The marketwide rolls were at 40.89 percent compared to the 3-Month average of 39.83 percent. Sectorally, textile, technology, metals, and pharma are witnessing high rollover of positions while realty, capital goods, and FMCG are witnessing relatively low rolls into the July series, says a report by ICICIdirect.com.
Just a day ahead of June F&O expiry, the Nifty rolls were near 26.52 percent as of Tuesday closing, which is still lower than the 3-month average of 28.1 percent, ICICIdirect said in a report.
The marketwide rolls were at 40.89 percent compared to the 3-Month average of 39.83 percent. Sectorally, textile, technology, metals, and pharma are witnessing high rollover of positions while realty, capital goods, and FMCG are witnessing relatively low rolls into the July series.
The high rollover was seen in JSW Steel (72 percent), Century Textiles (67 percent), PEL (62 percent), Aurobindo Pharma (55 percent) and Bharat Forge (54 percent). Now with just two days to the settlement, rollover activity is significantly low in OFSS, Torrent Pharma, Container Corporation, Page Industries and PVR.
Among index stocks, Tata Steel (60 percent), Tech Mahindra (57 percent) and Sun Pharma (54 percent) are witnessing high rolls into the next series while Lupin (25 percent), Hindustan Unilever (26 percent) and Kotak Bank (26 percent) are seeing low rollover into the July series.
Rollover in the Nifty picked up marginally to 27 percent in the last session once again due to fresh additions in mid-month. “Despite a continuous decline in open interest in Nifty futures, the current open interest in Nifty is more than 20 million shares that seem to be on the higher side indicating volatility may be seen towards settlement,” said the ICICIdirect report.
It further added that the mid-month additions seem to be higher than the closure seen in the near month. In the last session, Nifty July series witnessed the addition of 3.3 million shares against the closure of 2.5 million shares amid declining roll cost around 5 points.
The Bank Nifty open interest also declined significantly in the last session. Despite the recent closure, Bank Nifty open interest is on the higher side with more than 2 million shares. The roll spread in the banking space is also almost flat indicating short aggression.
With heavyweights taking the lead in rollover activity, ICICIdirect expect the overall market to gain momentum as well in terms of rollover.