Roll overs...

🔹Rollovers: (D-2 Days):
👉 Market-wide roll 48%; Nifty roll 43%
§  After four sucessive sessions of closing in the green, benchmark Nifty reversed the trend and closed the session near the day’s low. The negative closing meant the index giving away the gains of the last three sessions.
§  Rollovers on the D-2 picked up with the market-wide rolls moving to 48% as compared to average rollovers (last three series) of 42%. Market wide futures OI stands at ~INR 826bn compared with an OI of ~INR 853bn on the D-2 of January expiry. Long roll participation led to levels moving higher to ~50-55bps (cost to long roller) as compared to 40-45bps seen yesterday.
§  Nifty rollovers were ~43% which is in line with the average rollovers (the last three series). Nifty futures roll cost (cost to long roller) also moved up to ~20-21 points owing to long aggression.
§  Nifty futures hold an OI of 25.13mn shares (INR 179bn) as compared to 23.95mn shares (INR 178bn) on D-2 of January expiry. Around 52.59k Nifty contracts were rolled, while ~4.46k contracts were unwound in the current series.
§  On the back of volatility at the start of the series, cost of carry in quite a few names had moved into discount thereby offering an opportunity to convert the underlying positions into long futures (prominently arbitrage long positions). With two days left for the expiry, we may be in for a scenario wherein roll books would be long heavy. Hence the roll levels have the potential to move further up.
§  Rollover activity saw pick up in Oil & Gas (62%/10%) and Telecom (48%/29%) on the D-2.Counters where rolls have picked up are Grasim Industries (60%/22%), Dabur (46%/18%), and BPCL (60%/24%).