Rollover, basis and build-up the full futures picture.
Futures research is about more than price direction. We track rollover percentages, basis changes, open interest trends and the four-quadrant OI-price matrix — so you can distinguish between carry-driven moves and genuine directional build-up.
Current monthly series at a glance
Rollover rates and basis across stocks
| Stock | Rollover % | Rollover vs. avg | Basis | OI change (Cr) | Cost of carry | Signal |
|---|---|---|---|---|---|---|
| RELIANCE | 82% | +3.1% | +14.2 | 6.8% | Long build-up | |
| TCS | 68% | -0.8% | -6.8 | 4.2% | Long unwinding | |
| HDFCBANK | 74% | +1.6% | +22.1 | 5.4% | Long build-up | |
| INFY | 58% | -2.2% | -12.4 | 3.8% | Short build-up | |
| SBIN | 44% | -3.4% | -18.3 | 2.6% | Short build-up |
Rollover vs. avg compares current rollover rate to the 3-series average for each stock.
Four market states, one framework
Every futures stock fits into one of four quadrants based on OI change and price action. We publish the full quadrant map each week.
Long Build-up
OI ↑ Price ↑ — Fresh long positions being created. Stocks showing sustained long build-up are flagged for fundamental review. High rollover in this quadrant suggests conviction.
Long Unwinding
OI ↓ Price ↓ — Existing long positions exiting. Often precedes a corrective move if unwinding is heavy. Low rollover here signals weak confidence in the next series.
Short Build-up
OI ↑ Price ↓ — Fresh short positions being initiated. Stocks with short build-up across multiple expiries signal sustained bearish sentiment. Rollover here is typically low.
Short Covering
OI ↓ Price ↑ — Shorts closing positions, often ahead of positive news or earnings. Sharp price moves on low OI typically indicate short covering rather than fresh buying.
What rollover data tells you that price doesn't
A stock can roll 90% of its OI into the next series even while the price is flat. That tells you existing positions are carried forward with conviction — the move isn't over, just pausing. We track rollover percentages for every F&O stock and compare them to their 3-series average to spot deviations.
Stocks rolling significantly above their average with positive basis signal institutional carry trades — a very different picture from stocks rolling below average at discount.
Premium or discount — each tells a different story
Futures trading at a premium to spot (contango) signals positive carry — the market is willing to pay more for future delivery, typically in bullish conditions. A discount (backwardation) suggests negative carry — often associated with stock availability, dividend adjustments, or bearish sentiment.
We track basis changes day-over-day and flag stocks where the basis has moved outside its normal range. A stock that was at premium flipping to discount without a dividend event is worth understanding.
Cost of carry reveals the implied interest rate
The futures price isn't just the spot price plus sentiment — it includes an implied financing rate (cost of carry). When cost of carry spikes above the risk-free rate, it suggests leverage demand or short-squeeze dynamics. When it drops below, it signals excess supply or negative sentiment.
Risk-free rate (6.5% p.a.) shown as baseline. CoC above 6.5% suggests leverage demand.
How we research stock futures
Every futures report follows this four-step process — from raw exchange data to a published research note.
Data Capture
Futures data pulled from NSE — OI, price, basis, rollover and carry for every F&O stock across near-month and next-month contracts.
Quadrant Classification
Each stock is classified into one of four OI-price quadrants. Deviations from the previous week's quadrant are flagged for attention.
Contextual Analysis
Rollover, basis and CoC are compared to each stock's 3-series and 6-series history. A stock at 80% rollover is only meaningful relative to its own pattern.
Publish
Research notes published weekly — rollover trends, quadrant shifts, basis anomalies, and stocks worth watching for the next series.
Futures research — what to expect
What is rollover and why does it matter?+
Rollover is the percentage of open interest that moves from the near-month futures contract to the next-month contract as expiry approaches. A high rollover (above 70%) signals that existing positions are being carried forward with conviction. A low rollover suggests traders are closing rather than extending — often a bearish signal for the next series.
What does basis tell you about a stock?+
Basis is the difference between the futures price and the spot price. Positive basis (premium) means futures are trading above spot — typically in bullish conditions or when carrying costs apply. Negative basis (discount) means futures are below spot — often seen when dividends are expected, or when sentiment is bearish and shorts are paying to roll.
How is cost of carry different from basis?+
Cost of carry is the annualised implied financing rate embedded in the futures price — calculated from the basis and time to expiry. A cost of carry above the risk-free rate suggests leverage demand (bullish). Below the risk-free rate signals the opposite. Basis is the raw price difference; cost of carry normalises it for comparison across stocks.
Do you make trade recommendations based on futures data?+
No. We publish the data, the quadrant classification, and our interpretation of what the futures market is signalling. We do not issue buy, sell or hold calls on futures contracts. The decision to trade — or not — is entirely yours.
How often are futures reports published?+
A full rollover and quadrant report is published weekly. Additional notes are published when there are significant basis shifts, ahead of expiry, or when the quadrant map changes meaningfully between scheduled reports.
Can I access historical rollover and quadrant data?+
Yes. Subscribers can access the previous 6 series of rollover and quadrant data for every F&O stock through our research archives.
Read your first futures research report — free.
Full rollover analysis, quadrant map and basis tracker for the current monthly series.