F&O REPORT: Roll-overs gain momentum

What is Open Interest?

Open Interest (OI) position in futures and options indicate market-wide participation of derivative players. An increase in open interest with call-put ratio of less than one indicates oversold positions for the markets where as the call-put ratio above one indicates overbought position for the market.

What happened on Tuesday?

The March Nifty closed at a premium of 10 points at 3335 as against the spot close of 3325. The Nifty April futures traded at a discount of 5-8 points during the day, but finally closed at a premium of 4.6 points.

The Nifty April futures added 37.28 lakh thereby taking the Nifty rollover to 42%. The put/call ratio (PCR) for Nifty declined to 1.94 from 2 on Monday as call options added over 6.4 lakh (+6.3%) and put options added nearly 6.5 Lakh shares (+3.2%).

Impressive roll-overs were noticed in Hindalco (68%), Jindal Stainless (62%), Gujarat Ambuja (60%), Matrix Labs (59%), HDFC Bank (54%), MTNL (54%) & Federal Bank (53%). 

Long OI build up was seen in Jindal Steel (13%), Satyam (10%), Siemens, Dr Reddy, Patni, UTI Bank and Sun Pharma (over 10% each) and Matrix Labs (9%). We may see further action in these stocks.

Profit booking was seen in Kochi Refineries as the OI (-20%) has decline.
The cost of carry (CoC) of Kochi Refineries has also turned negative, and one should avoid going long at the current levels.

Call options of ITC have witnessed profit-booking as the OI in call options declined by 4 lakh shares.
 

OPEN INTEREST                                                                  (In million)
Underlying	28-Mar	28-Mar	28-Mar	28-Mar	28-Mar	28-Mar
Nifty	68.02	66.78	66.53	65.28	64.28	63.07
IVRCL Infras	3.24	3.05	2.68	2.67	2.59	2.68
MUL	9.55	9.67	9.27	8.82	8.13	7.15
Tata Steel	20.08	20.74	21.49	22.00	20.90	20.32
Infosys	3.28	3.12	3.09	2.96	2.90	2.92
SBI	14.96	14.27	14.36	14.65	14.48	14.11
MTNL	41.36	40.91	40.32	39.05	36.46	37.56
Total	1224.82	1242.98	1212.89	1195.08	1198.79	1185.35