29
GTOFFSHORE Transport 398 413 (15.5) (3.8) 1,502,500 92.1 1.20
GVKPIL Power 47 44 2.9 6.6 19,248,000 85.6 1.19
HCC Infrastructure 63 130 (67.5) (51.9) 22,912,000 93.3 1.70
HCLTECH Technology 414 381 33.0 8.7 2,087,000 68.8 1.21
HDFC Finance 629 2,993 (2,364.1) (79.0) 8,527,500 77.5 0.61
HDFCBANK Banking 2,181 2,103 78.2 3.7 3,928,750 72.0 0.25
HDIL Infrastructure 273 265 7.6 2.8 13,315,000 92.5 1.09
HEROHONDA Automobile 1,812 1,838 (26.4) (1.4) 2,170,375 79.5 (2.33)
HEXAWARE Others 72 83 (10.8) (13.0) 2,432,000 79.9 1.20
HINDALCO Metals 165 161 3.9 2.4 18,428,000 83.0 0.91
HINDPETRO Oil & Gas 519 437 81.9 18.7 10,172,000 89.6 (0.64)
HINDUNILVR FMCG 265 258 7.4 2.9 12,139,000 80.4 0.17
HINDZINC Metals 1,064 1,010 54.3 5.4 193,250 60.3 1.20
HOTELEELA Hotels 52 49 2.5 5.0 5,816,000 82.1 0.69
IBREALEST Realty 176 167 8.1 4.8 13,128,000 91.5 1.41
ICICIBANK Banking 981 920 60.2 6.5 17,029,000 75.0 (0.15)
ICSA Technology 131 132 (0.9) (0.7) 5,996,000 93.2 1.20
IDBI Banking 126 119 6.9 5.8 18,162,000 86.2 1.60
IDEA Telecom 68 67 0.8 1.2 35,752,000 82.8 (3.74)
IDFC Finance 185 191 (5.8) (3.0) 14,384,000 81.9 1.20
IFCI Finance 60 64 (4.8) (7.4) 89,796,000 92.7 (0.08)
Rollover Analysis
Derivatives Note 4
Company Sector LTP
Last Expiry
Price
Chg
Price
Price Chg till
Expiry % Rollovers
Rollover
%
Rollover
Cost
INDHOTEL Hotels 105 102 3.3 3.3 13,628,000 90.9 1.20
INDIACEM Cement 108 106 2.4 2.2 11,030,000 93.8 2.10
INDIAINFO Finance 97 94 3.1 3.3 10,484,000 87.9 2.30
INDIANB Banking 255 227 28.1 12.4 798,000 68.3 1.76
INFOSYSTCH Technology 2,756 2,843 (87.5) (3.1) 3,442,500 79.1 (0.41)
IOB Banking 129 116 13.0 11.3 3,608,000 78.0 1.22
IOC Oil & Gas 395 357 37.2 10.4 5,904,000 91.6 (1.89)
ISPATIND Metals 18 18 0.1 0.8 81,554,000 91.8 1.40
ITC FMCG 164 312 (147.6) (47.4) 33,058,000 77.1 0.73
IVRCLINFRA Infrastructure 162 172 (9.9) (5.8) 4,905,000 84.6 1.12
JINDALSAW Metals 206 200 6.1 3.0 7,742,000 92.3 0.71
JINDALSTEL Metals 710 627 83.7 13.3 5,069,000 77.8 1.20
JINDALSWHL Others 1,797 1,775 22.2 1.2 224,000 88.5 1.20
JISLJALEQS Others 1,256 1,200 55.6 4.6 104,750 79.1 1.20
JPASSOCIAT Cement 115 120 (4.3) (3.6) 35,196,000 87.0 1.40
JPPOWER Power 66 70 (4.0) (5.7) 8,176,000 89.2 1.23
JSWSTEEL Metals 1,137 1,152 (15.0) (1.3) 5,371,500 89.7 2.86
KFA Transport 60 52 8.5 16.3 14,348,000 92.1 1.26
KOTAKBANK Banking 843 771 72.3 9.4 2,550,000 73.6 1.20
KSOILS FMCG 51 53 (2.6) (4.9) 20,776,000 89.8 1.89
LICHSGFIN Finance 1,219 1,137 81.5 7.2 2,431,000 86.6 1.01
LITL Infrastructure 72 65 6.8 10.4 16,580,000 91.2 1.26
LT Capital Goods 1,865 1,821 44.2 2.4 3,499,375 75.3 0.58
LUPIN Pharma 1,887 1,919 (31.4) (1.6) 624,250 87.9 1.20
M&M Automobile 620 645 (25.1) (3.9) 6,594,750 82.0 0.32
MARUTI Automobile 1,232 1,205 27.3 2.3 3,088,500 76.4 0.55
MCDOWELL-N FMCG 1,396 1,448 (51.8) (3.6) 1,190,000 88.4 1.20
MCLEODRUSS Others 246 229 16.9 7.4 4,327,000 90.1 1.40
MLL Transport 51 46 5.0 10.8 12,476,000 90.0 1.28
MOSERBAER Technology 64 64 (0.0) (0.1) 6,444,000 89.3 0.70
MPHASIS Technology 629 604 24.8 4.1 2,237,000 92.3 1.65
MRPL Oil & Gas 78 76 1.6 2.0 10,156,000 86.9 1.24
MTNL Telecom 63 67 (3.6) (5.3) 18,420,000 89.5 1.59
MUNDRAPORT Others 799 726 72.8 10.0 805,500 86.8 1.20
NAGARCONST Infrastructure 154 177 (22.3) (12.6) 4,976,000 89.7 1.21
NAGARFERT Fertilisers 31 31 (0.3) (1.0) 34,760,000 88.8 1.31
NATIONALUM Metals 403 404 (1.0) (0.2) 1,834,000 82.7 (3.62)
NEYVELILIG Power 163 157 5.6 3.6 2,336,000 76.6 1.21
NOIDATOLL Infrastructure 35 32 3.4 10.6 9,544,000 88.4 0.00
NTPC Power 198 201 (3.2) (1.6) 18,028,000 76.2 0.15
OFSS Technology 2,119 2,108 11.7 0.6 240,875 90.7 1.20
ONGC Oil & Gas 1,275 1,248 27.3 2.2 2,077,000 71.2 (0.76)
ONMOBILE Others 334 275 58.7 21.3 573,000 78.7 1.21
OPTOCIRCUI Others 280 258 22.1 8.6 932,000 84.5 1.21
ORBITCORP Others 127 130 (3.1) (2.4) 6,558,000 88.3 1.20
ORCHIDCHEM Pharma 194 189 5.5 2.9 5,206,000 91.4 0.86
ORIENTBANK Banking 444 381 62.7 16.5 1,970,000 81.0 0.92
PANTALOONR Textile 468 460 8.0 1.7 2,388,000 92.1 1.20
PATELENG Infrastructure 377 420 (42.1) (10.0) 1,101,500 86.7 1.20
PATNI Technology 539 474 65.3 13.8 3,010,500 77.5 (1.35)
PETRONET Oil & Gas 111 93 18.1 19.6 3,684,000 57.3 1.23
PFC Finance 338 318 20.6 6.5 760,000 77.2 1.20
PIRHEALTH Pharma 501 490 11.0 2.2 9,551,500 96.0 1.21
PNB Banking 1,209 1,059 149.4 14.1 2,005,000 75.8 (1.11)
Rollover Analysis
Derivatives Note 5
Company Sector LTP
Last Expiry
Price
Chg
Price
Price Chg till
Expiry % Rollovers
Rollover
%
Rollover
Cost
POLARIS Technology 172 177 (4.9) (2.8) 4,022,000 85.6 1.20
POWERGRID Power 105 100 4.4 4.4 17,118,000 89.9 (0.62)
PRAJIND Capital Goods 77 78 (0.8) (1.0) 11,816,000 86.2 1.25
PTC Power 119 112 7.1 6.3 2,950,000 88.5 1.22
PUNJLLOYD Capital Goods 112 129 (17.3) (13.4) 22,786,000 84.0 1.99
RANBAXY Pharma 484 445 38.9 8.7 2,358,000 72.4 1.21
RCOM Telecom 161 183 (22.5) (12.2) 31,778,000 87.8 1.32
RECLTD Power 329 303 25.4 8.4 4,706,000 84.5 1.21
RELCAPITAL Finance 754 782 (28.3) (3.6) 7,644,000 91.7 (1.65)
RELIANCE Oil & Gas 966 1,020 (54.7) (5.4) 30,183,250 86.0 1.58
RELINFRA Power 1,013 1,141 (127.9) (11.2) 9,065,500 91.4 1.60
RELMEDIA Media 199 209 (9.1) (4.4) 2,815,000 92.4 1.22
RENUKA Sugar 68 64 4.1 6.3 41,914,000 92.8 1.86
RNRL Oil & Gas 38 43 (4.7) (11.1) 27,608,000 82.2 1.60
ROLTA Technology 168 170 (2.1) (1.2) 2,672,000 81.2 1.20
RPOWER Power 153 170 (16.8) (9.9) 28,092,000 88.2 1.52
RUCHISOYA Others 132 102 29.7 29.1 11,824,000 87.9 1.22
SAIL Metals 186 205 (19.0) (9.3) 6,920,000 79.5 1.19
SBIN Banking 2,846 2,471 374.6 15.2 4,780,875 73.0 (0.65)
SCI Transport 157 162 (5.0) (3.1) 1,504,000 80.6 1.21
SESAGOA Metals 322 367 (44.6) (12.2) 12,610,500 81.8 0.23
SIEMENS Power 720 726 (6.7) (0.9) 1,272,000 74.0 1.21
SINTEX Others 356 376 (20.2) (5.4) 711,000 83.6 1.20
SOBHA Others 355 335 20.8 6.2 385,000 70.4 1.21
STER Metals 152 180 (27.4) (15.2) 38,196,000 85.0 1.02
STERLINBIO Pharma 107 109 (2.0) (1.8) 2,252,000 82.3 1.22
SUNPHARMA Pharma 1,771 1,780 (8.8) (0.5) 659,375 78.0 1.20
SUNTV Media 472 457 14.9 3.3 455,500 83.4 1.20
SUZLON Power 49 57 (8.2) (14.5) 79,044,000 88.8 1.35
SYNDIBANK Banking 115 104 11.3 10.9 6,268,000 84.0 1.23
TATACHEM Fertilisers 394 325 69.3 21.3 2,920,000 90.4 1.20
TATACOMM Telecom 337 273 63.8 23.4 1,826,000 85.4 1.20
TATAGLOBAL Others 119 114 5.0 4.3 8,720,000 87.4 1.74
TATAMOTORS Automobile 1,004 850 154.9 18.2 13,477,000 79.7 0.85
TATAPOWER Power 1,276 1,321 (44.8) (3.4) 1,732,500 70.4 0.87
TATASTEEL Metals 504 536 (31.7) (5.9) 23,048,500 79.9 0.63
TCS Technology 878 854 23.2 2.7 5,365,000 75.0 0.44
TECHM Technology 676 710 (33.8) (4.8) 1,687,500 86.0 2.43
TITAN FMCG 3,007 2,818 188.9 6.7 400,625 83.8 1.08
TRIVENI Sugar 100 103 (3.2) (3.1) 5,236,000 92.3 1.21
TTML Telecom 24 23 1.0 4.4 28,413,000 84.2 2.32
TULIP Telecom 172 186 (14.3) (7.7) 1,702,500 85.8 1.50
TULIP Telecom 172 186 (14.3) (7.7) 1,702,500 85.8 1.50
TV-18 Media 90 78 11.9 15.2 6,992,000 88.1 1.23
TV-18 Media 90 78 11.9 15.2 6,992,000 88.1 1.23
UCOBANK Banking 114 93 20.8 22.3 12,588,000 84.6 1.20
UCOBANK Banking 114 93 20.8 22.3 12,588,000 84.6 1.20
ULTRACEMCO Cement 919 861 58.1 6.7 958,250 72.6 1.20
UNIONBANK Banking 347 314 32.5 10.3 1,884,000 76.4 1.21
UNIPHOS Fertilisers 188 181 7.3 4.0 6,654,000 88.6 1.37
UNITECH Realty 80 84 (3.7) (4.4) 62,812,000 88.1 1.20
VIDEOIND Others 267 211 56.2 26.6 5,073,000 87.5 1.11
