FII Derivative Trade Statistics 01-Feb
(Rs Cr) Buy
Index Futures 2056.62 2140.33 18486.38
Index Options 53705.01 54052.68 63266.40
Stock Futures 10264.00 11016.46 78570.05
Stock Options 6631.52 6600.25 4005.32
Total 72657.15 73809.72 164328.15
Put Call Ratio (OI) 1.30 1.21 0.09
Indian Debt Market
Put Call Ratio(Vol) 0.89 0.93 -0.04
01-Feb Wk. Ago Mth. Ago
Call Rate 5.89% 5.91% 5.92% 6.05%
CBLO 5.84% 5.90% 5.79% 6.12%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.34% 6.40% 6.12% 6.17%
364 Day T-Bill 6.54% 6.51% 6.29% 6.14%
10 Year Gilt 7.80% 7.48% 7.34% 6.43%
G-Sec Vol. (Rs.Cr) 48397 39866 21453 76088
Currency Market Update
1 Month CP Rate 6.95% 6.93% 6.80% 6.73%
3 Month CP Rate 7.76% 7.75% 7.20% 7.06%
5 Year Corp Bond 7.89% 7.78% 7.70% 7.11%
1 Month CD Rate 6.27% 6.24% 6.26% 6.22%
3 Month CD Rate 7.19% 7.21% 6.31% 6.41%
1 Year CD Rate 7.51% 7.45% 6.99% 6.55%
Commodity Market Update
Currency 01-Feb Prev_Day
USD/INR 63.61 63.69 -0.08
GBP/INR 90.18 90.35 -0.18
EURO/INR 78.95 79.21 -0.27
JPY/INR 0.58 0.59 -0.01
Commodity 01-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.90 65.59 60.41 53.85
Brent Crude($/bl) 68.28 71.17 67.07 55.75
Gold( $/oz) 1349 1348 1302 1209
Gold(Rs./10 gm) 30286 30489 29363 29030
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Nifty Feb 2018 Futures were at 11,031.3 points, a premium of 14.40
points above the spot closing of 11,016.90. The turnover on NSE’s
Futures and Options segment went up from Rs. 4,73,999.37 crore on Jan
31 to Rs. 15,08,842.96 crore on Feb 1.
• The Put-Call ratio stood at 0.80 against previous session’s close of 0.84.
• The Nifty Put-Call ratio stood at 1.21 against previous session’s close of
• Open interest on Nifty Futures stood at 24.79 million as against the
previous session’s close of 25.51 million.
• Bond yields rose after the government widened its fiscal deficit aim to
3.3% for FY19 as compared to previous target of 3%. Investors were also
concerned that greater rural spending will increase the inflation of the
economy. Investors are also waiting for Monetary Policy Committee’s
meeting due on Feb 6 and Feb 7.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 17 bps to
close at 7.60% as against previous session’s close of 7.43%. During the
session, bond yields traded in the range of 7.37% and 7.61%.
• Yield on the old 10-year benchmark paper (6.79% GS 2027) rose 20 bps
to close at 7.80% as against previous session’s close of 7.60%. During the
session, bond yields traded in the range of 7.54% and 7.80%.
• According to the Scheduled Bank's Statement of Position in India as of
Jan 19, 2018, banks’ deposit and credit growth stood at 5.10% and
10.58% YoY, respectively.
• The Indian rupee plunged against the greenback after the government
widened its fiscal deficit aim to 3.3% for FY19 from the previous target
of 3.0%. Also, indication of rate hike by the U.S. Federal Reserve in the
near term boosted greenback’s demand. The rupee fell 0.68% to close at
64.02 per dollar from the previous close of 63.58 per dollar.
• The euro strengthened against the greenback following release of
upbeat euro zone manufacturing data in Jan 2018. Euro grew 0.27% and
was trading at $1.2454, up from the previous close of 1.2420.
• Gold prices inched down after the U.S. Federal Reserve (Fed) left
interest rates unchanged in its policy review as expected, but hinted to
raise rates at its next meeting in Mar 2018.
• Brent crude prices gained after data from the EIA showed that demand
for gasoline and distillates improved in the U.S.
• The U.S. Federal Reserve (Fed) voted to leave its benchmark interest
rate unchanged in a range between 1.25% and 1.50%. Meanwhile, Fed
indicated that it will increase the benchmark rate at its next meeting, in
late Mar 2018. This announcement comes on the wake of improving
economy and signs of inflation. Fed expects inflation to increase in 2018,
thereby increasing the possibility for one of three rate hikes projected
by the end of 2018.
• According to the latest survey from Caixin, China’s manufacturing PMI
came in at 51.5 in Jan 2018 and remained unchanged from Dec 2017. On
an individual basis, growth was supported by further, though slightly
softer, increases in total new work and new export sales.