Rollover Analysis (December 29): Unabated FII flows keep momentum intact - ICICI Direct

- Nifty rolls were near 36% vs. 3M average of 35%

- Marketwide rolls were at 34% against the 3M average of 29%

- Highest rollover was seen in SAIL, Adani Enterprises, Sun TV, M&M Finance and IDFC First Bank

- Rollover activity was relatively low in Marico, Canara Bank, Colgate, Indus Tower and Siemens

Among index stocks, Grasim (79%), JSW Steel (73%) and Adani Ports (63%) are witnessing high rolls into the next series while M&M (21%), Bajaj Finserv (21%) and Tech Mahindra (23%) are seeing relatively low rollover into the January series.

The open interest in the Nifty has increased sharply amid higher additions in the January series. During the last session, December series saw closure of 0.9 million shares while mid-month saw addition of almost 1.3 million shares. Moreover, the roll spread has increased to almost 50 points, which is one of the highest seen in many months. Despite just 2.5 points of dividend, such a high roll spread suggest increasing comfort at higher levels. We believe the roll spread may come down in coming sessions as the index is continuously moving up without any meaningful correction.

The open interest in the Bank Nifty also increased sharply as mid-month saw addition of fresh shares. However, the roll spread in the banking index has come under pressure. Considering roll spread of almost 50 points in Nifty, banking index roll spread is just 70 points. We believe roll spread will stay under pressure towards settlement as short rollover is likely.

For details, click on the link below: https://www.icicidirect.com/mailimages/Rollover_Analysis.pdf

Source : Equity Bulls

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