FII Derivative Trade Statistics 27-Apr
(Rs Cr) Buy
Index Futures 6156.10 5394.39 11340.90
Index Options 102423.72 100526.55 50531.05
Stock Futures 33924.95 32384.17 76443.42
Stock Options 3964.75 3593.90 356.25
Total 146469.52 141899.01 138671.62
27-Apr Prev_Day
Put Call Ratio (OI) 1.52 1.70 -0.18
Indian Debt Market
Put Call Ratio(Vol) 1.12 1.08 0.04
27-Apr Wk. Ago Mth. Ago
Call Rate 6.02% 5.97% 6.00% 5.98%
CBLO 5.53% 6.01% 5.91% 6.10%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.19% 6.13% 6.11% 6.18%
364 Day T-Bill 6.45% 6.00% 6.47% 6.42%
10 Year Gilt 7.77% 7.72% 7.33% 6.94%
G-Sec Vol. (Rs.Cr) 23708 43122 61226 30634
Currency Market Update
FBIL MIBOR 6.00% 6.01% 6.05% 6.20%
3 Month CP Rate 7.40% 7.05% 7.39% 6.75%
5 Year Corp Bond 8.44% 8.42% 7.77% 7.48%
1 Month CD Rate 6.69% 6.56% 7.79% 6.17%
3 Month CD Rate 7.07% 6.79% 6.89% 6.35%
1 Year CD Rate 7.71% 7.43% 7.45% 6.69%
Commodity Market Update
Currency 27-Apr Prev_Day
USD/INR 66.78 66.83 -0.05
GBP/INR 92.89 93.17 -0.28
EURO/INR 80.74 81.38 -0.64
International News
JPY/INR 0.61 0.61 0.00
Commodity 27-Apr Wk Ago Mth. Ago
NYMEX Crude($/bl) 68.06 68.21 65.20 48.91
Brent Crude($/bl) 76.07 75.36 68.22 49.20
Gold( $/oz) 1322 1335 1344 1264
Gold(Rs./10 gm) 31190 31298 30718 28804
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose marginally as investors preferred to remain on the
sidelines ahead of a long weekend. U.S. Federal Reserve policy meet is
scheduled to be held next week.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 1 bps to
close at 7.77% from the previous close of 7.76%. During the session,
bond yields traded in the range of 7.74% and 7.77%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 18,926 crore (gross) on Apr 27 compared with
Rs. 12,290 crore on Apr 26. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 14,965 crore on Apr 26.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Apr 26 compared with borrowing of Rs. 130 crore on Apr 25.
• According to a report released by the Commerce Department, U.S.’
real gross domestic product (GDP) rose 2.3% in the first quarter of 2018,
which surpassed market expectations but was slower than 2.9% rise in
the fourth quarter of 2017.
• The Bank of Japan kept its monetary stimulus unchanged. Also, it
decided to hold its target of raising the amount of outstanding Japanese
Government Bonds (JGB) holdings at an annual pace of about JPY 80
trillion. The bank stated that it will purchase government bonds so that
the yield of 10-year JGBs will remain at approximately 0%.
• Nifty May 2018 Futures were at 10,723.80 points, a premium of 31.50
points, above the spot closing of 10,692.30. The turnover on NSE’s
Futures and Options segment went down to Rs. 4,96,948.05 crore on Apr
27 from Rs. 14,14,094.93 crore on Apr 26.
• The Put-Call ratio stood at 0.94 against previous session’s close of 0.86.
• The Nifty Put-Call ratio stood at 1.52 against the previous session’s
close of 1.70.
• India VIX moved down 1.57% to 11.8475 from 12.0375 in the previous
trading session.
• Open interest on Nifty Futures stood at 24.12 million as against the
previous session’s close of 31.88 million.
• The Indian rupee strengthened following greenback sales by exporters.
Rise in U.S. Treasury yields and crude oil prices arrested the rupee’s
gains. The rupee grew 0.13% to close at 66.66 per dollar from the
previous close of 66.75 per dollar.
• The euro weakened against the greenback as the latter strengthened
due to surge in U.S. Treasury yields. Euro fell 0.20% and was trading at
$1.2077, down from the previous close of 1.2101.
• Gold prices inched up as investors remained cautious ahead of U.S.
economic growth data for the first quarter.
• Brent crude prices fell marginally on easing geopolitical concerns after
North Korean leader and South Korean President decided to end seven
decades of tussle.