FII Derivative Trade Statistics 26-Jul
(Rs Cr) Buy
Index Futures 6260.86 6467.51 29419.70
Index Options 73143.32 73350.93 75228.23
Stock Futures 33107.54 33104.20 83616.83
Stock Options 7001.94 6610.56 8246.80
Total 119513.66 119533.20 196511.56
Put Call Ratio (OI) 1.95 1.89 0.06
Indian Debt Market
Put Call Ratio(Vol) 0.98 1.09 -0.11
26-Jul Wk. Ago Mth. Ago
Call Rate 6.20% 6.13% 6.16% 6.11%
CBLO 6.23% 6.18% 6.18% 6.25%
Repo 6.25% 6.25% 6.25% 6.25%
Reverse Repo 6.00% 6.00% 6.00% 6.00%
91 Day T-Bill 6.70% 6.55% 6.44% 6.15%
364 Day T-Bill 7.24% 7.20% 7.00% 6.23%
10 Year Gilt 7.76% 7.79% 7.83% 6.45%
G-Sec Vol. (Rs.Cr) 36463 31971 19847 29750
Currency Market Update
FBIL MIBOR 6.39% 6.29% 6.34% 6.26%
3 Month CP Rate 7.80% 7.55% 7.50% 6.51%
5 Year Corp Bond 8.72% 8.74% 8.73% 7.40%
1 Month CD Rate 6.73% 6.46% 7.03% 6.24%
3 Month CD Rate 7.18% 7.07% 6.96% 6.23%
1 Year CD Rate 8.01% 7.97% 8.06% 6.52%
Commodity Market Update
Currency 26-Jul Prev_Day
USD/INR 68.70 68.80 -0.10
GBP/INR 90.66 90.58 0.08
EURO/INR 80.60 80.45 0.15
JPY/INR 0.62 0.62 0.00
Commodity 26-Jul Wk Ago Mth. Ago
NYMEX Crude($/bl) 71.34 69.37 73.98 48.57
Brent Crude($/bl) 75.15 71.03 73.32 50.07
Gold( $/oz) 1222 1222 1259 1261
Gold(Rs./10 gm) 29869 29742 30394 28327
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell on hopes that the Monetary Policy Committee will
maintain status quo in its monetary policy review due on Aug 1, 2018.
Expectations that domestic inflationary pressures may come down in Jul
also boosted market sentiments. Strength in the domestic currency
against the greenback also added to the gains.
• Yield on the 10-year benchmark paper (7.17% GS 2028) went down 3
bps to close at 7.76% as against its previous close of 7.79%. During the
session, bond yields traded in the range of 7.75% and 7.81%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,923 crore (gross) on Jul 26, compared with
Rs. 16,156 crore (gross) borrowed on Jul 25.
• Banks borrowed Rs. 21 crore under the central bank’s Marginal
Standing Facility on Jul 25 compared with borrowing of Rs. 165 crore on
• A report from the U.S. Commerce Department revealed a higher than
expected fall in new home sales in the U.S. in Jun 2018. New home sales
dropped 5.3% to an annual rate of 631,000 in Jun after growing 3.9% to
a rate of 666,000 in May 2018.
• According to the Bank of Japan, producer prices in Japan grew 1.2%
YoY in Jun 2018, which was better that last two months growth rate of
1.0%. Month on month, producer prices inched up 0.2% after falling
0.1% in May 2018. The increase was driven by higher prices for
communications, advertising and real estate.
• Nifty July 2018 Futures settled at spot closing of 11,167.30. Nifty
August 2018 Futures settled at 11,201.35, a premium of 34.05 point over
the spot closing. The turnover on NSE’s Futures and Options segment
increased to Rs. 17,81,228.45 on Jul 26 from Rs. 9,05,673.15 on Jul 25.
• The Put-Call ratio stood at 0.92 against previous session’s close of 0.91.
• The Nifty Put-Call ratio stood at 1.95 compared with the previous
session’s close of 1.89.
• Open interest on Nifty Futures stood at 29.48 million as against the
previous session’s close at 28.92 million.
• The rupee rose against the greenback supported by gains in the
domestic market and easing trade dispute after the U.S. and the
European Union committed to work on reducing trade tariffs. The rupee
rose 0.17% to close at 68.66 against the previous close of 68.78.
• The euro went down against the greenback on hopes that the European
Central Bank will keep its monetary policy review on hold. Euro was last
seen trading at $1.1713, down 0.13% compared with the previous close
• Gold prices edged lower despite the weakness in the greenback against
the euro after the U.S. and the European Union came to terms on
lowering the trade tariff.
• Brent crude prices rose follwoing a drop in the U.S. inventory.