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28 November 2019 For private circulation only
DAILY DERIVATIVE REPORT
28 Nov 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 12108.55 India VIX Index 14.62 INDEX FUTURES -371
Nifty Active Futures OI 6844800 Nifty ATM Call IV 15.86 INDEX OPTIONS 75
Change in OI -3557100 Nifty ATM Put IV 8.91 STOCK FUTURES 529
Premium / Discount 7.85 PCR Index Options 1.64 STOCK OPTIONS 69
Inference Short Covering PCR F&O Total 1.08 FII Net Activity 302
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS:
Nifty futures closed at 12108.55 on a positive note with -
34.20% decrease in open interest indicating Short Covering.
Nifty Futures closed at a premium of 8 points compared to the
previous day premium of 38 points.
BankNifty closed at 31872 on a positive note with -16.50%
decrease in open interest indication Short Covering. BankNifty
Futures closed at a discount of 4 points compared to the
previous day discount of 69 points.
FII's were Sellers in Index Futures to the tune of 371 crores
and were Buyers in Index Options to the tune of 75 crores,
Stock Futures were Buyers to the tune of 529 crores. FII's
were Net Buyers in derivative segment to the tune of 302
crores.
India VIX index is at 14.62.Nifty ATM call option IV is currently
at 15.86 whereas Nifty ATM put option IV is quoting at 8.91
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.64 and F&O Total PCR is at 1.08.
Among stock futures EQUITAS, VOLTAS, RBLBANK &
TORNTPHARMA have witnessed long build up and may show
strength in coming session.
Stock which witnessed short build up are LT, NCC,
MCDOWELL & SUNTV may remain weak in coming session.
Nifty Put options OI distribution shows that 12000 has highest
OI concentration followed by 11900 & 12100 which may act as
support for current expiry.
Nifty Call strike 12100 followed by 12200 witnessed significant
OI concentration and may act as resistance for current expiry.
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD:: NNIILL
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
____________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol Fut Price % Chg Open Interest % Chg
EQUITAS 96.05 4.63% 13339300.00 18.79%
VOLTAS 703.05 0.09% 3863000.00 16.78%
RBLBANK 368.25 5.65% 15597000.00 12.30%
TORNTPHARM 1865.85 4.47% 387500.00 10.40%
Symbol Fut Price % Chg
Open
Interest
% Chg
LT 1335.55 -2.22% 16727250.00 7.67%
NCC 57.10 -3.47% 48006000.00 4.84%
MCDOWELL-N 608.05 -0.43% 11536250.00 3.31%
SUNTV 480.95 -1.65% 3153600.00 2.85%
0
100
200
300
400
500
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
x10000
Call_oi Put_oi
-100
-50
0
50
100
150
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
x10000
Call_chg Put_chg
NIFTY HIGHLIGHTS
The Nifty November rollover stands at 63% on Wednesday compared to 53.23% on same day of previous expiry. The
Market wide November rollover stands at 71.9% on Wednesday as compared to 68.45% on same day of previous
expiry. The rollover cost in the November series stands at 0.36 on Wednesday compared to 0.41 on same day of
previous expiry. The Nifty Wednesday rollover is higher than its three months average of 50.71% and higher than its
six months average of 51.97% as on today. The market wide rollover is higher than its three months average of 71.51%
and higher than its six months average of 70.06%.The Option data of November series shows highest Call OI at 12,100
strike price followed by 12,200 and highest Put OI concentration is seen at 12,000 followed by 11,900.
Nifty Rollover Vs Market wide Rollover
53.25
42.96
65.40
48.62
61.27
47.11
47.75
58.06
58.63
51.56
55.24
52.87
42.36
56.55
53.23
53.23
67.96
62.37
60.69
65.54
66.59
65.25
64.71
66.32
66.32
69.22
66.24
70.38
70.38
75.69
68.45
71.90
0.41
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
Aug'18
Sep'18
Oct'18
Nov'18
Dec'18
Jan'19
Feb'19
Mar'19
Apr'19
May'19
Jun'19
Jul'19
Aug'19
Sep'19
Oct'19
Nov'19
Nifty Rollover Vs Marketwide Rollover
Nifty Rollover Marketwide Rollover Roll Cost
SECTOR HIGHLIGHTS
-Textile, Oil_Gas, FMCG, Realty and Finance sectors saw higher
rollovers on Wednesday compared to same day of previous expiry.
-Capital_Goods, Telecom, Automobile, Cement and Fertilisers sectors
saw lower rollovers on Wednesday compared to same day of previous
expiry.
Higher rollover in current expiry: Cement, Textile, Realty, FMCG and
Banking.
Lower rollover in current expiry: Media, Telecom, Capital_Goods,
Infrastructure and Automobile.
Sector Wise Rollover Percentage Change
Strong Weak
Sector % Change* Sector
%
Change*
Textile 53.26 Capital_Goods -5.61
Oil_Gas 23.29 Telecom -4.47
FMCG 18.76 Automobile -1.51
Realty 16.92 Cement 3.54
Finance 9.07 Fertilisers 3.57
* % Rollover change compared to same day of previous expiry
Sectorwise Rollover
58.9
64.9
68.0
61.7
72.5
68.0
66.4
58.9
70.5
70.6
73.5
71.2
74.5
67.1
70.7
54.4
81.8
61.7
62.0
64.2
66.8
71.4
72.2
72.4
72.6
73.8
75.0
76.1
76.4
78.3
79.7
82.6
83.4
84.7
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
Media
Telecom
Capital_Goods
Infrastructure
Automobile
Power
Finance
Oil_Gas
Metals
Technology
Fertilisers
Pharma
Banking
FMCG
Realty
Textile
Cement
Sectorwise Rollover
Previous Expiry Current Expiry
COMPREHENSIVE ROLLOVERS
% Rollover Roll Cost % Rollover Roll Cost L6 Months
Sep Aug July June May Avg
NIFTY 63.00 0.36 53.23 0.41 56.55 42.36 52.87 55.24 51.56 51.97 21.23
BANKNIFTY 49.59 0.33 45.35 0.36 41.83 39.78 51.56 49.93 55.09 47.26 4.94
CNXIT
ACC 82.35 0.46 82.73 0.50 75.96 83.54 69.74 72.80 76.45 76.87 7.13
ADANIENT 83.10 0.73 87.68 0.77 82.45 78.03 72.19 83.43 88.79 82.10 1.22
ADANIPORTS 76.51 0.39 63.38 0.45 59.99 66.38 74.75 62.37 70.44 66.22 15.54
ADANIPOWER 77.06 0.57 79.59 0.61 79.18 81.16 79.55 79.76 80.73 80.00 -3.67
AMARAJABAT 65.69 0.10 76.31 -0.61 72.02 52.74 88.89 70.34 74.91 72.54 -9.44
AMBUJACEM 80.96 0.44 77.98 0.47 80.58 77.17 63.03 55.38 62.95 69.52 16.46
APOLLOHOSP 74.91 0.50 74.67 0.58 56.66 73.60 72.96 76.49 72.45 71.14 5.30
APOLLOTYRE 71.44 0.20 67.94 -0.16 63.47 84.68 61.52 60.81 80.23 69.78 2.39
ASHOKLEY 68.66 0.25 74.34 0.45 79.22 79.24 80.91 82.28 63.66 76.61 -10.38
ASIANPAINT 86.85 0.39 66.45 0.43 74.35 79.50 77.79 74.43 69.24 73.63 17.96
AUROPHARMA 72.32 0.37 57.37 0.28 80.85 83.20 76.88 74.87 73.16 74.39 -2.78
AXISBANK 81.37 0.37 70.19 0.44 79.18 70.78 70.51 72.87 72.98 72.75 11.85
BAJAJ-AUTO 80.84 0.39 75.18 0.38 87.22 71.46 64.84 74.03 76.30 74.84 8.02
BAJAJFINSV 73.81 0.41 68.47 0.45 71.78 77.14 65.61 72.52 68.67 70.70 4.40
BAJFINANCE 83.30 0.40 63.52 0.45 72.87 82.57 77.19 67.65 70.35 72.36 15.12
BALKRISIND 79.85 -0.44 81.34 0.20 74.26 69.29 76.78 67.91 79.17 74.79 6.76
BANKBARODA 74.31 0.39 72.95 0.47 76.12 68.52 74.39 62.04 70.11 70.69 5.12
BANKEX
BANKINDIA 78.73 0.07 80.94 74.58 70.15 72.60 73.79 75.13 -100.00
BANKNIFTY 49.59 0.33 45.35 0.36 41.83 39.78 51.56 49.93 55.09 47.26 4.94
BATAINDIA 76.77 0.47 73.95 0.34 79.49 79.20 71.76 73.23 71.59 74.87 2.54
BEL 69.67 0.34 72.66 0.34 75.65 67.99 77.52 69.95 64.85 71.44 -2.47
BERGEPAINT 75.43 -4.24 54.78 -1.45 80.38 72.01 61.32 82.47 76.24 71.20 5.94
BHARAT22
BHARATFORG 85.03 0.06 72.00 0.10 84.48 77.54 80.04 74.82 81.46 78.39 8.47
COMPREHENSIVE ROLLOVERS
NSE Symbol
% Rollover on Same day of previous expiries % Rise /
FallToday Last Expiry
BHARTIARTL 75.73 0.46 42.56 0.42 69.34 73.46 57.79 75.02 82.22 66.73 13.48
BHEL 53.59 0.47 64.71 0.42 67.88 83.20 59.38 65.72 61.11 67.00 -20.01
BIOCON 72.51 0.22 77.09 -0.80 83.79 86.84 81.82 68.24 68.55 77.72 -6.71
BOSCHLTD 80.40 0.51 73.45 0.51 86.65 80.97 72.15 76.62 74.81 77.44 3.82
BPCL 80.87 0.41 65.20 0.49 74.00 62.24 65.50 51.52 62.90 63.56 27.23
BRITANNIA 78.64 0.28 83.84 0.35 80.97 85.26 58.05 78.82 77.07 77.34 1.69
CADILAHC 84.04 0.49 82.21 0.52 81.23 84.08 81.25 78.98 76.22 80.66 4.19
CANBK 69.29 0.33 76.86 0.37 78.84 73.61 72.51 71.07 77.21 75.02 -7.63
CASTROLIND 71.52 0.45 75.47 0.20 65.77 65.01 69.07 70.47 78.41 70.70 1.16
CENTURYTEX 87.55 0.48 45.16 0.47 76.45 79.12 83.22 90.84 88.69 77.25 13.34
CESC 70.66 0.40 72.13 0.45 81.64 78.43 82.51 78.75 79.66 78.85 -10.39
CHOLAFIN 62.81 0.05 62.36 0.11 76.73 73.81 63.23 59.27 69.21 67.44 -6.86
CIPLA 76.45 0.33 63.69 0.48 81.37 71.00 81.83 65.57 76.69 73.36 4.21
COALINDIA 45.37 -0.57 41.78 0.44 66.66 70.01 64.48 67.52 62.71 62.19 -27.05
COLPAL 70.67 0.52 80.47 -0.24 77.80 76.55 81.68 67.98 70.27 75.79 -6.76
CONCOR 70.45 0.42 63.68 0.46 75.08 78.46 28.44 48.03 45.66 56.56 24.56
CUMMINSIND 73.91 0.41 78.24 0.22 82.44 68.18 67.59 65.31 65.85 71.27 3.71
DABUR 71.21 0.44 49.81 0.21 83.72 81.71 73.24 76.75 69.18 72.40 -1.65
DISHTV 63.34 0.72 54.22 0.47 69.27 72.23 70.14 83.80 72.80 70.41 -10.04
DIVISLAB 73.55 0.37 67.67 0.44 79.07 85.27 67.27 76.99 60.20 72.75 1.11
COMPREHENSIVE ROLLOVERS
% Rollover Roll Cost % Rollover Roll Cost L6 Months
Sep Aug July June May Avg
NSE Symbol
% Rise /
Fall
% Rollover on Same day of previous expiries
Last ExpiryToday
DRREDDY 64.57 0.38 63.18 0.42 81.91 75.62 79.74 77.20 67.07 74.12 -12.88
EICHERMOT 69.38 0.35 76.01 0.41 85.15 74.68 77.55 75.55 76.41 77.56 -10.54
EQUITAS 67.94 0.31 63.66 0.37 62.37 68.00 64.41 81.33 68.86 68.11 -0.24
ESCORTS 65.54 0.39 67.27 0.45 71.21 71.62 61.96 79.71 70.03 70.30 -6.77
EXIDEIND 78.84 0.44 76.90 -0.28 81.65 67.07 69.95 70.08 80.92 74.43 5.93
FEDERALBNK 74.08 0.40 70.49 0.49 56.69 70.18 64.51 63.90 77.71 67.25 10.16
GAIL 81.38 0.40 79.60 0.45 74.93 71.40 67.65 60.65 57.60 68.64 18.56
GLENMARK 77.05 0.32 79.78 0.39 79.96 75.46 61.59 83.07 83.05 77.15 -0.13
GMRINFRA 64.94 0.47 58.52 0.72 74.80 62.76 60.23 58.27 57.02 61.93 4.85
GODREJCP 77.95 0.42 38.43 0.25 79.78 82.43 57.93 64.90 51.19 62.44 24.83
GRASIM 89.97 0.41 88.79 0.52 92.64 90.51 84.04 82.90 82.33 86.87 3.57
HAVELLS 76.05 0.38 70.02 0.44 66.92 80.32 80.00 59.15 36.20 65.44 16.22
HCLTECH 64.09 0.44 54.21 0.46 56.75 67.04 45.70 74.48 73.90 62.01 3.35
HDFC 82.08 0.39 70.46 0.45 85.16 84.93 80.08 84.07 69.88 79.10 3.77
HDFCBANK 77.83 0.48 73.80 0.44 80.82 61.42 68.27 73.81 75.14 72.21 7.78
HEROMOTOCO 83.63 0.36 72.13 0.48 83.57 79.12 68.17 76.02 79.30 76.39 9.48
HEXAWARE 68.89 0.47 74.41 68.36 62.59 61.63 67.02 71.46 67.58 1.94
HINDALCO 78.27 0.44 70.24 0.48 77.96 72.71 71.24 73.12 69.02 72.38 8.14
HINDPETRO 75.28 0.42 68.23 0.44 82.96 84.32 78.75 74.15 56.90 74.22 1.43
HINDUNILVR 80.65 0.39 66.47 0.43 57.93 47.27 79.52 74.94 61.27 64.57 24.91
IBULHSGFIN 70.99 -0.74 69.41 -8.69 81.54 75.62 84.05 83.97 85.10 79.95 -11.21
ICICIBANK 77.11 0.22 77.36 0.46 67.62 64.45 70.18 79.82 79.34 73.13 5.44
ICICIPRULI 84.47 -0.24 79.88 0.22 81.07 74.54 76.10 59.20 60.04 71.81 17.64
IDEA 60.94 0.85 66.39 78.99 65.52 63.07 62.57 61.59 66.36 -8.16
IDFCFIRSTB 90.35 -2.64 82.10 -3.17 85.28 84.97 79.67 80.00 82.42 82.41 9.64
IGL 73.96 0.48 66.47 0.49 71.39 66.96 53.33 73.94 70.87 67.16 10.13
INDIGO 76.97 0.46 64.08 0.50 73.56 68.29 54.33 63.02 55.31 63.10 21.98
INDUSINDBK 65.71 0.35 65.38 0.44 76.29 68.35 64.14 74.86 60.69 68.29 -3.77
INFRATEL 74.76 -2.68 65.19 -0.16 64.02 87.44 62.94 64.37 78.77 70.46 6.11
INFY 77.57 0.41 68.67 0.45 63.90 78.45 73.84 70.65 78.07 72.26 7.34
IOC 56.87 -0.72 50.86 0.44 76.14 59.40 74.52 73.48 69.13 67.26 -15.44
ITC 81.57 0.40 70.32 0.44 81.40 72.61 70.86 69.68 80.95 74.30 9.78
JINDALSTEL 74.81 0.35 77.75 0.61 81.58 75.82 75.23 65.66 63.91 73.33 2.03
JSWSTEEL 87.61 0.40 82.87 0.45 88.84 87.89 83.53 90.07 84.27 86.25 1.58
JUBLFOOD 80.30 -0.19 66.89 -0.29 64.28 83.26 74.25 78.74 81.08 74.75 7.42
JUSTDIAL 58.08 0.33 63.35 0.39 71.03 64.31 68.49 63.01 70.24 66.74 -12.97
KOTAKBANK 77.52 0.38 64.58 0.40 73.06 63.85 69.68 68.72 59.84 66.62 16.36
L&TFH 80.36 0.42 74.76 0.53 77.31 70.66 79.16 71.59 70.77 74.04 8.53
LICHSGFIN 67.13 0.41 75.04 0.44 80.88 73.05 74.90 80.60 71.02 75.92 -11.57
LT 83.53 0.38 74.04 0.50 73.37 74.86 70.10 72.40 80.03 74.13 12.68
LUPIN 72.34 0.40 76.55 0.47 73.74 78.13 86.67 75.95 61.64 75.45 -4.12
M&M 75.27 0.40 57.47 0.44 76.18 79.12 70.70 72.14 70.73 71.06 5.93
M&MFIN 74.83 0.40 66.87 0.53 86.45 87.99 79.43 78.05 65.94 77.46 -3.39
MANAPPURAM 70.14 0.34 56.67 0.18 79.23 64.60 56.79 68.52 71.86 66.28 5.83
MARICO 78.09 0.39 74.98 -0.30 82.95 87.10 79.07 73.47 66.01 77.26 1.07
MARUTI 79.39 0.39 75.61 0.41 70.54 74.02 80.20 73.41 68.24 73.67 7.76
MCDOWELL-N 82.21 0.36 72.10 0.46 78.94 77.63 82.13 76.34 67.00 75.69 8.61
MFSL 81.81 0.45 75.87 0.63 78.37 69.30 69.37 75.87 84.83 75.60 8.21
MGL 76.24 0.41 71.59 0.50 77.14 65.21 78.83 77.79 79.00 74.93 1.75
MINDTREE 66.98 0.48 59.57 0.48 52.24 76.52 74.52 60.11 63.88 64.47 3.89
COMPREHENSIVE ROLLOVERS
% Rollover Roll Cost % Rollover Roll Cost L6 Months
Sep Aug July June May Avg
NSE Symbol
% Rollover on Same day of previous expiries
Today Last Expiry
% Rise /
Fall
MOTHERSUMI 71.73 0.49 73.41 0.45 83.75 71.58 73.03 73.52 73.46 74.79 -4.09
MRF 76.62 0.36 77.33 0.43 83.22 72.89 78.80 71.73 78.93 77.15 -0.69
MUTHOOTFIN 66.37 0.28 66.74 0.47 64.08 62.30 53.44 78.76 72.97 66.38 -0.02
NATIONALUM 71.35 -1.71 54.03 75.22 81.99 64.62 72.53 70.87 69.88 2.11
NBCC 68.20 0.42 70.05 0.53 73.98 73.10 75.08 71.16 75.29 73.11 -6.72
NCC 72.57 0.44 69.24 0.52 78.64 72.70 69.36 73.64 76.50 73.35 -1.06
NESTLEIND 67.05 0.03 62.53 0.41 57.04 87.78 48.47 72.50 61.00 64.89 3.33
NIFTY 63.00 0.36 53.23 0.41 56.55 42.36 52.87 55.24 51.56 51.97 21.23
NIFTYIT 57.02 0.51 39.73 0.31 25.17 56.05 30.52 33.22 77.06 43.63 30.70
NIITTECH 67.13 0.07 56.06 -2.12 71.44 56.15 73.40 53.25 66.57 62.81 6.88
NMDC 74.73 0.39 75.09 0.45 83.28 83.64 74.49 58.35 69.71 74.09 0.86
NTPC 79.73 0.39 70.70 0.50 71.67 62.97 65.27 59.98 57.51 64.68 23.26
OIL 51.37 0.16 59.47 0.47 82.55 79.42 63.94 74.41 80.76 73.43 -30.04
ONGC 70.21 -0.30 23.79 -1.17 65.79 69.70 62.62 66.69 74.81 60.57 15.92
PAGEIND 68.96 -0.65 77.74 -1.44 78.72 73.57 76.86 86.75 79.87 78.92 -12.62
PEL 83.97 -0.83 74.24 -2.35 89.73 84.81 80.85 75.23 54.38 76.54 9.71
PETRONET 70.52 0.44 57.54 -1.47 85.01 82.44 66.40 81.08 74.53 74.50 -5.34
PFC 58.43 0.43 56.42 0.47 80.02 69.41 71.66 64.28 70.75 68.76 -15.02
PIDILITIND 71.99 0.41 64.89 0.51 82.80 79.35 71.75 70.06 72.37 73.54 -2.10
PNB 77.36 0.47 67.10 0.47 72.52 73.62 75.15 68.50 69.65 71.09 8.82
PNBHOUSING
POWERGRID 66.70 0.44 63.62 0.45 82.48 82.23 55.03 69.26 60.70 68.89 -3.17
PVR 69.73 0.43 49.37 0.35 82.66 74.47 65.43 70.24 65.48 67.94 2.63
RAMCOCEM 69.27 0.29 70.20 0.08 75.21 78.16 69.07 77.02 80.72 75.06 -7.72
RBLBANK 74.28 -0.04 62.09 -0.57 72.53 69.83 61.90 70.71 65.77 67.14 10.64
RECLTD 63.57 0.41 55.11 0.40 76.63 78.06 60.92 71.27 64.57 67.76 -6.18
RELIANCE 75.94 0.44 72.66 0.45 83.79 77.11 76.55 74.11 71.70 75.99 -0.06
SAIL 65.77 0.51 70.72 0.53 66.95 66.32 68.33 72.26 68.39 68.83 -4.44
SBIN 74.01 0.42 70.47 0.48 74.90 66.96 68.89 75.02 67.56 70.63 4.78
SHREECEM 63.30 0.40 67.53 0.41 90.69 81.15 72.39 51.93 53.45 69.52 -8.95
SIEMENS 84.12 0.29 71.48 0.38 68.35 65.77 70.88 67.43 65.63 68.26 23.24
SRF 71.30 0.46 73.48 0.34 75.70 60.87 73.71 77.79 77.61 73.19 -2.59
SRTRANSFIN 61.13 0.39 64.14 -0.04 82.34 73.07 75.02 78.20 58.25 71.84 -14.90
STAR 79.04 65.46 77.73 78.18 81.60 63.67
SUNPHARMA 77.82 0.49 73.93 0.48 78.11 81.98 73.16 80.24 73.33 76.79 1.34
SUNTV 75.84 0.46 72.22 -0.02 82.21 81.58 64.75 71.25 71.02 73.84 2.71
SX40
TATACHEM 76.73 0.33 66.34 0.31 73.54 73.77 70.28 72.49 75.50 71.99 6.59
TATAELXSI 67.70 0.27 75.55 0.07 71.35 64.83 64.59 79.12 71.98 71.24 -4.96
TATAGLOBAL 76.83 0.42 65.26 0.45 77.59 77.43 79.05 55.29 53.81 68.07 12.87
TATAMOTORS 67.56 0.39 75.44 0.44 76.54 77.69 76.63 73.77 77.57 76.27 -11.42
TATAMTRDVR 73.84 0.47 68.78 0.50 62.67 73.37 79.06 79.40 72.17 72.58 1.74
TATAPOWER 66.23 0.44 56.29 0.51 73.30 63.79 77.64 70.54 66.75 68.05 -2.68
TATASTEEL 64.80 0.41 68.26 0.40 73.77 72.10 77.44 73.46 76.55 73.60 -11.95
TCS 82.09 0.37 75.26 0.44 83.44 82.39 82.47 77.24 82.85 80.61 1.84
TECHM 54.72 0.39 74.95 0.43 67.19 65.15 66.67 80.96 76.19 71.85 -23.84
TITAN 75.69 0.37 60.13 0.44 76.47 74.00 66.37 80.90 64.56 70.41 7.51
TORNTPHARM 70.71 0.51 68.53 0.46 58.65 53.72 72.21 76.81 62.05 65.33 8.24
TORNTPOWER 66.14 0.46 64.79 0.50 72.24 75.83 62.88 77.89 69.72 70.56 -6.26
TVSMOTOR 69.42 -2.06 80.79 -3.02 73.81 79.02 64.91 79.97 74.34 75.47 -8.02
UPL 75.98 0.40 74.68 0.43 85.49 85.15 53.78 62.19 67.97 71.54 6.20
VEDL 76.94 0.44 70.26 0.47 66.81 75.37 81.40 81.46 78.53 75.64 1.72
VOLTAS 71.06 0.41 63.98 0.19 52.44 60.85 73.23 72.13 78.23 66.81 6.36
WIPRO 81.64 0.37 76.70 0.41 74.54 81.68 72.25 67.51 76.63 74.89 9.02
YESBANK 77.11 -0.15 74.63 80.51 60.88 65.65 79.41 84.95 74.34 3.73
ZEEL 56.30 0.38 76.82 0.38 76.96 71.91 80.78 83.05 81.12 78.44 -28.23
Disclosures:
The following Disclosures are being made in compliance with the SEBI Research Analyst Regulations 2014 (herein after referred to as the
Regulations).
1. Axis Securities Ltd. (ASL) is a SEBI Registered Research Analyst having registration no. INH000000297. ASL, the Research Entity (RE) as defined
in the Regulations, is engaged in the business of providing Stock broking, Commodity Broking, Depository participant, Portfolio Management
services & distribution of various financial products. ASL is a subsidiary company of Axis Bank Ltd. Axis Bank Ltd. is a listed public company
and one of India’s largest private sector bank and has its various subsidiaries engaged in businesses of Asset management, NBFC, Merchant
Banking, Trusteeship, Venture Capital, Stock Broking, the details in respect of which are available on www.axisbank.com.
2. ASL is registered with the Securities & Exchange Board of India (SEBI) for its Stock broking, Commodity broking, Depository participant,
Portfolio Management, and with the Association of Mutual Funds of India (AMFI) for distribution of mutual fund products and also registered
with IRDA as Composite Corporate agent for insurance business activity.
3. ASL has no material adverse disciplinary history as on the date of publication of this report.
4. I/We, authors (Research team) and the name/s subscribed to this report, hereby certify that all of the views expressed in this research report
accurately reflect my/our views. I/We also certify that no part of my/our compensation was, is, or will be directly or indirectly related to the
specific recommendation(s) or view(s) in this report. I/we or my/our relative or ASL does not have any financial interest or trading positions in
the subject commodity. I/we or my/our relative or ASL or its associate does not have any material conflict of interest
Research Team
Sr. No Name Designation E-mail
1 Rajesh Palviya Technical Analyst – (Head -Technical & Derivative) rajesh.palviya@axissecurities.in
2 Hemang Gor Derivative Analyst heamang.gor@axissecurities.in
3 Rahil Vora Derivative Analyst rahil.vora@axissecurities.in
ASL or any of its associates have not received compensation or other benefits from any third-party in connection with this report.
Term& Conditions:
This report has been prepared by ASL and is meant for sole use by the recipient and not for circulation. The report and information contained
herein is strictly confidential and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to
the media or reproduced in any form, without prior written consent of ASL. The report is based on the facts, figures and information that are
considered true, correct, reliable and accurate. The intent of this report is not recommendatory in nature. The information is obtained from publicly
available media or other sources believed to be reliable. Such information has not been independently verified and no guaranty, representation of
warranty, express or implied, is made as to its accuracy, completeness or correctness. All such information and opinions are subject to change
without notice. The report is prepared solely for informational purpose and does not constitute an offer document or solicitation of offer to buy or
sell commodities or other financial instruments for the clients. Though disseminated to all the customers simultaneously, not all customers may
receive this report at the same time. ASL will not treat recipients as customers by virtue of their receiving this report.
Disclaimer:
Nothing in this report constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or
appropriate to the recipient’s specific circumstances. The commodities and strategies discussed and opinions expressed, if any, in this report may
not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and
needs of specific recipient.
This report may not be taken in substitution for the exercise of independent judgment by any recipient. Each recipient of this report should make
such investigations as it deems necessary to arrive at an independent evaluation of an investment in the commodities referred to in this report
(including the merits and risks involved), and should consult its own advisors to determine the merits and risks of such an investment.
Transactions in commodities involve substantial risk and are not suitable for all investors. ASL, its directors, analysts or employees do not take any
responsibility, financial or otherwise, of the losses or the damages sustained due to the investments made or any action taken on basis of this
report, including but not restricted to, fluctuation in the prices of commodities, obligation to take physical delivery of the commodities, etc. Past
performance is not necessarily a guide to future performance. Price and value of the commodity referred to in this report may go up or down.
Investors are advised to see Risk Disclosure Document to understand the risks associated before investing in the commodities markets. Reports
based on technical analysis on studying charts of a commodity’s price movement and trading volume as opposed to focusing on a commodity’s
fundamentals and as such may not match with a report on a commodity's fundamentals. Actual results may differ materially from those set forth in
projections. Forward-looking statements are not predictions and may be subject to change without notice. ASL and its affiliated companies, their
directors and employees may; (a) from time to time, have long or short position(s) in, and buy or sell in the commodities mentioned herein or (b) be
engaged in any other transaction involving such commodities or earn brokerage or other compensation or have any other potential conflict of
interests with respect to any recommendation and other related information and opinions. Each of these entities functions as a separate, distinct
and independent of each other. The recipient should take this into account before interpreting this report. Compensation of Research Analysts is
not based on any specific merchant banking, investment banking or brokerage service transactions. ASL may have issued other reports that are
inconsistent with and reach different conclusion from the information presented in this report. Neither this report nor any copy of it may be taken
or transmitted into the United State (to U.S. Persons), Canada, or Japan or distributed, directly or indirectly, in the United States or Canada or
distributed or redistributed in Japan or to any resident thereof. If this report is inadvertently sent or has reached any individual in such country,
especially, USA, the same may be ignored and brought to the attention of the sender. This report is not directed or intended for distribution to, or
use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution,
publication, availability or use would be contrary to law, regulation or which would subject ASL to any registration or licensing requirement
within such jurisdiction.
The Disclosures of Interest Statement incorporated in this document is provided solely to enhance the transparency and should not be treated as
endorsement of the views expressed in the report. ASL reserves the right to make modifications and alternations to this document as may be
required from time to time without any prior notice. The views expressed are those of the analyst(s) and the Company may or may not subscribe to
all the views expressed therein.
Copyright in this document vests with Axis Securities Limited.
Axis Securities Limited, SEBI Single Reg. No.- MCX, NCDEX, NSE, BSE, & MSEI – INZ000161633, ARN No. 64610, CDSL-IN-DP-CDSL-693-2013,
SEBI-Research Analyst Reg. No. INH 000000297, SEBI Portfolio Manager Reg. No.- INP000000654, Main/Dealing off.- Unit No. 2, Phoenix Market
City, 15, LBS Road, Near Kamani Junction, Kurla (west), Mumbai-400070, Tel No. – 022 – 40508080 / 61480808 ,
Reg. off.- Axis House, 8th Floor, Wadia International Centre, Pandurang Budhkar Marg, Worli, Mumbai – 400 025.
Compliance Officer: Anand Shaha, E-Mail ID: compliance.officer@axisdirect.in, Tel No: 022-42671582.

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Daily Derivatives Report:28 November 2019

  • 1. 28 November 2019 For private circulation only DAILY DERIVATIVE REPORT 28 Nov 2019 Nifty Futures View Volatility FII Activity Nifty Active Futures 12108.55 India VIX Index 14.62 INDEX FUTURES -371 Nifty Active Futures OI 6844800 Nifty ATM Call IV 15.86 INDEX OPTIONS 75 Change in OI -3557100 Nifty ATM Put IV 8.91 STOCK FUTURES 529 Premium / Discount 7.85 PCR Index Options 1.64 STOCK OPTIONS 69 Inference Short Covering PCR F&O Total 1.08 FII Net Activity 302 NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS: Nifty futures closed at 12108.55 on a positive note with - 34.20% decrease in open interest indicating Short Covering. Nifty Futures closed at a premium of 8 points compared to the previous day premium of 38 points. BankNifty closed at 31872 on a positive note with -16.50% decrease in open interest indication Short Covering. BankNifty Futures closed at a discount of 4 points compared to the previous day discount of 69 points. FII's were Sellers in Index Futures to the tune of 371 crores and were Buyers in Index Options to the tune of 75 crores, Stock Futures were Buyers to the tune of 529 crores. FII's were Net Buyers in derivative segment to the tune of 302 crores. India VIX index is at 14.62.Nifty ATM call option IV is currently at 15.86 whereas Nifty ATM put option IV is quoting at 8.91 NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII Index options PCR is at 1.64 and F&O Total PCR is at 1.08. Among stock futures EQUITAS, VOLTAS, RBLBANK & TORNTPHARMA have witnessed long build up and may show strength in coming session. Stock which witnessed short build up are LT, NCC, MCDOWELL & SUNTV may remain weak in coming session. Nifty Put options OI distribution shows that 12000 has highest OI concentration followed by 11900 & 12100 which may act as support for current expiry. Nifty Call strike 12100 followed by 12200 witnessed significant OI concentration and may act as resistance for current expiry. SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD:: NNIILL __________________________________________________________________________________________________________________ SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd ____________________________________________________________________________________________________________ SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp Symbol Fut Price % Chg Open Interest % Chg EQUITAS 96.05 4.63% 13339300.00 18.79% VOLTAS 703.05 0.09% 3863000.00 16.78% RBLBANK 368.25 5.65% 15597000.00 12.30% TORNTPHARM 1865.85 4.47% 387500.00 10.40% Symbol Fut Price % Chg Open Interest % Chg LT 1335.55 -2.22% 16727250.00 7.67% NCC 57.10 -3.47% 48006000.00 4.84% MCDOWELL-N 608.05 -0.43% 11536250.00 3.31% SUNTV 480.95 -1.65% 3153600.00 2.85% 0 100 200 300 400 500 11700 11800 11900 12000 12100 12200 12300 12400 12500 12600 x10000 Call_oi Put_oi -100 -50 0 50 100 150 11700 11800 11900 12000 12100 12200 12300 12400 12500 12600 x10000 Call_chg Put_chg
  • 2.
  • 3. NIFTY HIGHLIGHTS The Nifty November rollover stands at 63% on Wednesday compared to 53.23% on same day of previous expiry. The Market wide November rollover stands at 71.9% on Wednesday as compared to 68.45% on same day of previous expiry. The rollover cost in the November series stands at 0.36 on Wednesday compared to 0.41 on same day of previous expiry. The Nifty Wednesday rollover is higher than its three months average of 50.71% and higher than its six months average of 51.97% as on today. The market wide rollover is higher than its three months average of 71.51% and higher than its six months average of 70.06%.The Option data of November series shows highest Call OI at 12,100 strike price followed by 12,200 and highest Put OI concentration is seen at 12,000 followed by 11,900. Nifty Rollover Vs Market wide Rollover 53.25 42.96 65.40 48.62 61.27 47.11 47.75 58.06 58.63 51.56 55.24 52.87 42.36 56.55 53.23 53.23 67.96 62.37 60.69 65.54 66.59 65.25 64.71 66.32 66.32 69.22 66.24 70.38 70.38 75.69 68.45 71.90 0.41 0.00 0.10 0.20 0.30 0.40 0.50 0.60 0.70 0.80 0.90 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Aug'18 Sep'18 Oct'18 Nov'18 Dec'18 Jan'19 Feb'19 Mar'19 Apr'19 May'19 Jun'19 Jul'19 Aug'19 Sep'19 Oct'19 Nov'19 Nifty Rollover Vs Marketwide Rollover Nifty Rollover Marketwide Rollover Roll Cost SECTOR HIGHLIGHTS -Textile, Oil_Gas, FMCG, Realty and Finance sectors saw higher rollovers on Wednesday compared to same day of previous expiry. -Capital_Goods, Telecom, Automobile, Cement and Fertilisers sectors saw lower rollovers on Wednesday compared to same day of previous expiry. Higher rollover in current expiry: Cement, Textile, Realty, FMCG and Banking. Lower rollover in current expiry: Media, Telecom, Capital_Goods, Infrastructure and Automobile. Sector Wise Rollover Percentage Change Strong Weak Sector % Change* Sector % Change* Textile 53.26 Capital_Goods -5.61 Oil_Gas 23.29 Telecom -4.47 FMCG 18.76 Automobile -1.51 Realty 16.92 Cement 3.54 Finance 9.07 Fertilisers 3.57 * % Rollover change compared to same day of previous expiry Sectorwise Rollover 58.9 64.9 68.0 61.7 72.5 68.0 66.4 58.9 70.5 70.6 73.5 71.2 74.5 67.1 70.7 54.4 81.8 61.7 62.0 64.2 66.8 71.4 72.2 72.4 72.6 73.8 75.0 76.1 76.4 78.3 79.7 82.6 83.4 84.7 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 90.0 Media Telecom Capital_Goods Infrastructure Automobile Power Finance Oil_Gas Metals Technology Fertilisers Pharma Banking FMCG Realty Textile Cement Sectorwise Rollover Previous Expiry Current Expiry
  • 4. COMPREHENSIVE ROLLOVERS % Rollover Roll Cost % Rollover Roll Cost L6 Months Sep Aug July June May Avg NIFTY 63.00 0.36 53.23 0.41 56.55 42.36 52.87 55.24 51.56 51.97 21.23 BANKNIFTY 49.59 0.33 45.35 0.36 41.83 39.78 51.56 49.93 55.09 47.26 4.94 CNXIT ACC 82.35 0.46 82.73 0.50 75.96 83.54 69.74 72.80 76.45 76.87 7.13 ADANIENT 83.10 0.73 87.68 0.77 82.45 78.03 72.19 83.43 88.79 82.10 1.22 ADANIPORTS 76.51 0.39 63.38 0.45 59.99 66.38 74.75 62.37 70.44 66.22 15.54 ADANIPOWER 77.06 0.57 79.59 0.61 79.18 81.16 79.55 79.76 80.73 80.00 -3.67 AMARAJABAT 65.69 0.10 76.31 -0.61 72.02 52.74 88.89 70.34 74.91 72.54 -9.44 AMBUJACEM 80.96 0.44 77.98 0.47 80.58 77.17 63.03 55.38 62.95 69.52 16.46 APOLLOHOSP 74.91 0.50 74.67 0.58 56.66 73.60 72.96 76.49 72.45 71.14 5.30 APOLLOTYRE 71.44 0.20 67.94 -0.16 63.47 84.68 61.52 60.81 80.23 69.78 2.39 ASHOKLEY 68.66 0.25 74.34 0.45 79.22 79.24 80.91 82.28 63.66 76.61 -10.38 ASIANPAINT 86.85 0.39 66.45 0.43 74.35 79.50 77.79 74.43 69.24 73.63 17.96 AUROPHARMA 72.32 0.37 57.37 0.28 80.85 83.20 76.88 74.87 73.16 74.39 -2.78 AXISBANK 81.37 0.37 70.19 0.44 79.18 70.78 70.51 72.87 72.98 72.75 11.85 BAJAJ-AUTO 80.84 0.39 75.18 0.38 87.22 71.46 64.84 74.03 76.30 74.84 8.02 BAJAJFINSV 73.81 0.41 68.47 0.45 71.78 77.14 65.61 72.52 68.67 70.70 4.40 BAJFINANCE 83.30 0.40 63.52 0.45 72.87 82.57 77.19 67.65 70.35 72.36 15.12 BALKRISIND 79.85 -0.44 81.34 0.20 74.26 69.29 76.78 67.91 79.17 74.79 6.76 BANKBARODA 74.31 0.39 72.95 0.47 76.12 68.52 74.39 62.04 70.11 70.69 5.12 BANKEX BANKINDIA 78.73 0.07 80.94 74.58 70.15 72.60 73.79 75.13 -100.00 BANKNIFTY 49.59 0.33 45.35 0.36 41.83 39.78 51.56 49.93 55.09 47.26 4.94 BATAINDIA 76.77 0.47 73.95 0.34 79.49 79.20 71.76 73.23 71.59 74.87 2.54 BEL 69.67 0.34 72.66 0.34 75.65 67.99 77.52 69.95 64.85 71.44 -2.47 BERGEPAINT 75.43 -4.24 54.78 -1.45 80.38 72.01 61.32 82.47 76.24 71.20 5.94 BHARAT22 BHARATFORG 85.03 0.06 72.00 0.10 84.48 77.54 80.04 74.82 81.46 78.39 8.47 COMPREHENSIVE ROLLOVERS NSE Symbol % Rollover on Same day of previous expiries % Rise / FallToday Last Expiry BHARTIARTL 75.73 0.46 42.56 0.42 69.34 73.46 57.79 75.02 82.22 66.73 13.48 BHEL 53.59 0.47 64.71 0.42 67.88 83.20 59.38 65.72 61.11 67.00 -20.01 BIOCON 72.51 0.22 77.09 -0.80 83.79 86.84 81.82 68.24 68.55 77.72 -6.71 BOSCHLTD 80.40 0.51 73.45 0.51 86.65 80.97 72.15 76.62 74.81 77.44 3.82 BPCL 80.87 0.41 65.20 0.49 74.00 62.24 65.50 51.52 62.90 63.56 27.23 BRITANNIA 78.64 0.28 83.84 0.35 80.97 85.26 58.05 78.82 77.07 77.34 1.69 CADILAHC 84.04 0.49 82.21 0.52 81.23 84.08 81.25 78.98 76.22 80.66 4.19 CANBK 69.29 0.33 76.86 0.37 78.84 73.61 72.51 71.07 77.21 75.02 -7.63 CASTROLIND 71.52 0.45 75.47 0.20 65.77 65.01 69.07 70.47 78.41 70.70 1.16 CENTURYTEX 87.55 0.48 45.16 0.47 76.45 79.12 83.22 90.84 88.69 77.25 13.34 CESC 70.66 0.40 72.13 0.45 81.64 78.43 82.51 78.75 79.66 78.85 -10.39 CHOLAFIN 62.81 0.05 62.36 0.11 76.73 73.81 63.23 59.27 69.21 67.44 -6.86 CIPLA 76.45 0.33 63.69 0.48 81.37 71.00 81.83 65.57 76.69 73.36 4.21 COALINDIA 45.37 -0.57 41.78 0.44 66.66 70.01 64.48 67.52 62.71 62.19 -27.05 COLPAL 70.67 0.52 80.47 -0.24 77.80 76.55 81.68 67.98 70.27 75.79 -6.76 CONCOR 70.45 0.42 63.68 0.46 75.08 78.46 28.44 48.03 45.66 56.56 24.56 CUMMINSIND 73.91 0.41 78.24 0.22 82.44 68.18 67.59 65.31 65.85 71.27 3.71 DABUR 71.21 0.44 49.81 0.21 83.72 81.71 73.24 76.75 69.18 72.40 -1.65 DISHTV 63.34 0.72 54.22 0.47 69.27 72.23 70.14 83.80 72.80 70.41 -10.04 DIVISLAB 73.55 0.37 67.67 0.44 79.07 85.27 67.27 76.99 60.20 72.75 1.11
  • 5. COMPREHENSIVE ROLLOVERS % Rollover Roll Cost % Rollover Roll Cost L6 Months Sep Aug July June May Avg NSE Symbol % Rise / Fall % Rollover on Same day of previous expiries Last ExpiryToday DRREDDY 64.57 0.38 63.18 0.42 81.91 75.62 79.74 77.20 67.07 74.12 -12.88 EICHERMOT 69.38 0.35 76.01 0.41 85.15 74.68 77.55 75.55 76.41 77.56 -10.54 EQUITAS 67.94 0.31 63.66 0.37 62.37 68.00 64.41 81.33 68.86 68.11 -0.24 ESCORTS 65.54 0.39 67.27 0.45 71.21 71.62 61.96 79.71 70.03 70.30 -6.77 EXIDEIND 78.84 0.44 76.90 -0.28 81.65 67.07 69.95 70.08 80.92 74.43 5.93 FEDERALBNK 74.08 0.40 70.49 0.49 56.69 70.18 64.51 63.90 77.71 67.25 10.16 GAIL 81.38 0.40 79.60 0.45 74.93 71.40 67.65 60.65 57.60 68.64 18.56 GLENMARK 77.05 0.32 79.78 0.39 79.96 75.46 61.59 83.07 83.05 77.15 -0.13 GMRINFRA 64.94 0.47 58.52 0.72 74.80 62.76 60.23 58.27 57.02 61.93 4.85 GODREJCP 77.95 0.42 38.43 0.25 79.78 82.43 57.93 64.90 51.19 62.44 24.83 GRASIM 89.97 0.41 88.79 0.52 92.64 90.51 84.04 82.90 82.33 86.87 3.57 HAVELLS 76.05 0.38 70.02 0.44 66.92 80.32 80.00 59.15 36.20 65.44 16.22 HCLTECH 64.09 0.44 54.21 0.46 56.75 67.04 45.70 74.48 73.90 62.01 3.35 HDFC 82.08 0.39 70.46 0.45 85.16 84.93 80.08 84.07 69.88 79.10 3.77 HDFCBANK 77.83 0.48 73.80 0.44 80.82 61.42 68.27 73.81 75.14 72.21 7.78 HEROMOTOCO 83.63 0.36 72.13 0.48 83.57 79.12 68.17 76.02 79.30 76.39 9.48 HEXAWARE 68.89 0.47 74.41 68.36 62.59 61.63 67.02 71.46 67.58 1.94 HINDALCO 78.27 0.44 70.24 0.48 77.96 72.71 71.24 73.12 69.02 72.38 8.14 HINDPETRO 75.28 0.42 68.23 0.44 82.96 84.32 78.75 74.15 56.90 74.22 1.43 HINDUNILVR 80.65 0.39 66.47 0.43 57.93 47.27 79.52 74.94 61.27 64.57 24.91 IBULHSGFIN 70.99 -0.74 69.41 -8.69 81.54 75.62 84.05 83.97 85.10 79.95 -11.21 ICICIBANK 77.11 0.22 77.36 0.46 67.62 64.45 70.18 79.82 79.34 73.13 5.44 ICICIPRULI 84.47 -0.24 79.88 0.22 81.07 74.54 76.10 59.20 60.04 71.81 17.64 IDEA 60.94 0.85 66.39 78.99 65.52 63.07 62.57 61.59 66.36 -8.16 IDFCFIRSTB 90.35 -2.64 82.10 -3.17 85.28 84.97 79.67 80.00 82.42 82.41 9.64 IGL 73.96 0.48 66.47 0.49 71.39 66.96 53.33 73.94 70.87 67.16 10.13 INDIGO 76.97 0.46 64.08 0.50 73.56 68.29 54.33 63.02 55.31 63.10 21.98 INDUSINDBK 65.71 0.35 65.38 0.44 76.29 68.35 64.14 74.86 60.69 68.29 -3.77 INFRATEL 74.76 -2.68 65.19 -0.16 64.02 87.44 62.94 64.37 78.77 70.46 6.11 INFY 77.57 0.41 68.67 0.45 63.90 78.45 73.84 70.65 78.07 72.26 7.34 IOC 56.87 -0.72 50.86 0.44 76.14 59.40 74.52 73.48 69.13 67.26 -15.44 ITC 81.57 0.40 70.32 0.44 81.40 72.61 70.86 69.68 80.95 74.30 9.78 JINDALSTEL 74.81 0.35 77.75 0.61 81.58 75.82 75.23 65.66 63.91 73.33 2.03 JSWSTEEL 87.61 0.40 82.87 0.45 88.84 87.89 83.53 90.07 84.27 86.25 1.58 JUBLFOOD 80.30 -0.19 66.89 -0.29 64.28 83.26 74.25 78.74 81.08 74.75 7.42 JUSTDIAL 58.08 0.33 63.35 0.39 71.03 64.31 68.49 63.01 70.24 66.74 -12.97 KOTAKBANK 77.52 0.38 64.58 0.40 73.06 63.85 69.68 68.72 59.84 66.62 16.36 L&TFH 80.36 0.42 74.76 0.53 77.31 70.66 79.16 71.59 70.77 74.04 8.53 LICHSGFIN 67.13 0.41 75.04 0.44 80.88 73.05 74.90 80.60 71.02 75.92 -11.57 LT 83.53 0.38 74.04 0.50 73.37 74.86 70.10 72.40 80.03 74.13 12.68 LUPIN 72.34 0.40 76.55 0.47 73.74 78.13 86.67 75.95 61.64 75.45 -4.12 M&M 75.27 0.40 57.47 0.44 76.18 79.12 70.70 72.14 70.73 71.06 5.93 M&MFIN 74.83 0.40 66.87 0.53 86.45 87.99 79.43 78.05 65.94 77.46 -3.39 MANAPPURAM 70.14 0.34 56.67 0.18 79.23 64.60 56.79 68.52 71.86 66.28 5.83 MARICO 78.09 0.39 74.98 -0.30 82.95 87.10 79.07 73.47 66.01 77.26 1.07 MARUTI 79.39 0.39 75.61 0.41 70.54 74.02 80.20 73.41 68.24 73.67 7.76 MCDOWELL-N 82.21 0.36 72.10 0.46 78.94 77.63 82.13 76.34 67.00 75.69 8.61 MFSL 81.81 0.45 75.87 0.63 78.37 69.30 69.37 75.87 84.83 75.60 8.21 MGL 76.24 0.41 71.59 0.50 77.14 65.21 78.83 77.79 79.00 74.93 1.75 MINDTREE 66.98 0.48 59.57 0.48 52.24 76.52 74.52 60.11 63.88 64.47 3.89
  • 6. COMPREHENSIVE ROLLOVERS % Rollover Roll Cost % Rollover Roll Cost L6 Months Sep Aug July June May Avg NSE Symbol % Rollover on Same day of previous expiries Today Last Expiry % Rise / Fall MOTHERSUMI 71.73 0.49 73.41 0.45 83.75 71.58 73.03 73.52 73.46 74.79 -4.09 MRF 76.62 0.36 77.33 0.43 83.22 72.89 78.80 71.73 78.93 77.15 -0.69 MUTHOOTFIN 66.37 0.28 66.74 0.47 64.08 62.30 53.44 78.76 72.97 66.38 -0.02 NATIONALUM 71.35 -1.71 54.03 75.22 81.99 64.62 72.53 70.87 69.88 2.11 NBCC 68.20 0.42 70.05 0.53 73.98 73.10 75.08 71.16 75.29 73.11 -6.72 NCC 72.57 0.44 69.24 0.52 78.64 72.70 69.36 73.64 76.50 73.35 -1.06 NESTLEIND 67.05 0.03 62.53 0.41 57.04 87.78 48.47 72.50 61.00 64.89 3.33 NIFTY 63.00 0.36 53.23 0.41 56.55 42.36 52.87 55.24 51.56 51.97 21.23 NIFTYIT 57.02 0.51 39.73 0.31 25.17 56.05 30.52 33.22 77.06 43.63 30.70 NIITTECH 67.13 0.07 56.06 -2.12 71.44 56.15 73.40 53.25 66.57 62.81 6.88 NMDC 74.73 0.39 75.09 0.45 83.28 83.64 74.49 58.35 69.71 74.09 0.86 NTPC 79.73 0.39 70.70 0.50 71.67 62.97 65.27 59.98 57.51 64.68 23.26 OIL 51.37 0.16 59.47 0.47 82.55 79.42 63.94 74.41 80.76 73.43 -30.04 ONGC 70.21 -0.30 23.79 -1.17 65.79 69.70 62.62 66.69 74.81 60.57 15.92 PAGEIND 68.96 -0.65 77.74 -1.44 78.72 73.57 76.86 86.75 79.87 78.92 -12.62 PEL 83.97 -0.83 74.24 -2.35 89.73 84.81 80.85 75.23 54.38 76.54 9.71 PETRONET 70.52 0.44 57.54 -1.47 85.01 82.44 66.40 81.08 74.53 74.50 -5.34 PFC 58.43 0.43 56.42 0.47 80.02 69.41 71.66 64.28 70.75 68.76 -15.02 PIDILITIND 71.99 0.41 64.89 0.51 82.80 79.35 71.75 70.06 72.37 73.54 -2.10 PNB 77.36 0.47 67.10 0.47 72.52 73.62 75.15 68.50 69.65 71.09 8.82 PNBHOUSING POWERGRID 66.70 0.44 63.62 0.45 82.48 82.23 55.03 69.26 60.70 68.89 -3.17 PVR 69.73 0.43 49.37 0.35 82.66 74.47 65.43 70.24 65.48 67.94 2.63 RAMCOCEM 69.27 0.29 70.20 0.08 75.21 78.16 69.07 77.02 80.72 75.06 -7.72 RBLBANK 74.28 -0.04 62.09 -0.57 72.53 69.83 61.90 70.71 65.77 67.14 10.64 RECLTD 63.57 0.41 55.11 0.40 76.63 78.06 60.92 71.27 64.57 67.76 -6.18 RELIANCE 75.94 0.44 72.66 0.45 83.79 77.11 76.55 74.11 71.70 75.99 -0.06 SAIL 65.77 0.51 70.72 0.53 66.95 66.32 68.33 72.26 68.39 68.83 -4.44 SBIN 74.01 0.42 70.47 0.48 74.90 66.96 68.89 75.02 67.56 70.63 4.78 SHREECEM 63.30 0.40 67.53 0.41 90.69 81.15 72.39 51.93 53.45 69.52 -8.95 SIEMENS 84.12 0.29 71.48 0.38 68.35 65.77 70.88 67.43 65.63 68.26 23.24 SRF 71.30 0.46 73.48 0.34 75.70 60.87 73.71 77.79 77.61 73.19 -2.59 SRTRANSFIN 61.13 0.39 64.14 -0.04 82.34 73.07 75.02 78.20 58.25 71.84 -14.90 STAR 79.04 65.46 77.73 78.18 81.60 63.67 SUNPHARMA 77.82 0.49 73.93 0.48 78.11 81.98 73.16 80.24 73.33 76.79 1.34 SUNTV 75.84 0.46 72.22 -0.02 82.21 81.58 64.75 71.25 71.02 73.84 2.71 SX40 TATACHEM 76.73 0.33 66.34 0.31 73.54 73.77 70.28 72.49 75.50 71.99 6.59 TATAELXSI 67.70 0.27 75.55 0.07 71.35 64.83 64.59 79.12 71.98 71.24 -4.96 TATAGLOBAL 76.83 0.42 65.26 0.45 77.59 77.43 79.05 55.29 53.81 68.07 12.87 TATAMOTORS 67.56 0.39 75.44 0.44 76.54 77.69 76.63 73.77 77.57 76.27 -11.42 TATAMTRDVR 73.84 0.47 68.78 0.50 62.67 73.37 79.06 79.40 72.17 72.58 1.74 TATAPOWER 66.23 0.44 56.29 0.51 73.30 63.79 77.64 70.54 66.75 68.05 -2.68 TATASTEEL 64.80 0.41 68.26 0.40 73.77 72.10 77.44 73.46 76.55 73.60 -11.95 TCS 82.09 0.37 75.26 0.44 83.44 82.39 82.47 77.24 82.85 80.61 1.84 TECHM 54.72 0.39 74.95 0.43 67.19 65.15 66.67 80.96 76.19 71.85 -23.84 TITAN 75.69 0.37 60.13 0.44 76.47 74.00 66.37 80.90 64.56 70.41 7.51 TORNTPHARM 70.71 0.51 68.53 0.46 58.65 53.72 72.21 76.81 62.05 65.33 8.24 TORNTPOWER 66.14 0.46 64.79 0.50 72.24 75.83 62.88 77.89 69.72 70.56 -6.26 TVSMOTOR 69.42 -2.06 80.79 -3.02 73.81 79.02 64.91 79.97 74.34 75.47 -8.02 UPL 75.98 0.40 74.68 0.43 85.49 85.15 53.78 62.19 67.97 71.54 6.20 VEDL 76.94 0.44 70.26 0.47 66.81 75.37 81.40 81.46 78.53 75.64 1.72 VOLTAS 71.06 0.41 63.98 0.19 52.44 60.85 73.23 72.13 78.23 66.81 6.36 WIPRO 81.64 0.37 76.70 0.41 74.54 81.68 72.25 67.51 76.63 74.89 9.02 YESBANK 77.11 -0.15 74.63 80.51 60.88 65.65 79.41 84.95 74.34 3.73 ZEEL 56.30 0.38 76.82 0.38 76.96 71.91 80.78 83.05 81.12 78.44 -28.23
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