FII Derivative Trade Statistics 14-Feb
(Rs Cr) Buy
Index Futures 1338.27 2819.39 21674.60
Index Options 47883.09 48642.60 83876.59
Stock Futures 9271.56 9233.94 79056.11
Stock Options 8346.42 8342.92 8435.34
Total 66839.34 69038.85 193042.64
Put Call Ratio (OI) 1.09 1.11 -0.02
Indian Debt Market
Put Call Ratio(Vol) 0.93 0.85 0.08
14-Feb Wk. Ago Mth. Ago
Call Rate 5.98% 5.88% 5.91% 6.02%
CBLO 6.04% 5.90% 5.87% 6.13%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.36% 6.40% 6.29% 6.22%
364 Day T-Bill 6.58% 6.58% 6.30% 6.15%
10 Year Gilt 7.49% 7.53% 7.28% 6.87%
G-Sec Vol. (Rs.Cr) 38319 38287 27029 35171
Currency Market Update
1 Month CP Rate 6.88% 6.88% 6.87% 6.75%
3 Month CP Rate 7.90% 7.79% 7.38% 7.08%
5 Year Corp Bond 7.83% 7.86% 7.74% 7.37%
1 Month CD Rate 6.22% 6.25% 6.25% 6.23%
3 Month CD Rate 7.22% 7.24% 6.86% 6.45%
1 Year CD Rate 7.48% 7.52% 7.13% 6.63%
Commodity Market Update
Currency 14-Feb Prev_Day
USD/INR 64.13 64.28 -0.16
GBP/INR 89.17 89.02 0.15
EURO/INR 79.39 78.93 0.45
JPY/INR 0.60 0.59 0.01
Commodity 14-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 60.68 61.89 64.17 53.16
Brent Crude($/bl) 61.88 65.48 70.46 54.75
Gold( $/oz) 1351 1318 1338 1228
Gold(Rs./10 gm) 30200 30182 29838 29112
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Nifty Feb 2018 Futures were at 10495.20 points, a discount of 5.70
points below the spot closing of 10,500.90. The turnover on NSE’s
Futures and Options segment went up from Rs. 4,41,659.86 crore on
Feb 12 to Rs. 78,69,372 crore on Feb 14.
• The Put-Call ratio stood at 0.78 against previous session’s close of
• The Nifty Put-Call ratio stood at 1.09 against previous session’s close of
• Open interest on Nifty Futures stood at 27.41 million as against the
previous session’s close of 27.49 million.
• Bond yields remained almost unchanged as investors deferred
purchases amid a lack of fresh triggers.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 1 bps to
close at 7.49% as against previous session’s close of 7.50%. During the
session, bond yields traded in the range of 7.44% and 7.51%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 21,929 crore (gross) on Feb 14 compared with
Rs. 3,630 crore on Feb 12. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 6,697 crore on Feb 12.
• Banks borrowed Rs. 2,046 crore under the central bank’s Marginal
Standing Facility on Feb 12 as against borrowing of Rs. 20 crore on Feb 9.
• The Indian rupee rose against the greenback as the latter remained
under pressure ahead of the release of the U.S. inflation data due Feb
14. The rupee rose 0.34% to close at 64.09 per dollar from the previous
close of 64.31.
• Euro fell sharply against the greenback after data showed that U.S.
consumer prices rose more than expected in Jan 2018. Euro was trading
at $1.2290, down 0.49% compared with the previous close of $1.2350.
• Gold prices remained steady ahead of the U.S. inflation data which
may provide further cues on Federal Reserve’s policy stance.
• Brent crude prices gained after the Energy Minister from Saudi Arabia
stated that crude output in Mar 2018 will be 100,000 barrels per day
(bpd) below its Feb 2018 level.
• According to Eurostat, gross domestic product (GDP) rose as
previously estimated by 0.6% in the Dec quarter of 2017, in line with
expectations and slower than 0.7% increase in the Sep quarter of 2017.
On a yearly basis, GDP growth slowed to 2.7% from 2.8% in the
• Data from Destatis showed Germany’s GDP grew 0.6% QoQ in the Dec
quarter of 2017, in line with expectations and slower than the revised
0.7% increase in the Sep quarter of 2017. The growth came on the back
of improved foreign demand.
• According to a report from Destatis, Germany’s consumer price
inflation came in line with preliminary expectations and stood at 1.6%
YoY in Jan 2018, down from 1.7% in Dec 2017. Consumer prices fell 0.7%
in Jan MoM as against 0.6% increase in Dec.