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Rollover Highlights

* Nifty rolls were nearly 32% marginally higher than the 3M average of 30%

* Marketwide rolls were at 46% also higher than the 3M average of 38%

* Highest rollover was seen in IDFC First Bank, Biocon, Tata Power, GMR Infra and M&M Finance

* Rollover activity was relatively low in PFC, UBL, Godrej Consumer Products, Balkrishna Industries and Marico

* Among index stocks, Grasim (86%), JSW Steel (74%) and Bharti Airtel (63%) are witnessing high rolls into the next series while Shree Cement (35%), Axis Bank (36%) and Asian Paints (37%) are seeing relatively low rollover into the February series

* The open interest in the Nifty has remained on the higher side throughout the January series. During the last session, January series saw closure of 1.8 million shares while mid-month saw addition of almost 2 million shares. Despite the relatively high additions of positions, the roll spread has increased to near 48 points during the session. We believe the roll spread is on a relatively higher side considering dividend of 12 points in February. Hence we expect roll spread to decline marginally towards 40 during settlement

* The open interest in the Bank Nifty also saw fresh additions in the February series. However, the roll spread in the banking index has remained under pressure and it was close to 80 points in the last sessions. We believe the roll spread will stay under pressure towards settlement as short rollover is likely to be seen

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