Rollover Report

India Research
July 26, 2013

Though end of July series has not been on the positive note, NIFTY (75.92%) has given good returns in it.
Also the rollovers have been quite healthy. July series started on very low open interest and during the series
most of the built-up has been on the long side and more by stronger hands, especially in last few trading
sessions even though market was correcting, FIIs were net long in index futures with most of the built-up
happening in BANKNIFTY (57.16%).
Strong rollover was witnessed in FIIs camp. Despite markets correcting in last few sessions implied volatility
has remained at lower levels and hence these guys are buying index options in large quantities. Options data
generally is quite scattered between 5900 and 6300 for calls and for put it is spread between 6000 and
5500.
We believe lot of negatives is in price and stronger hands are positively biased. Defensives which provided
significant support to market may cool down and cyclical and interest sensitive spaces may not be so negative
if not giving positive returns, resulting into a volatile range bound market with positive bias.

NIFTY & PCR Graph

Indices Change

INDEX
NIFTY
BANKNIFTY

Price
Change
(%)

Rollover

3 month
avg.

5907.50

3.96

75.92

56.99

10614.00

(5.53)

57.16

65.72

Price

NFTYMCAP50

1892.25

3.22

33.33

48.89

CNXIT

7678.15

16.56

73.03

61.76

CNXINFRA

2241.40

3.35

0.00

0.00

Monthly Gainers
Scrip
HEXAWARE

Monthly Losers
Price

Price
Change
(%)

Open
Interest

Ol
Change
Change
(%)

Scrip

Price

Price
Change
(%)

Open
Interest

Ol
Change
ge
Chan
(%)

112.65

35.32 10536000

32.10

JPPOWER

13.65

(27.39)

18280000

21.54

RPOWER

77.05

24.98 26964000

(21.30)

ASHOKLEY

14.40

(25.39)

18909000

103.19

APOLLOTYRE

69.35

22.85

8144000

(49.90)

LICHSGFIN

197.00

(20.31)

14825000

77.52

HINDUNILVR

690.30

21.83

7281000

0.13

UNIONBANK

146.80

(18.15)

4888000

29.14

2722.10

21.52

6003625

(19.12)

FINANTECH

627.35

(17.68)

1020500

21.63

MCDOWELLMCDOWELL-N

Note: Stocks which have more than 1000 contract in Futures OI.

SEBI Registration No: INB 010996539

Note: Stocks which have more than 1000 contract in Futures OI.

Derivative Report | India Research

Banking and Financials

ICICIBANK (65.66%) in large-cap names have

added significant amount of short positions and

saw better rollover than recent averages. We
expect some short covering between Rs. 900-920/zones. Avoid shorting in it before the expected
bounce.

PNB (83.42%) has reduced open interest and has

been outperformer in sector despite being a PSU

name. Around Rs. 620/- level its experiencing
good support. This is buying on dips candidate for
us.

LICHSGFIN

(90.88%)
has
been
biggest
underperformer, has seen highest rise in open
interest with highest rollover in this space. Though
it may appear short heavy, we would suggest
bounce if at all, till Rs. 210/- should be used for
shorting.

Consumer goods and FMCG

HINDUNILVR (64.93%) had seen significant rise in

open interest as its open offer ended as

participants expected correction in stock prices and
rest is history. Now this counter is starting with
more or less same open interest with which it
started last series indicating most of the shorts are
out of system. We would not suggest buying this
counter. IVs are still high here, so covered put
strategy can be adopted here on rise.

ITC (83.04%) is starting this series with much

higher open interest compared to last one and it is

clearly evident from price movement that these are
long positions. We cannot exactly say that it is long
heavy at this stage but repeat performance of last
series is highly unlikely. Hedge positions in first
half of the series by buying its put.

Information Technology

Post results we have seen huge formation of long

positions in INFY (73.44%) and post that for next 4

trading session there was continuous unwinding of
positions. Stock has been biggest outperformer
among all large caps and is starting new series with
more of long positions. Counter has strong
resistance around Rs. 2950 3000/- levels. We
suggest to lighting up long positions in it.

TECHM (74.14%) has added huge open interest in

last series and its quite evident from the rise the
prices that these are long positions which got rolled
over. Counter appears to be long heavy, dont short
but for fresh long wait for dips.

WIPRO (90.32%) has seen highest rollover in this

space

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Auto & Auto Ancillaries

In middle of last series we saw huge formation of

short positions in M&M (79.57%). All these

positions and few longs in fag end of series have
been rolled over. We believe stock is yet to
experience downfall. Sell on rise this counter.

HEROMOTOCO

(86.83%) and BAJAJAUTO

(81.97%) were big outperformers where former
added good amount of long positions and latter
saw unwinding of positions.

TATAMTRDVR

(91.92%)
continued
its
underperformance to TATAMOTORS (87.42%) and
has also accumulated huge amount of short
positions in it.

Metals & Mining

SESAGOA (85.38%) has seen formation of short

positions and they got rolled over too. However we

have observed that recent correction was not
backed by cash base selling. Around Rs. 135/levels, stock has good support. Buy on dips counter
for us.

Setup for STER (91.07%) is more or less like last

series where the counter was short heavy and

starting series near support zone. This counter too
is buying on dips candidate for us. However below
Rs. 75/- we may see bears adding to short
positions.

TATASTEEL

(77.73%) have seen continuous

addition of short positions and counter has not
respected its earlier support around Rs. 250 levels.
Watch out for next support which is around Rs.
215/-.

Capital Goods & Infrastructure

JPASSOCIAT (81.74%) biggest underperformer in

the space and have added highest open interest in

the sector too indicating traders are significantly
short in this name. Counter is reaching near its
very strong support of Rs. 40/-. Though we dont
see any trigger for short covering, its advisable not
to form fresh shorts here.

LT (80.37%) after disappointing results have added

huge amount of short positions in it and has

breached important support level around Rs. 880/We dont expect significant turnaround in the
counter so those who waiting for bottom-fishing in
it should continue with their wait.

Capital goods major BHEL (91.33%) has seen

highest rollover in its space and most of the

positions are those formed in second half of the
previous series; read short.
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Derivative Report | India Research

Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCRPCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

AUTO & AUTO ANCILLARIES

APOLLOTYRE

69.35

22.85

8144000

(49.90)

8.34

0.21

80.57

78.22

ASHOKLEY

14.40

(25.39)

18909000

103.19

14.69

0.23

77.30

81.74

2017.15

12.25

1108375

(5.57)

7.97

0.44

81.97

73.02

BHARATFORG

214.75

(2.54)

2915000

0.87

-2.66

0.00

94.49

92.55

EXIDEIND

131.30

8.33

2246000

69.64

10.02

0.19

90.56

70.69

1822.70

13.93

2089625

10.31

-3.11

0.80

86.83

74.18

BAJAJBAJAJ-AUTO

HEROMOTOCO
M&M

888.60

(3.93)

2690000

41.04

10.25

0.40

79.57

61.59

1418.00

(7.07)

2443750

23.91

2.95

0.49

78.67

78.91

14025.05

11.10

52750

(20.23)

13.17

0.00

75.76

76.07

TATAMOTORS

299.60

9.84

23819000

11.66

-1.04

0.88

87.42

71.97

TATAMTRDVR

138.45

1.80

16406000

33.19

-4.50

0.44

91.92

82.74

MARUTI
MRF

BANKING & FINANCIALS

ALBK

79.20

(10.81)

5590000

(3.09)

10.64

0.60

78.49

82.98

ANDHRABANK

75.55

2.16

2896000

(30.25)

9.75

0.50

75.65

88.70

1138.90

(9.80)

3736750

17.50

10.78

0.51

62.68

60.19

AXISBANK
BANKBARODA

587.35

2.99

2476000

29.74

7.69

0.75

75.97

66.21

BANKINDIA

193.85

(12.94)

3367000

0.24

12.25

0.54

78.54

81.56

CANBK

297.15

(12.03)

2406500

18.05

11.35

0.57

82.98

76.40

DENABANK

61.35

(7.81)

11412000

9.39

11.17

0.47

81.51

87.35

FEDERALBNK

350.75

(11.02)

424000

(11.39)

9.45

0.00

68.55

72.39

HDFC

808.65

(3.86)

7031000

44.55

10.22

0.64

81.87

54.94

HDFCBANK

660.85

1.74

8234500

37.75

11.16

0.52

61.03

56.32

ICICIBANK

944.95

(9.01)

8387750

43.76

11.27

0.50

65.66

55.96

IDBI

68.05

(1.09)

9868000

(11.29)

-32.66

0.87

75.77

79.55

IDFC

117.20

(5.79)

15392000

3.40

5.37

0.60

72.67

73.78

IFCI

23.75

6.50

55184000

(5.91)

-27.78

0.54

84.98

84.61

426.80

(7.07)

5626000

47.57

10.74

0.35

82.67

66.07

45.90

(5.56)

3928000

(8.22)

9.17

1.25

74.34

82.48

690.35

(1.88)

5101500

44.09

7.91

0.51

80.68

73.08

INDUSINDBK
IOB
KOTAKBANK
KTKBANK

99.50

(8.80)

12442000

(4.60)

11.66

0.68

81.53

88.10

LICHSGFIN

197.00

(20.31)

14825000

77.52

11.78

0.48

90.88

90.77

ORIENTBANK

166.80

(16.60)

2587000

53.99

11.70

0.54

82.49

83.86

PFC

124.85

(10.66)

9752000

(1.08)

8.00

0.37

79.67

85.61

PNB

629.70

(1.66)

3164000

(13.32)

6.75

1.67

83.42

83.44

RECLTD

176.85

(8.70)

2683000

(26.21)

5.63

0.80

53.63

83.09

RELCAPITAL

371.70

13.84

6284000

(14.14)

-5.58

0.51

81.15

83.09

For Private Circulation Only

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Scrip
SBIN

Price
Price

Price
Change
(%)

OI Futures

OI
Change
(%)

1815.25

(5.74)

5443125

(3.36)

SRTRANSFIN

665.85

(8.10)

1091500

SYNDIBANK

103.25

(2.55)

1904000

UCOBANK

64.35

9.72

UNIONBANK

146.80

VIJAYABANK

42.90
377.90

YESBANK

COC (%)

PCRPCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

9.92

0.66

73.95

74.48

(1.18)

9.08

0.00

90.58

82.60

(1.14)

10.71

1.80

84.70

81.35

13236000

(2.22)

9.82

0.33

81.78

86.80

(18.15)

4888000

29.14

11.85

0.57

76.41

73.34

(1.49)

6048000

4.13

9.82

0.44

81.03

81.78

(15.39)

12464000

53.59

11.72

0.31

83.70

87.25

4.60
8.55
11.34
16.61
7.01
9.44
10.91
-4.64
12.72
-3.73
9.32
-8.64

0.25
0.45
0.32
0.42
0.00
0.54
0.69
0.47
0.48
0.83
0.50
0.38

81.25
91.33
88.65
85.91
70.60
90.86
81.74
80.37
80.25
78.28
87.28
87.83

66.07
81.24
90.10
90.09
59.05
92.73
80.32
64.14
87.14
82.19
81.25
78.50

-4.76
0.91
-9.52
-28.64
5.68

0.63
1.00
0.53
0.71
0.40

70.17
72.13
77.39
67.59
71.38

60.75
60.51
69.28
83.96
63.01

CAPITAL GOODS & INFRASTRUCTURE

ADANIPORTS
BHEL
CROMPGREAV
GMRINFRA
HAVELLS
IRB
JPASSOCIAT
LT
PUNJLLOYD
RELINFRA
SIEMENS
VOLTAS

148.00
159.85
88.30
15.95
771.80
89.20
43.45
850.55
29.05
376.10
541.90
83.80

(1.56)
(2.38)
9.69
(6.45)
8.25
(6.20)
(15.47)
(5.92)
(13.41)
13.49
1.77
5.54

2046000
29694000
7720000
61210000
551000
9022000
68672000
8227125
22040000
4888000
569500
3376000

4.18
(0.46)
(15.43)
(2.16)
(7.55)
5.25
29.83
26.87
6.99
(7.53)
3.45
(4.63)
CEMENT

ACC
AMBUJACEM
GRASIM
INDIACEM
ULTRACEMCO

1189.80
171.15
2676.75
51.35
1864.25

(0.78)
(5.88)
(2.70)
(8.63)
1.11

413500
8816000
464750
5448000
510250

5.35
82.15
4.94
(29.61)
(15.05)

CHEMICAL & FERTILIZERS

CHAMBLFERT

34.20

1.03

12488000

(11.28)

-42.42

0.94

93.75

84.68

TATACHEM

267.40

(1.80)

906000

(23.35)

-25.86

0.00

86.70

86.34

UNIPHOS

144.95

8.45

5242000

(24.94)

7.97

0.52

83.31

87.91

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCRPCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

CONSUMER GOODS & FMCG

ASIANPAINT
COLPAL
DABUR
HINDUNILVR
ITC
JUBLFOOD

5110.30
1465.30
172.00
690.30
362.20
1171.70

11.95
8.98
11.25
21.83
11.86
12.59

226625
109250
1974000
7281000
18690000
1772750

59.88
(5.82)
26.54
0.13
33.67
28.14

6.14
10.75
9.17
3.56
9.59
6.49

0.57
0.00
0.24
1.07
0.58
0.29

79.07
85.52
80.18
64.93
83.04
92.39

49.74
76.11
78.73
62.64
54.07
81.40

MCDOWELLMCDOWELL-N
MCLEODRUSS
FRL
TATAGLOBAL
TITAN

2722.10
283.10
86.05
153.25
262.20

21.52
5.87
(4.39)
17.52
18.05

6003625
3009000
3468000
9158000
9375000

(19.12)
(3.43)
10.03
(22.42)
(1.06)

9.00
8.73
9.17
10.31
8.02

0.48
0.00
0.52
0.41
0.61

88.68
95.74
79.91
89.89
90.27

91.73
91.08
82.37
82.56
83.39

6.10
9.07
-1.85
7.60
9.82
-12.89
10.34
11.09

0.67
0.43
0.19
1.60
0.00
1.07
1.17
0.57

83.14
70.67
81.45
73.44
72.64
81.88
74.14
90.32

82.41
72.21
81.48
62.19
84.57
76.17
80.71
76.66

11.87
4.45
10.25

0.23
1.32
0.44

85.58
73.00
87.42

73.88
81.20
80.80

7.62
6.63
11.24
10.08
8.92
8.51
-1.20
2.24
9.74
11.70

0.58
0.73
0.00
0.85
0.46
0.45
0.57
0.89
1.46
0.65

82.73
89.73
80.95
83.36
89.09
87.59
88.27
85.38
91.07
77.73

62.15
81.94
84.09
78.19
86.20
80.98
81.14
77.14
88.34
79.72

INFORMATION TECHNOLOGY
FINANTECH
HCLTECH
HCLTECH
HEXAWARE
INFY
OFSS
TCS
TECHM
WIPRO

627.35
910.25
112.65
2936.55
2884.55
1773.55
1191.40
380.25

(17.68)
13.80
35.32
17.93
7.24
19.34
10.93
8.70

1020500
3151000
10536000
2786250
195500
7839750
3307500
2698000

21.63
18.50
32.10
23.30
(13.50)
3.73
129.61
17.97
MEDIA

DISHTV
SUNTV
ZEEL

57.75
388.05
262.00

(5.25)
4.51
11.13

15128000
1257500
5363000

50.14
(19.78)
47.17

METALS & MINING

COALINDIA
HINDALCO
HINDZINC
JINDALSTEL
JSWSTEEL
NMDC
SAIL
SESAGOA
STER
TATASTEEL

296.50
102.85
103.15
198.45
571.70
105.05
43.35
140.25
81.05
225.35

For Private Circulation Only

2.51
6.64
5.42
(2.12)
(10.31)
3.50
(11.17)
1.59
1.44
(12.66)

4998000
21260000
2770000
9737000
7758000
16416000
15920000
7998000
28856000
23453000

6.79
0.64
(3.75)
(4.26)
(3.19)
(6.41)
(6.31)
11.86
2.56
14.06

SEBI Registration No: INB 010996539

Derivative Report | India Research

Scrip

Price

Price
Change
(%)

OI Futures

OI
Change
(%)

COC (%)

PCRPCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

MISCELLANIOUS
ABIRLANUVO
ADANIENT
BATAINDIA
GODREJIND

1146.50

10.77

491250

2.29

4.57

0.00

88.47

86.93

194.05

0.86

881.75

8.66

3768000

19.01

-2.15

0.49

75.12

74.36

614500

(40.34)

6.73

0.86

76.96

89.21

275.65

(9.89)

787000

125.50

4.37

0.03

81.47

71.95

INDHOTEL
JISLJALEQS
RENUKA

48.35

1.90

6436000

(15.94)

6.51

0.45

89.89

91.57

52.55
18.10

(0.47)
17.15

12448000
41355000

0.26
(20.31)

14.08
-14.21

1.00
0.35

90.60
87.88

86.79
87.44

SINTEX

32.70

(14.29)

11112000

(10.93)

12.91

0.45

84.67

84.91

11.32

0.32

79.51

77.55

OIL & GAS

BPCL
CAIRN

353.95

1.70

2422000

(9.56)

307.20

8.21

6619000

(31.94)

10.11

0.66

75.52

79.02

GAIL
GSPL

325.70

8.30

3723000

(43.96)

-11.56

0.93

77.68

69.16

53.95

0.65

3448000

(1.03)

8.77

0.00

87.16

86.51

HINDPETRO
IGL

231.40

(5.97)

7950000

20.35

4.53

0.73

81.98

82.36

284.90

6.44

1936000

33.61

-1.83

0.29

72.84

82.11

IOC
ONGC

218.50

(2.93)

3790000

44.27

-8.29

0.56

78.94

86.00

307.50

(4.47)

6471000

33.37

7.00

0.53

72.47

57.34

PETRONET
RELIANCE

124.90

3.57

1570000

(16.93)

10.12

0.25

84.05

77.23

899.80

7.74

7357000

(4.68)

10.60

0.61

74.67

63.66

For Private Circulation Only

SEBI Registration No: INB 010996539

Derivative Report | India Research

Scrip

Price

Price
Change
(%)

OI
Change
(%)

OI Futures

COC
COC (%)

PCRPCR-OI

Rollover
(%)

Average
Rollover
(3month)
(%)

PHARMACEUTICAL
AUROPHARMA
BIOCON
CIPLA
DIVISLAB
DRREDDY
LUPIN
OPTOCIRCUI
RANBAXY
SUNPHARMA

180.30
302.35
410.90
948.95
2342.60
870.05
27.35
312.90
1101.65

1.18
12.11
5.68
(2.95)
8.55
12.07
40.62
(2.25)
12.65

8712000
1491000
6002000
513250
604250
2169500
4600000
3709000
3017250

(9.29)
40.53
(7.59)
31.94
45.73
13.26
(31.47)
17.78
5.85

7.87
10.63
4.08
11.22
11.09
6.39
5.75
9.93
6.05

0.16
0.96
0.35
0.00
0.20
0.86
0.09
1.10
0.30

82.89
82.97
89.40
76.18
77.25
75.92
66.71
79.86
84.46

87.09
82.76
77.38
71.92
60.10
63.29
75.49
79.33
69.03

-41.97
9.23
15.51
14.09
11.75
10.04
6.15
-22.16
10.25
-2.91

1.09
0.00
0.59
0.67
1.04
0.38
0.63
0.33
0.68
0.16

75.72
84.06
77.62
91.94
90.36
79.64
70.81
90.68
80.78
72.94

79.90
71.65
85.99
81.92
84.22
63.03
60.51
84.54
87.76
62.38

0.30
-24.00
-0.75
11.46

0.63
0.38
0.09
0.50

84.84
76.22
84.85
73.18

72.71
79.07
82.29
82.29

POWER
ADANIPOWER
CESC
JPPOWER
JSWENERGY
NHPC
NTPC
POWERGRID
POWERGRID
PTC
RPOWER
TATAPOWER

39.35
336.35
13.65
45.00
17.95
141.60
110.80
46.05
77.05
89.40

(1.75)
3.17
(27.39)
7.91
0.56
0.11
3.50
0.88
24.98
9.29

18416000
522000
18280000
14792000
27920000
11422000
6002000
3308000
26964000
5056000

6.52
21.68
21.54
(13.17)
(5.99)
1.06
18.34
(14.12)
(21.30)
(15.11)

REAL ESTATE
ESTATE
DLF
HDIL
IBREALEST
UNITECH

175.10
38.20
69.55
18.40

(1.24)
10.25
14.96
(8.68)

18160000
28340000
15612000
66976000

0.96
(2.87)
27.88
6.24

TELECOM
BHARTIARTL

340.45

20.39

7478000

4.01

10.36

0.67

75.83

61.68

IDEA
RCOM

159.95

13.92

6088000

24.55

2.29

0.35

73.35

70.46

136.90

20.67

29476000

(22.63)

-3.04

0.37

79.08

75.17

TATACOMM

167.50

10.49

4133000

(7.25)

11.33

0.25

86.37

92.91

TEXTILES
ARVIND
CENTURYTEX

76.85

1.92

3504000

(3.42)

11.66

0.30

76.64

79.78

252.85

1.87

5546000

21.14

10.83

0.20

87.68

89.47

RAYMOND

218.75

(8.72)

4336000

(0.57)

10.35

1.13

89.88

89.11

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Derivative Report | India Research

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