>Rollover Analysis (ANAGRAM)

ROLLOVER ANALYSIS FEBRUARY 2009

OVERALL ROLLOVER - 76%, IN LINE WITH LAST THREE MONTHS' AVERAGE ROLLOVER OF 77%.

Rollover for the February series stood as 76%, the same as that of January series. This rollover of 76% os also in line with the last three months's average rollover of 77%. Range bound movement was seen in Nifty throughout the series where it moved within 5% range from the closing of January series and finally settled with a loss of 1.4%. This came on the back of a 3.2% cut witnessed in the January series.

LOWER ROLLOVER IN TERMS OF NUMBER OF CONTRACTS - STOCK OPTIONS TO HIT HARD!

We are starting March series with the total OI of 96 Cr shares as against 91 Cr shares with which we started February series. If we consider only stock futures, OI at the beginning of March series is at 83 Cr shares as against 84 Cr last month. Although in number of shares, rollover is same as that of last month, it is sharply lower in terms of number of contracts. We are starting March series with OI of 4.5 lakh contracts as against 11.9 lakh contracts last months. Higher Margin requirement due to the rise in lot sizes (Average rise of 3 times) and low risk appetite is the major reason for the lower rollover by the Retail players. This lower participation, we believe, would reduce the volume in terms of number of contracts. However, overall volume would not be affected as even if only 1 trader out of three traders trades, the overall volume in value terms remains same. The segment which will be hit hardest on the back of this rise in lot sizes is the stock option segment where liquidity is already a major issue as lower number of contracts would increase the bid-ask spread and thereby the impact cost of trade.

To see full report: Rollover Analysis 27-02-2009