ICICI Direct - Rollover Analysis (March 26): High Bank Nifty OI suggesting short bias continued in April...

The Nifty rolls were at 81.67% vs. 3M average of near 78.25%.

Market wide rolls were at 93.04% against the 3M average of 91.87%.

Highest rollover was seen in Page Industries, Shree Cement, Divis Lab, Pidilite and Godrej Consumer Products.

Rollover activity was relatively low in Vedanta, UBL, Bank of Baroda, Godrej Properties and NMDC.

Among index stocks, JSW Steel (98%), Asian Paints (98%) and Sun Pharma (97%) are witnessing high rolls into the next series while Grasim (82%), Coal India (84%) and BPCL (89%) are seeing relatively low rollover into the April series.

The open interest in the Nifty has declined marginally compared to last month's OI at inception. The April series is starting with open interest close to 8.9 million vs. 9.59 million shares seen in the last series. Nifty April futures added almost 1.8 million shares during settlement trade. Moreover, the roll spread has increased significantly further and Nifty April futures closed with premium of more than 100 points.

The open interest in the Bank Nifty has increased substantially compared to last month. The new series OI is close to 2.1 million shares, significantly higher than the last series OI indicating some short additions. The roll spread in the banking index has also increased sharply to almost 300 points as selling pressure was seen towards the end.

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Source : Equity Bulls

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