Rollover Analysis

* Nifty rolls were near 76% vs. 3M average of near 78%

* Market wide rolls were at 93% against the 3M average of 93%

* Highest rollover was seen in Petronet LNG, Godrej Consumer Products, Aurobindo Pharma, United Spirits and Adani Enterprises

* Rollover activity was relatively low in Siemens, Indus Tower, Canara Bank, PFC and Mindtree

* Among index stocks, Grasim (99%), Bharti Airtel (99%) and Nestle India (98%) are witnessing high rolls into the next series while Coal India (76%), SBI (84%) and HDFC Life (87%) are seeing relatively low rollover into the January series

* The open interest in the Nifty has increased compared to the last month at inception. The January series is starting with open interest close to 11.8 million against 11.4 million shares seen in the last series. Nifty January futures added almost 2.8 million shares during the settlement trade. However, the roll spread has come under pressure as expected and Nifty January futures closed with just 30 points

* The open interest in the Bank Nifty has declined marginally compared to last month. The new series OI is close to 1.4 million shares. The roll spread in the banking index has remained under pressure suggesting continued profit booking at higher levels

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