FII Derivative Trade Statistics 08-Feb
(Rs Cr) Buy
Index Futures 3161.85 4912.93 17777.55
Index Options 103224.20 102637.86 83211.66
Stock Futures 12052.77 10810.53 76265.99
Stock Options 6797.29 6914.19 7153.01
Total 125236.11 125275.51 184408.21
Put Call Ratio (OI) 1.09 1.01 0.08
Indian Debt Market
Put Call Ratio(Vol) 0.91 0.81 0.10
08-Feb Wk. Ago Mth. Ago
Call Rate 5.90% 5.89% 5.88% 6.03%
CBLO 5.91% 5.84% 5.81% 6.11%
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% 6.34% 6.00% 6.11%
364 Day T-Bill 6.55% 6.54% 6.43% 6.20%
10 Year Gilt 7.47% 7.60% 7.13% 6.75%
G-Sec Vol. (Rs.Cr) 50448 48397 43017 48870
Currency Market Update
1 Month CP Rate 6.89% 6.95% 6.87% 6.66%
3 Month CP Rate 7.79% 7.76% 7.34% 6.98%
5 Year Corp Bond 7.87% 7.89% 7.67% 7.32%
1 Month CD Rate 6.24% 6.27% 6.23% 6.30%
3 Month CD Rate 7.24% 7.19% 6.70% 6.52%
1 Year CD Rate 7.52% 7.51% 7.07% 6.69%
Commodity Market Update
Currency 08-Feb Prev_Day
USD/INR 64.16 64.14 0.02
GBP/INR 89.19 89.50 -0.31
EURO/INR 78.75 79.43 -0.69
JPY/INR 0.59 0.59 0.00
Commodity 08-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 61.28 65.90 61.68 52.32
Brent Crude($/bl) 64.20 68.28 69.12 54.11
Gold( $/oz) 1319 1349 1320 1242
Gold(Rs./10 gm) 29881 30286 29492 29376
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Bond yields fell as investors were optimist that the Reserve Bank of
India (RBI) might not increase interest rates soon. Also, continuous
decline in global crude oil prices also improved investor sentiment.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 6 bps to
close at 7.47% as against previous session’s close of 7.53%. During the
session, bond yields traded in the range of 7.46% and 7.52%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 2,500 crore (gross) on Feb 8 compared with Rs.
4,789 crore on Feb 7. Sale of securities under RBI’s reverse repo window
stood at Rs. 9,922 crore on Feb 7.
• Banks borrowed Rs. 1,650 crore under the central bank’s Marginal
Standing Facility on Feb 7 as against no borrowing on Feb 6.
• RBI conducted a 7-day variable rate reverse repo auction for a notified
amount of Rs. 25,000 crore for which Rs. 14,620 crore was allotted at a
cut-off rate of 5.99%.
• The Bank of England kept key interest rate and asset purchase
programme on hold in its latest policy meeting. The Monetary Policy
Committee voted unanimously to maintain the benchmark rate at 0.50%
at the rate setting meeting. The bank had raised its key rate in Nov 2017,
thereby marking the first hike in a decade.
• China’s exports surpassed market expectations and grew 11.1% YoY in
Jan 2018, up from 10.9% growth in Dec 2017 driven by global demand.
Meanwhile, imports surged 36.9% YoY in Jan as factories lifted stocks
ahead of the holidays. Due to higher imports, the trade surplus fell to
$20.34 billion in Jan.
• Nifty Feb 2018 Futures were at 10,572.25 points, a discount of 4.60
points below the spot closing of 10,576.85. The turnover on NSE’s
Futures and Options segment went up from Rs. 7,26,957.69 crore on Feb
7 to Rs. 14,26,958.16 crore on Feb 8.
• The Put-Call ratio stood at 0.79 against previous session’s close of 0.80.
• The Nifty Put-Call ratio stood at 1.09 against previous session’s close of
• India VIX moved down 8.70% to 17.7725 from 19.4650 in the previous
• Open interest on Nifty Futures stood at 24.69 million as against the
previous session’s close of 23.50 million.
• The Indian rupee remained almost steady against the U.S. dollar as
weakness due to broad gains in greenback neutralized positive impact of
dollar sales by corporates and foreign banks. The rupee rose 0.03% to
close at 64.26 per dollar from the previous close of 64.28.
• Euro fell for the second consecutive session against the U.S. dollar after
U.S. congressional leaders agreed on a two-year budget deal to raise
government spending by almost $300 billion. Euro was trading at $1.2224
compared with the previous close of $1.2262.
• Gold prices traded lower as upbeat weekly jobless data led to the
speculation over a probable rate hike by the U.S. Federal Reserve.
• Brent crude prices remained low as lingering concerns over rising
production in the U.S. sent prices to their lowest levels in around five