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Rollover Highlights

* Nifty rolls were nearly 53% lower than the 3M average of 59%

* Marketwide rolls were at 71% also lower than the 3M average of 75%

* Highest rollover was seen in Dabur, Zee Entertainment, GMR Infra, M&M Finance and Canara Bank

* Rollover activity was relatively low in SAIL, PNB, UBL, Bal Krishna Industries and Indus Tower

* Among index stocks, Grasim (93%), JSW Steel (87%) and HDFC Bank (84%) are witnessing high rolls into the next series while Power Grid (46%), NTPC (53%) and Axis Bank (60%) are seeing relatively low rollover into the February series

* The open interest in the Nifty has declined marginally amid higher closures seen in the January series. During the last session, January series saw closure of 3.1 million shares while mid-month saw addition of almost 2.6 million shares. Due to the high closure of positions, the roll spread has declined a bit and closed near 38 points. We believe the roll spread may decline further today as market weakness continues ahead of union budget. However, open interest in Index is substantially low at just 6 million for January series

* The open interest in the Bank Nifty also saw marginal closure and midmonth saw addition of just 0.4 million shares. Moreover, the roll spread in the banking index has declined to just 54 points due to ongoing pressure. We believe the roll spread will stay under pressure towards settlement as short rollover is likely to be seen

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