FII Derivative Trade Statistics 24-Jul
(Rs Cr) Buy
Index Futures 4408.85 5012.39 28553.36
Index Options 52233.59 52315.17 76027.99
Stock Futures 25002.96 25020.91 80325.78
Stock Options 7905.16 7923.61 8175.71
Total 89550.56 90272.08 193082.84
Put Call Ratio (OI) 1.89 1.80 0.09
Indian Debt Market
Put Call Ratio(Vol) 1.13 1.10 0.03
24-Jul Wk. Ago Mth. Ago
Call Rate 6.27% 6.12% 6.25% 6.10%
CBLO 6.38% 6.23% 5.39% 6.23%
Repo 6.25% 6.25% 6.25% 6.25%
Reverse Repo 6.00% 6.00% 6.00% 6.00%
91 Day T-Bill 6.63% 6.53% 6.45% 6.10%
364 Day T-Bill 7.21% 7.18% 7.05% 6.23%
10 Year Gilt 7.78% 7.75% 7.82% 6.41%
G-Sec Vol. (Rs.Cr) 25975 53995 29154 78149
Currency Market Update
FBIL MIBOR 6.39% 6.30% 6.31% 6.24%
3 Month CP Rate 7.80% 7.65% 7.58% 6.54%
5 Year Corp Bond 8.72% 8.71% 8.71% 7.39%
1 Month CD Rate 6.64% 6.50% 6.93% 6.23%
3 Month CD Rate 7.04% 7.05% 6.93% 6.24%
1 Year CD Rate 7.97% 7.98% 8.04% 6.52%
Commodity Market Update
Currency 24-Jul Prev_Day
USD/INR 69.05 68.70 0.35
GBP/INR 90.30 90.28 0.02
EURO/INR 80.54 80.56 -0.02
JPY/INR 0.62 0.62 0.00
Commodity 24-Jul Wk Ago Mth. Ago
NYMEX Crude($/bl) 70.02 67.98 68.82 46.20
Brent Crude($/bl) 74.17 70.31 73.41 47.75
Gold( $/oz) 1224 1227 1268 1255
Gold(Rs./10 gm) 29897 30044 30484 28539
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yield declined as crude oil prices remained steady. Aggressive
demand at state debt auction also added to the gains.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 3 bps to
close at 7.78% as against its previous close of 7.81%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 24,623 crore (gross) on Jul 24, compared with
Rs. 22,359 crore (gross) borrowed on Jul 23. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 6,862
crore on Jul 23.
• Banks borrowed Rs. 1,120 crore under the central bank’s Marginal
Standing Facility on Jul 23 compared with borrowing of Rs. 2,982 crore
on Jul 20.
• RBI conducted a 14-day variable rate repo auction for a notified
amount of Rs. 22,500 crore for which Rs. 22,508 crore was allotted at a
cut-off rate of 6.27%.
• According to a National Association of Realtors report, U.S. existing
home sales went down for the third consecutive month in Jun 2018,
defying expectations. Existing home sales decreased 0.6% to an annual
rate of 5.36 million in Jun from 5.41 million in May 2018. Expectations
were for a 0.5% rise.
• According to IHS Markit flash survey results, eurozone private sector
activity growth slowed at the beginning of the third quarter. This
happened because improvement in Germany was overshadowed by a
slowdown in France. The composite output index decreased to 54.3 in
Jul 2018 from 54.9 in Jun 2018. Expectations were for a fall to 54.8.
• Nifty July 2018 Futures were at 11,142, a premium of 7.70 points,
above the spot closing of 11,134.30. The turnover on NSE’s Futures and
Options segment went up to Rs. 8,74,238.49 on Jul 24 from Rs.
6,85,818.85 crore on Jul 23.
• The Put-Call ratio stood at 0.99 against previous session’s close of 0.88.
• The Nifty Put-Call ratio stood at 1.89 against the previous session’s
close of 1.80.
• India VIX moved down 4.53% to 12.4150 from 13.0050 in the previous
• Open interest on Nifty Futures stood at 29.29 million as against the
previous session’s close at 28.58 million.
• The rupee weakened against the U.S. dollar following rise in U.S.
Treasury yields which boosted demand of the greenback. However,
intervention by the central bank restricted further losses. The rupee fell
0.13% to close at 68.94 against the previous close of 68.86.
• The euro edged up against the greenback, after preliminary data
showed that eurozone business growth remained upbeat in Jul. However,
persisting concerns of a trade war capped the gains. Euro was last seen
trading at $1.1702, up 0.10% compared with the previous close of
• Gold prices traded higher as greenback depreciated against the euro.
• Brent Crude prices traded marginally lower amid concerns over
increased crude supplies from Russia, Saudi Arabia and other members of