>ROLLOVER ANALYSIS MAY 09 (ANAGRAM)

NIFTY UP 25% IN MAY SERIES; HIGHEST GAIN EVER IN ANY SERIES.
Nifty surged 25% in May series, the highest ever gain witnessed in any series in the history of derivative market in India. Before this, the highest gain was witnessed way back in Oct 2007, where nifty rose by 13%. Nifty continued its upward journey during the entire series without any significant correction and finally closed the series at the highest level on a closing basis at 4337. This gain of 25% came on the back of a rise of 12,7% witnessed in the April series,

OVERALL ROLLOVER - 77% IN LINE WITH LAST THREE MONTHS AVERAGE ROLLOVER OF 76%
Rollover for the May series STOOD AT 77%, the same as that of April series. This is also in line with the last three months' average rollover of 76%. Although in percentage terms rollover is same, in absolute terms picture is different. We are starting the June series with a higher OI of 111Cr shares as against 106 Cr shares with which we had started May series.

LOWER ROLLOVER IN NIFTY(63%) - LOWEST SINCE OCTOBER'08
In case of Nifty, lower rollover is seen, where only 63% positions got rolled over to June series as against 74% last month and last six months' average rollover of 70%. Even in terms of no. of shares, we are starting June series with Nifty futures OI of only 2.75 Cr shares (Lower by 27%) as against 3.76Cr last month and last three month average OI of 3.47 Cr shares at the beginning on new series.

OUTLOOK FOR THE JUNE SERIES - BE BEARISH ONLY BELOW 4200 LEVEL ON CLOSING BASIS

BOOK PROFIT IN NIFTY AROUND 4500-4600 LEVEL
In a nutshell, considering aggresive put writing at 4200 and 4300 level, long rollover in stock future suggested by the higher COC and FIIs investment in cash market we believe there is a higher possibility of upward momentum to continue for the first couple of week in the new series. There fore our advice would be to remain bullish till 4200 level gets broken on the downside, the level at which we have seen aggressive put writing.

This report includes data on following stocks:

• HIGHEST ROLLOVER STOCKS
• LOWEST ROLLOVER STOCKS
• PERFORMANCE OF THE MAY SERIES
• F&O (STOCKS+INDICES) ROLLOVER DETAILS

To see full report: ROLLOVER ANALYSIS