FII Derivative Trade Statistics 13-Jun
(Rs Cr) Buy
Index Futures 1748.40 2242.72 20022.40
Index Options 64868.93 65721.38 70194.37
Stock Futures 10207.99 9762.94 84444.20
Stock Options 5971.25 6086.56 8420.14
Total 82796.57 83813.60 183081.11
Put Call Ratio (OI) 1.62 1.59 0.03
Indian Debt Market
Put Call Ratio(Vol) 1.16 1.03 0.13
13-Jun Wk. Ago Mth. Ago
Call Rate 6.08% 5.88% 5.92% 6.04%
CBLO 6.14% 5.71% 5.36% 6.12%
Repo 6.25% 6.25% 6.00% 6.25%
Reverse Repo 6.00% 6.00% 5.75% 6.00%
91 Day T-Bill 6.43% 6.52% 6.25% 6.26%
364 Day T-Bill 7.02% 6.99% 6.66% 6.30%
10 Year Gilt 7.93% 7.92% 7.73% 6.49%
G-Sec Vol. (Rs.Cr) 27689 25056 19290 78177
Currency Market Update
FBIL MIBOR 6.25% 5.96% 6.03% 6.24%
3 Month CP Rate 7.75% 7.80% 7.95% 6.68%
5 Year Corp Bond 8.72% 8.67% 8.50% 7.56%
1 Month CD Rate 6.99% 7.35% 6.64% 6.28%
3 Month CD Rate 7.16% 7.54% 7.45% 6.36%
1 Year CD Rate 8.44% 8.32% 7.94% 6.72%
Commodity Market Update
Currency 13-Jun Prev_Day
USD/INR 67.63 67.46 0.17
GBP/INR 90.33 90.06 0.27
EURO/INR 79.39 79.35 0.04
JPY/INR 0.61 0.61 0.00
Commodity 13-Jun Wk Ago Mth. Ago
NYMEX Crude($/bl) 66.63 64.75 70.64 46.36
Brent Crude($/bl) 74.16 72.32 78.36 46.39
Gold( $/oz) 1299 1296 1318 1265
Gold(Rs./10 gm) 30385 30660 31379 28720
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell likely due to short covering by foreign banks before the
U.S. Federal Reserve’s monetary policy meeting outcome later during
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 4 bps to
close at 7.93% from the previous close of 7.97%. During the session,
bond yields traded in the range of 7.92% and 7.97%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,841 crore (gross) on Jun 13, compared with
Rs. 3,728 crore (gross) on Jun 12. Sale of securities under Reserve Bank
of India’s (RBI) reverse repo window stood at Rs. 10,094 crore on Jun 12.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Jun 12 as compared with borrowing of Rs. 15 crore on Jun 11.
• A report from the Labor department showed that U.S. Consumer
prices grew 0.2% in May 2018, similar to increase witnessed in Apr 2018.
Energy prices grew 0.9% in May as against a gain of 1.4% in Apr. Core
consumer prices excluding food and energy prices grew 0.2% in May
after edging up 0.1% in Apr.
• A report from the Office for National Statistics showed that U.K. house
price index grew 3.9% YoY in Apr 2018, as against an increase of 4.2% in
Mar 2018. The average U.K. house price was GBP 227,000 in Apr 2018,
up GBP 9,000 from Apr 2017 but down GBP 3,000 from Mar 2018.
• Nifty June 2018 Futures were at 10844.85 points, a discount of 11.85
points, below the spot closing of 10,856.70. The turnover on NSE’s
Futures and Options segment went up to Rs. 6,93,000.92 crore on June
13 from Rs. 6,13,694.61 crore on June 12.
• The Put-Call ratio stood at 0.97 against previous session’s close of 0.88.
• The Nifty Put-Call ratio stood at 1.62 against the previous session’s
close of 1.59.
• India VIX moved down 1.64% to 12.5200 from 12.7300 in the previous
• Open interest on Nifty Futures stood at 25.59 million as against the
previous session’s close at 24.73 million.
• The rupee weakened against the greenback on concerns that the U.S.
Federal Reserve might increase interest rates in its monetary policy
review due Jun 13, 2018. However, selling of the U.S. dollar by state run
banks restricted further losses. The rupee fell 0.24% to close at 67.64 per
dollar from the previous close of 67.48 per dollar.
• The euro rose against the greenback ahead of the outcome of the U.S.
Federal Reserve monetary policy review due later in the day. Euro was
trading at $1.1768, up 0.21% from the previous close of 1.1743.
• Gold prices traded almost on a flat note as investors remained cautious
ahead of the U.S. Fed’s monetary policy decision meeting.
• Brent Crude prices traded lower after report from American Petroleum
Institute showed that crude oil inventories grew in the week to Jun 8 to