MONTHLY ROLLOVER REPORT ● August Expiry Derivative Summary ● Rollover Synopsis ● Sector Rollover Insight ● Top Stock Rollovers ● Bottom Stock Rollovers

1. MONTHLY REPORT
ROLLOVER 30 AUG 2019

2. 1
DERIVATIVES MONTHLY ROLLOVERREPORT
AUGUST EXPIRY DERIVATIVESSUMMARY
The markets ended the August derivative series on a weak
note as both Nifty 50 and Bank Nifty indices declined
further. The volatile Nifty 50 index slipped below the
11,000-mark to close the August settlement at 10,948.3.
With the government’s stimulus measures failing to lift
sentiment, rollover of Nifty 50 stood at 55.22 per cent,
which is the lowest since June 2013, when the rollover
stood at around 50 per cent. The three-month average
rollover is 72 per cent.
Similarly, Bank Nifty also saw a rollover of just 60 per cent,
much lower than the last three-month average of about 80
per cent. Marketwide rollover also slowed down to about
80 per cent, from 90 per cent earlier.
NIFTYAUGUST SERIES OPTION
DATA
TOP 5—STRONG ROLLOVERS
STOCKNAME % Rollover
GRASIM 77.69
JSW STEEL 74.01
HDFC 70.66
UPL 70.19
HINDPETRO 69.54
TOP 5—WEAK ROLLOVERS
STOCKNAME % Rollover
KAJARIYA 16.92
AMARAJABAT 27.64
HINDUNILVR 27.88
TORENT PHARMA 31.64
BPCL 35.64
The lower-than-average Nifty and Bank Nifty rollovers
come amid weakness in the market due to the economic
slowdown. Most traders did not roll over long positions as
they fear there will be downward pressure on the market
due to weakening of the rupee against the dollar amid
heavy selling by overseas investors.
Research Desk – Rollover
Report
30 August 2019

3. 2
Nifty Rollover Vs Marketwide Rollover
ROLLOVER SYNOPSIS
Nifty rolls were near 33.15% vs. 3M average of 39.11%
Marketwide rolls were at 53.60% against the 3M average of 50.79%
Highest rollover was seen in UPL, HPCL, Wipro, Reliance and Bhel
Rollover activity was relatively low in Kajaria Ceramic, BPCL, SRF, IOC and Raymond
Among index stocks, Grasim (78%), JSW Steel (74%) and HDFC Ltd (71%) are witnessing high rolls into the next series while
Hindustan Unilever (28%), NTPC (36%) and IOC (37%) are seeing low rollover into the September series
SECTOR INSIGHTS:
The sector hving higher rollover compare to previous expiry includes Fertilisers, Capital_Goods, Realty, Metals and
Pharma.
While Telecom, Oil & Gas, Banking, Infrastructure and Textile sectors witnessed lower rollovers compared to same day of
previous expiry.
 Highest rollover in current expiry: Cement, Realty, Automobile, Fertilisers and Pharma. Lowest rollover in current expiry:
Telecom, Oil_Gas, Power, Banking and Infrastructure..
Research Desk – Rollover
Report
30 August 2019

4. Research Desk – Rollover
Report
30 August 2019
2
AUGUST SERIES OUTLOOK
The Nifty remained largely range bound but volatile in the
last session. Despite MSCI rebalancing, it was able to hold
11100. With strengthening Put base at 11000 strike,
downsides may be limited in the current series. On the
higher side, Call OI base at 11200 should remain
immediate hurdle for the Nifty
As the Nifty is trading around its VWAP of 11020 of the
series and continued options build up at 11000 strike for
both Call and Put strikes, the Nifty may move towards
11000 in coming sessions
INDICES JULY SERIES OPTION DATA
While the Nifty OI in the near month remains on the higher
side, select heavyweights are still holding significant OI.
Failure to roll these positions induce closure of positions
The open interest in the banking index is just 1.3 million
shares while writing is seen at ATM Call strikes. The Bank
Nifty is likely to remain around 28000 in the current
settlement
Average OI Current Previous
Symbol
Current
Rollover %
Previous
Rollover %
6 Month Avg
Rollover %
3 Month Avg
Rollover %
Current OI Total OI Roll Cost % Roll Cost %
Bank Nifty 66.41 76.51 77.1 80.1 771340 2296580 0.49 0.54
Nifty 68.76 73.73 72.4 75.3 8193750 26228100 0.53 0.43

5. 2
Top Stock Rollovers
Stock Rollover_% 6_Month_Avg
ACC 99.27 90.76
CADILAHC 99.08 93.09
PEL 99.07 88.93
AUROPHARMA 99.04 91.95
M&MFIN 98.92 92.92
MOTHERSUMI 98.85 91.94
SHREECEM 98.77 89.36
CONCOR 98.7 72.97
TATAMTRDVR 98.7 93.51
GRASIM 98.69 92.51
ASHOKLEY 98.63 91.05
PETRONET 98.5 90.63
CENTURYTEX 98.36 97.19
MARICO 98.31 89.73
BANKBARODA 98.26 87.84
CASTROLIND 98.2 91.91
PNB 97.98 93.2
UNIONBANK 97.95 96.96
HINDPETRO 97.91 84.03
BHARATFORG 97.81 94.72
GODREJCP 97.68 89.24
EXIDEIND 97.66 94.05
DRREDDY 97.63 93.28
MANAPPURAM 97.57 90.45
HINDALCO 97.55 86.23
CANBK 97.54 93.08
NMDC 97.54 89.01
DISHTV 97.53 92.78
JSWSTEEL 97.48 90.61
EQUITAS 97.41 93.72
Research Desk – Rollover
Report
30 August 2019

6. 2
Bottom Stock Rollovers
Stock Rollover_% 6_Month_Avg
NIITTECH 62.55 88.22
IOC 67.65 78.19
NTPC 74.82 73.12
TORNTPHARM 74.87 86.68
YESBANK 77.28 90.9
ICICIBANK 77.89 86.39
MGL 79.39 95.97
IDEA 79.48 86.31
HEXAWARE 79.54 92.41
ONGC 80.39 75.15
COLPAL 82.12 91.41
MFSL 83.65 94.61
CHOLAFIN 84.22 92.1
COALINDIA 84.31 73.58
HDFCBANK 84.36 80.66
RELINFRA 85.14 90.99
ZEEL 85.7 92.96
HINDUNILVR 85.83 90.83
KOTAKBANK 86.04 79.09
LICHSGFIN 86.13 91.42
PVR 86.45 93.77
UBL 86.58 97.58
INDIGO 86.66 83.02
SBIN 86.92 84.13
LUPIN 88.13 89.42
MARUTI 88.54 89.37
NBCC 89.09 91.96
RBLBANK 89.17 86.69
VEDL 89.18 84.75
KAJARIACER 89.32 90.74
Research Desk – Rollover
Report
30 August 2019

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