FII Derivative Trade Statistics 27-Aug
(Rs Cr) Buy
Index Futures 2405.07 2452.13 32684.19
Index Options 77567.79 77570.68 70809.87
Stock Futures 15459.29 15681.79 88420.58
Stock Options 11480.39 11614.81 12203.26
Total 106912.54 107319.41 204117.90
27-Aug Prev_Day
Put Call Ratio (OI) 1.85 1.63 0.22
Indian Debt Market
Put Call Ratio(Vol) 1.13 1.09 0.05
27-Aug Wk. Ago Mth. Ago
Call Rate 6.34% 6.38% 6.14% 5.90%
CBLO 6.40% 6.38% 6.21% 5.96%
Repo 6.50% 6.50% 6.25% 6.00%
Reverse Repo 6.25% 6.25% 6.00% 5.75%
91 Day T-Bill 6.77% 6.79% 6.70% 6.13%
364 Day T-Bill 7.28% 7.28% 7.23% 6.22%
10 Year Gilt 7.89% 7.84% 7.78% 6.54%
G-Sec Vol. (Rs.Cr) 23721 17078 18953 36130
Currency Market Update
FBIL MIBOR 6.54% 6.50% 6.27% 6.05%
3 Month CP Rate 7.80% 7.75% 7.50% 6.55%
5 Year Corp Bond 8.67% 8.66% 8.66% 7.39%
1 Month CD Rate 6.69% 6.53% 6.88% 6.06%
3 Month CD Rate 7.23% 7.18% 7.33% 6.19%
1 Year CD Rate 7.99% 8.01% 7.99% 6.49%
Commodity Market Update
Currency 27-Aug Prev_Day
USD/INR 70.04 70.14 -0.10
GBP/INR 89.95 89.97 -0.02
EURO/INR 81.30 81.17 0.13
International News
JPY/INR 0.63 0.63 0.00
Commodity 27-Aug Wk Ago Mth. Ago
NYMEX Crude($/bl) 69.62 66.45 68.61 47.62
Brent Crude($/bl) 73.60* 70.30 75.48 52.51
Gold( $/oz) 1211 1190 1223 1291
Gold(Rs./10 gm) 29869 29381 29722 28879
Source: Thomson Reuters Eikon *As on Aug 24, 2018
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Derivative Statistics- Nifty Options
• Nifty August 2018 Futures closed at 11705.35, a premium of 13.40
points, above the spot closing of 11,691.95. The turnover on NSE’s
Futures and Options segment increased to Rs. 7,83,115.45 on Aug 27
compared with Rs. 7,19,822.91 on Aug 24.
• The Put-Call ratio stood at 1.01 against previous session’s close of
0.93.
• The Nifty Put-Call ratio stood at 1.85 compared with the previous
session’s close of 1.63.
• Open interest on Nifty Futures stood at 35.29 million as against the
previous session’s close at 34.54 million.
• Bond yields rose as weakening of the rupee and rise in crude oil prices
dampened demand for domestic bonds.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 2 bps to
close at 7.89% from the previous closing of 7.87% after trading in a
range of 7.86% to 7.90%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,948 crore (gross) on Aug 27 compared to a
borrowing of Rs. 7,649 crore on Aug 24. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 29,634
crore on Aug 24.
• Banks borrowed Rs. 30 crore under the central bank’s Marginal
Standing Facility on Aug 24 compared to that of Aug 23 when banks
borrowed Rs. 170 crore.
• The rupee fell record low against the U.S. dollar after increased
demand of greenback from importers outweighed early gains from steps
taken by China and remarks from the U.S. Federal Reserve chief.
• The euro rose against the greenback as investor’s sentiments
improved on hopes that U.S. and Mexico will arrive at a solution on the
North American Free Trade Agreement (NAFTA).
• Gold prices marginally inched down on stronger dollar and hopes of a
positive outcome U.S. and Mexican trade negotiations.
• Brent crude prices marginally moved down on concerns over the
global growth slowdown as the latest U.S-China trade talks did not end
with any major progress.
• The U.S. Federal Reserve Chief in a speech at the Jackson Hole
symposium affirmed that the U.S. Central Bank would continue with its
strategy of raising interest rates gradually so as to protect economic
growth.
• The People’s Bank of China (PBOC) changed the methodology of how it
manages the country’s currency. The PBOC announced that it was
reintroducing a calculation method knows as "counter-cyclical factor" in
order to keep the yuan's daily midpoint fixed to a relatively stable value.
• Data from Ifo Institute showed that Germany's business confidence
improved in Aug 2018. The business confidence index rose more-than-
expected to 103.8 in Aug 2018 from 101.7 in Jul 2018.