FII Derivative Trade Statistics 13-Aug
(Rs Cr) Buy
Index Futures 1529.29 1752.62 28032.80
Index Options 54569.44 54390.39 59919.43
Stock Futures 12866.84 12761.99 85069.47
Stock Options 9595.79 9402.28 10253.27
Total 78561.36 78307.28 183274.97
Put Call Ratio (OI) 1.66 1.75 -0.09
Indian Debt Market
Put Call Ratio(Vol) 1.05 1.24 -0.20
13-Aug Wk. Ago Mth. Ago
Call Rate 6.34% 6.29% 6.16% 5.85%
CBLO 6.34% 6.24% 6.23% 5.89%
Repo 6.50% 6.50% 6.25% 6.00%
Reverse Repo 6.25% 6.25% 6.00% 5.75%
91 Day T-Bill 6.65% 6.76% 6.53% 6.11%
364 Day T-Bill 7.23% 7.23% 7.19% 6.22%
10 Year Gilt 7.82% 7.77% 7.79% 6.50%
G-Sec Vol. (Rs.Cr) 35977 18937 37952 39777
Currency Market Update
FBIL MIBOR 6.50% 6.45% 6.29% 5.99%
3 Month CP Rate 7.65% 7.55% 7.55% 6.56%
5 Year Corp Bond 8.67% 8.64% 8.76% 7.39%
1 Month CD Rate 6.80% 6.60% 6.38% 6.13%
3 Month CD Rate 7.12% 6.98% 6.98% 6.19%
1 Year CD Rate 8.00% 7.95% 7.99% 6.49%
Commodity Market Update
Currency 13-Aug Prev_Day
USD/INR 69.47 68.95 0.51
GBP/INR 88.63 88.19 0.44
EURO/INR 79.19 79.00 0.19
JPY/INR 0.63 0.62 0.01
Commodity 13-Aug Wk Ago Mth. Ago
NYMEX Crude($/bl) 67.20 68.96 70.98 48.76
Brent Crude($/bl) 69.81 72.15 73.80 51.76
Gold( $/oz) 1193 1206 1241 1289
Gold(Rs./10 gm) 29674 29491 30080 29002
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty August 2018 Futures closed at 11,381.15, a premium of 24.40
points, above the spot closing of 11,355.75. The turnover on NSE’s
Futures and Options segment increased to Rs. 6,76,611.05 on Aug 13
compared with Rs. 5,53,971.86 on Aug 10.
• The Put-Call ratio stood at 0.91 against previous session’s close of 0.99.
• The Nifty Put-Call ratio stood at 1.66 compared with the previous
session’s close of 1.75.
• Open interest on Nifty Futures stood at 29.67 million as against the
previous session’s close at 29.90 million.
• Bond yields surged as rupee declined to a record low against the
greenback after the Turkish lira plunged against the greenback which
particularly impacted emerging economies. Market participants also
remained on the sidelines ahead of the release of retail inflation data for
• Yield on the 10-year benchmark paper (7.17% GS 2028) increased 7
bps to close at 7.82% as against its previous close of 7.75%. During the
session, bond yields traded in the range of 7.78% and 7.83%.
• Banks borrowed Rs 55 crore under the central bank’s Marginal
Standing Facility on Aug 10. On Aug 9, it did not borrow.
• RBI conducted auction of 7-day variable rate reverse repo for notified
amount of Rs. 40,000 crore of which Rs. 19,389 crore was accepted at a
cut-off rate of 6.49%.
• The rupee declined to a record low against the greenback as a fallout
of the tumbling Turkish lira that adversely impacted the financial market
of emerging economies.
• The euro remained weak, far below the 1.15 mark, against the
greenback as the European banks’ vulnerability to the falling Turkish lira
continued to be a concern. The political unrest in Italy, too, kept market
participants cautious and weighed on the currency.
• Gold prices lowered as the greenback registered gains against major
currencies amid the financial crisis in Turkey.
• Brent crude prices marginally fell amid the currency crises in Turkey,
which hurt the demand outlook for fuel.
• The Central Bank of the Republic of Turkey adopted measures improve
liquidity in the foreign exchange market to strengthen the Turkish Ira
that had plunged to a record low. The Central Bank of the Republic of
Turkey lowered reserve requirement ratios by 250 bps for all maturity
brackets and by the same magnitude for non-core foreign exchange
liabilities by 400 bps for the various maturities.
• Data from Istat showed that Italy's consumer price inflation
accelerated as initially estimated in Jul 2018. Consumer prices grew 1.5%
on a yearly basis in Jul, faster than 1.3% rise in Jun 2018. However, core
inflation which excludes energy and unprocessed food, eased to 0.7%
from 0.8% in the same time period. On a monthly basis, consumer prices
grew 0.3% in Jul 2018.