FII Derivative Trade Statistics 07-Feb
(Rs Cr) Buy
Index Futures 5707.45 7345.69 18270.33
Index Options 129441.34 126605.14 78384.50
Stock Futures 16169.79 14733.16 75111.83
Stock Options 9939.15 9980.21 6738.22
Total 161257.73 158664.20 178504.88
Put Call Ratio (OI) 1.01 1.13 -0.12
Indian Debt Market
Put Call Ratio(Vol) 0.81 0.99 -0.18
07-Feb Wk. Ago Mth. Ago
Call Rate 5.88% 5.92% 5.88% 6.09%
CBLO 5.90% 5.85% 4.79% 6.19%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.40% 6.36% 6.13% 6.10%
364 Day T-Bill 6.58% 6.58% 6.47% 6.13%
10 Year Gilt 7.53% 7.43% 7.17% 6.43%
G-Sec Vol. (Rs.Cr) 38287 33473 52738 50374
Currency Market Update
1 Month CP Rate 6.88% 6.95% 6.81% 6.64%
3 Month CP Rate 7.79% 7.76% 7.24% 6.98%
5 Year Corp Bond 7.86% 7.82% 7.67% 7.08%
1 Month CD Rate 6.25% 6.27% 6.20% 6.16%
3 Month CD Rate 7.24% 7.17% 6.77% 6.36%
1 Year CD Rate 7.52% 7.47% 7.10% 6.51%
Commodity Market Update
Currency 07-Feb Prev_Day
USD/INR 64.14 64.27 -0.13
GBP/INR 89.50 89.72 -0.22
EURO/INR 79.43 79.52 -0.09
JPY/INR 0.59 0.59 0.00
Commodity 07-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 61.89 64.77 61.44 52.14
Brent Crude($/bl) 65.48 67.65 68.50 53.48
Gold( $/oz) 1318 1345 1320 1234
Gold(Rs./10 gm) 30182 30207 29443 29305
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Bond yields fell as the policy meeting by the Monetary Policy
Committee (MPC) was less hawkish than feared by investors. Also, no
clarity on future rate hike by the MPC soothed investors’ nerves.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 4 bps to
close at 7.53% as against previous session’s close of 7.57%. During the
session, bond yields traded in the range of 7.49% and 7.61%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,789 crore (gross) on Feb 7 compared with Rs.
2,420 crore on Feb 6. Sale of securities under Reserve Bank of India’s
(RBI) reverse repo window stood at Rs. 6,557 crore on Feb 6.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Feb 6 as against borrowing of Rs. 20 crore on Feb 5.
• According to the European Commission, euro zone’s economy will
grow from 2.3% in 2018, up from the previous expectation of 2.1%.
Similarly, it now expects 2% growth in 2019 as against its previous
expectation of 1.9%. The upside is driven by stronger cyclical
momentum in Europe and better than expected pick-up in global
economic activity and trade.
• A report from Destatis showed that Germany’s industrial output fell
0.6% MoM in Dec 2017 as against revised 3.1% gain in Nov 2017.
Production (excluding energy and construction) fell 0.7%. Energy
production grew 1.4% in Dec and construction output fell 1.7%.
• Nifty Feb 2018 Futures were at 10,465.55 points, a discount of 11.15
points below the spot closing of 10,476.70. The turnover on NSE’s
Futures and Options segment went down from Rs. 9,44,331.22 crore on
Feb 6 to Rs. 7,26,957.69 crore on Feb 7.
• The Put-Call ratio stood at 0.80 against previous session’s close of 0.80.
• The Nifty Put-Call ratio stood at 1.01 against previous session’s close of
• India VIX moved down 2.75% to 19.4650 from 20.0150 in the previous
• Open interest on Nifty Futures stood at 24.33 million as against the
previous session’s close of 23.50 million.
• The Indian rupee fell marginally as early gains in the domestic equity
market were minimised after MPC kept its policy rates steady. However,
losses were limited on greenback purchases by state-run banks. The
rupee fell 0.05% to close at 64.28 from the previous close of 64.24.
• Euro fell against the U.S. dollar on disappointment over reports that the
leader of Germany’s Social Democrats would not be taking over as
finance minister for Europe’s biggest economy. Euro was trading at
$1.2338 compared with the previous close of $1.2376.
• Gold prices slipped amid strength in U.S. dollar against euro.
• Brent crude prices traded lower following ongoing concerns over rising
U.S. stockpiles, which overshadowed Organization of Petroleum
Exporting Countries’ (OPEC) ongoing efforts to drain the market of excess