Market wide rollover 39%-40%

CNBC-TV18, Research Analyst, Anichya Shah : A triple witching day is actually on Thursday, so we are just two days away from triple witching day. On the rollover front, we are actually seeing 39%-40% market wide rollover and even on the Nifty we actually saw it pick up to about 39%.

This is still slightly below the average of about 45% but the trading day started relatively positively of course short rollovers continue to run on the Nifty. Some stocks including the momentum stocks RCOM, the likes of some public sector banks saw a long rollover bias towards the longer side but every short covering bounce back got sold into, a lot of long unwinding took place in today’s trading session.

If you look at the Nifty net-net by day end it is not in actually 83 point discount, it was about at 55-60 point discount once it broke that 4,200 level and we saw the short rollover cost widened from about 15 points in the morning to about 30 points by day end. So fair bit of shorting and short rollovers took place in the Nifty.

Stock specific action, Reliance the highest turnover stock again; if you see this stock initially started off pretty okay but day end towards the last half an hour or so it saw massive short covering rally, which is why the stock end up marginally in the green. So primarily a fair bit of short covering, which is why we are seeing net open interest change is actually a cut.

Nalco was the biggest loser in the F&O space, down about 12%, one can see huge discounts both in the June and the July series. So a significant amount of shorting was taken place in Nalco and even Hindalco saw a fair bit of short rollovers.

IFCI, which is down about 8%, initially saw some bit of long rollovers earlier part of the day but towards the latter half unwinding caught up and there was a fair bit of profit booking and the stock was down about 8%.

Punjab National Bank (PNB) did have a positive cost of carry in the July series, one can see day ended at about 3-point discount. So therefore that late sale off caused some of those long rollovers to stop in that counter.

In NTPC also the cost of carry in the July series was pretty flat at the beginning of the day and one can see it at a pretty steep discount by the day end. So some bit of shorting and short rollovers were seeing by day end.