Two stocks can move exactly the same amount in price and mean completely different things underneath. A move backed by fresh institutional positioning and one caused by short-covering look identical on a candlestick chart — the futures data is what tells them apart. Finomint’s stock futures research goes beyond price direction to track rollover percentages, basis, and the four-quadrant open-interest framework that separates conviction from noise.
Rollover: are positions actually being carried forward?
Rollover is the percentage of open interest that moves from the current month’s futures contract into the next month’s, as expiry approaches. A rollover comfortably above 70% signals that existing positions are being carried forward with real conviction, while a low rollover suggests traders are closing out rather than extending their view — often a mildly bearish signal heading into the next series. The number only means something relative to a stock’s own history: a stock rolling 82% against its own three-series average of 76% is showing above-average conviction, even if 82% sounds unremarkable in isolation.
Basis: premium or discount, and why it flips
Basis is simply the gap between the futures price and the spot price. Futures trading at a premium to spot — contango — signals positive carry and generally bullish conditions, since the market is willing to pay more for future delivery. A discount, or backwardation, suggests negative carry, often tied to an expected dividend, stock availability, or genuinely bearish sentiment where short-sellers are effectively paying to roll their position forward. A stock that flips from premium to discount without any dividend event on the calendar is a signal worth digging into.
Cost of carry: the implied interest rate hiding in the futures price
Cost of carry is the annualised, implied financing rate baked into the futures price, derived from the basis and the time to expiry. When it spikes meaningfully above the prevailing risk-free rate, it usually points to leverage demand or a short-squeeze dynamic; when it drops below the risk-free rate, it signals excess supply or negative sentiment. Where basis is the raw price gap, cost of carry normalises that gap so it can be compared meaningfully across different stocks and time periods.
The four-quadrant framework
Every F&O stock, on any given day, fits into one of four quadrants based on the direction of open interest and price together. Long build-up is OI rising with price rising — fresh long positions being created, and a quadrant where high rollover suggests real conviction. Long unwinding is OI falling with price falling — existing longs exiting, often a precursor to a deeper corrective move, particularly when rollover is weak. Short build-up is OI rising with price falling — fresh shorts being initiated, typically signalling sustained bearish sentiment. Short covering is OI falling with price rising — shorts closing out, often ahead of positive news, and worth distinguishing from genuine fresh buying since the two can look identical on a price chart alone.
Putting the pieces together
None of these four data points — rollover, basis, cost of carry, and the OI-price quadrant — is meaningful entirely on its own. A stock showing long build-up with high rollover and a rising cost of carry above the risk-free rate tells a much stronger institutional-conviction story than a stock showing the same price action with low rollover and a shrinking basis. Finomint’s weekly futures reports read all four together, flag deviations from a stock’s own three-series and six-series history, and publish the interpretation — not a buy or sell call on the futures contract itself.
Read the full report
A full rollover and quadrant report is published weekly for every F&O stock, with additional notes around significant basis shifts or ahead of expiry. Subscribers can also access the previous six series of rollover and quadrant history for deeper context. The first report is free to read.