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Monthly Futures Report
Monthly Futures Report November 01, 2011
Index October September Change
Futures Expiry Expiry MoM
Nifty 5191 5015 3.50%
Bank
Nifty
9511 9653 -1.48%
CNX IT 6217 5746 8.19%
Index October September Change
Futures Expiry OI Expiry OI MoM
Nifty 34119750 33114500 3.04%
Bank
2503525 2319825 7.92%
Nifty
CNX IT 36550 19950 83.21%
October September The October 2011 expiry saw Nifty Futures ending up by 3.50% on a month
Change
Futures Expiry Day Expiry Day
MoM
on month basis. The CNX IT closed up by 8.19 % and Bank Nifty closed
Vol Vol down by 1.48% on a month on month basis. On October 25, 2011 – the
expiry day of October Futures, Nifty November 2011 futures was at a 37.5
Index 1146512 953239 20.28% points premium compared with spot closing of 5191. Turnover in NSE's
futures & options (F&O) segment fell to Rs 2,365,085 crore in the whole of
Stocks 1339525 1218068 9.97% October series compared to 3,032,066 crore in the whole of September
series, a decrease of 22% (trading days in October were 19 - incl muhurat
*OI includes current, next & far months session - vs 20 in September). The next immediate resistance level for the
Nifty is at 5,450 & on the downside support is at 5,200 level.
Nifty OI & Volume Chart:
Nifty Futures OI increased by 3.04 %
compared to last month. The increase in
OI is low compared to other months due to
low volatility seen in the Nifty throughout
the month. Hence traders did not build
large overnight positions. Trader
confidence is still on lower side due to lack
of positive information flow from domestic
as well as international market. This
impacted confidence of traders who
desisted from holding up positions for a
longer period of time in the market.
Bank Nifty saw increased of 7.92% in OI
compared to last expiry. CNX IT rose the
most by 8.19% during the month,
accompanied by 83.21% increase in OI
(though on low base).
Compared to last expiry day the volume
(number of contracts) in Index Future on
this expiry day increased by 20.28%
followed by stock future by 9.97%.
Retail Research 1
Rollover Statistics:
The Index futures saw a 79.17% rollover into new
Index Rollover series, (last month rollover 61.65%) – the highest
rollover in the last one year.
80 79.17
Rollover in stock futures remains more or less the
78 same at 84.36%. Power sector saw the highest
rollover of 88.19% followed by Textile sector –
76 87.64%. Sugar sector saw the least rollover of
74 71.05% among major sectors. Cement sector
71.74 saw 13.92% more rollovers (in % terms) this
72 expiry compared to rollover seen at September
69.93
70 series expiry.
68 66.63
66
64
61.65
62
60
June July August September October
% chg in % chg in
Sector Rollover on Rollover on % Change
October September
Automobile 84.66 81.41 3.99%
Banking 83.18 78.30 6.23%
Capital Goods 84.61 80.81 4.71%
Cement 85.58 75.12 13.92%
Fertilisers 77.95 74.48 4.66%
Finance 85.94 82.42 4.27%
FMCG 84.37 74.65 13.02%
Hotels 85.85 90.51 -5.15%
Infrastructure 86.40 85.90 0.58%
Media 82.93 86.56 -4.19%
Metals 87.62 85.89 2.02%
Oil & Gas 83.28 80.42 3.56%
Pharma 84.70 80.71 4.95%
Power 88.19 81.51 8.19%
Realty 82.98 82.70 0.34%
Sugar 71.05 88.21 -19.45%
Technology 81.25 74.54 9.01%
The Nifty is currently trading at a hefty premium after gap of almost one
Telecom 81.22 73.72 10.18%
year. High basis reflects trader’s confidence in the market for the short
Textile 87.64 89.33 -1.89% term. The rollover cost also saw small jump compared to earlier months.
Trading 83.21 77.86 6.88%
Transport 86.94 87.33 -0.45%
Retail Research 2
Total Index & Stock Volume in Future:
2000
Index Volume
1800 Total Stock
1600
1400
1200
1000
800
Jul-11
Feb-11
Mar-11
May-11
Jan-11
Jun-11
Sep-11
Nov-10
Dec-10
Oct-10
Oct-11
Aug-11
Apr-11
Volume *10000
From the above bar chart, we can see the volume in the Index futures shed by almost 50% compared to September month series
due to decrease in volatility. Stock futures volumes saw jump in October 2011 as traders concentrated more on stock specific
movement.
Bank Nifty Futures:
Bank Nifty Futures has been trading at a premium for the last four to five months. The gap between spot and future has risen this
month gradually. In October expiry Bank Nifty fell by 1.48% after last month’s carnage. In October series Bank Nifty made a new low.
OI in Bank Nifty future increased by 7.92% in October, and remained on higher side compared to last one year, suggesting traders
are taking more interest in Bank Nifty future as it shows higher volatility compared to other sector/Nifty.
Retail Research 3
Index & Stocks OI on Monday after Expiry:
Sector Future OI on 31 October Future OI on 03 October % Change In OI
Index 33,066,945 24,069,560 37.38%
Stocks 1,868,146,503 1,748,244,067 6.86%
* OI in Units
Index OI on the first day after expiry has risen in line with higher rollovers seen over last expiry and the sharp upmove seen in the
markets on October 28.
FII Monthly Derivative Statistics
Open Interest as on Open Interest as on Change in FIIs Open
BUY SELL 311011 300911 Interest (W-o-W)
No. of Amt in No. of Amt in No. of Amt in No. Of Amt in No. Of Amt in
contracts Crores contracts Crores contracts Crores contracts Crores contracts Crores
Index Futures 1956156 49017 1770693 44224 582122 15540.22 509662 12754.86 72460 2785.36
Stock Futures 1909502 47334 1982468 49290 1118158 28226.85 1079112 26256.33 39046 1970.52
Over the calendar month, FIIs were net buyers in the index futures segment to the tune of Rs. 4,793 cr. The OI in the index futures
increased by Rs. 2,785 cr. This suggests creation of new long positions by them.
FIIs were net sellers in the stock futures to the tune of Rs. 1,956 cr with the OI increasing by Rs. 1,970 cr. This suggests unwinding of
earlier long positions or creation of cash-futures arbitrage positions.
Commentary:
In October, Nifty closed up by 3.50% (expiry to expiry). During the month Auto, IT, Realty & Metals rose the most while PSU, Capital
Goods, Consume Durable & Health Care rose the least. In November month Nifty may face resistance around 5450 level & find
support near 5200 level. This month traders could expect volatility to revert back to its normal level.
Retail Research 4
Weekly Futures Report
Overall Market review:
Top Gainers and Losers
Major Gainers % Price Change Major Losers % Price Change
Gt offshore 17.21 Gitanjali -6.71
IVRCL INFRA 14.88 Jublilant Foods -5.99
Vijaya Bank 14.48 BPCL -5.31
Uco Bank 11.79 AREVA T & D -5.03
LITL 11.78 TTK Prestige -3.08
Open Interest (OI) Analysis: based on stocks with the total OI of more than 1,00,000 shares & price rise/fall of less than 10%.
Stocks witnessing Accumulation Stocks witnessing Short covering
Rise in Open Interest and Increase in Price Fall in Open Interest and Increase in Price
Company OI Price Company OI Price
Colgate Pal 32.59 4.13 Glaxo -5.50 2.08
GMDC Ltd 31.44 6.50 Tech Mahindra -5.06 1.23
Havells 30.77 7.48 Indian Bank -2.36 0.25
Stocks with a Negative Bias Stocks witnessing Squaring up of Long Positions Fall in
Rise in Open Interest and Decrease in Price Open Interest and Decrease in Price
Company OI Price Company OI Price
Central Bank 31.27 -6.58 Vijaya Bank -4.96 -1.78
NMDC 25.51 -0.46 Syndibank -4.80 -1.69
Tata Chemical 15.99 -3.27 ABG Shipyard -3.92 -0.64
Analyst: Siddharth Deshpande (siddharth.deshpande@hdfcsec.com)
HDFC Securities Limited, I Think Techno Campus, Building ‘B’, “Alpha”, Office Floor 8, Near Kanjurmarg Station, Opposite Crompton Greaves,
Kanjurmarg (East), Mumbai – 400042, Fax: (022) 30753435
Disclaimer: This document has been prepared by HDFC Securities Limited and is meant for sole use by the recipient and not for circulation. This
document is not to be reported or copied or made available to others. It should not be considered to be taken as an offer to sell or a solicitation to
buy any security. The information contained herein is from sources believed reliable. We do not represent that it is accurate or complete and it
should not be relied upon as such. We may have from time to time positions or options on, and buy and sell securities referred to herein. We may
from time to time solicit from, or perform investment banking, or other services for, any company mentioned in this document. This report is intended
for Retail Clients only and not for any other category of clients, including, but not limited to, Institutional Clients
Retail Research 5
