FII Derivative Trade Statistics 28-Jun
(Rs Cr) Buy
Index Futures 10353.25 10343.21 26872.54
Index Options 122693.77 123999.43 74259.01
Stock Futures 37957.55 37763.41 82023.24
Stock Options 7499.93 7473.61 10066.31
Total 178504.50 179579.66 193221.10
Put Call Ratio (OI) 1.12 1.33 -0.21
Indian Debt Market
Put Call Ratio(Vol) 0.81 0.83 -0.02
28-Jun Wk. Ago Mth. Ago
Call Rate 6.13% 6.24% 5.86% 6.05%
CBLO 6.11% 6.29% 5.86% 6.19%
Repo 6.25% 6.25% 6.00% 6.25%
Reverse Repo 6.00% 6.00% 5.75% 6.00%
91 Day T-Bill 6.45% 6.40% 6.25% 6.27%
364 Day T-Bill 7.13% 7.03% 6.19% 6.37%
10 Year Gilt 7.94% 7.77% 7.74% 6.50%
G-Sec Vol. (Rs.Cr) 21857 43995 35810 52734
Currency Market Update
FBIL MIBOR 6.24% 6.35% 6.05% 6.25%
3 Month CP Rate 7.55% 7.58% 8.25% 6.69%
5 Year Corp Bond 8.81% 8.65% 8.68% 7.50%
1 Month CD Rate 7.21% 6.85% 6.77% 6.33%
3 Month CD Rate 7.01% 7.12% 7.91% 6.35%
1 Year CD Rate 8.08% 8.04% 8.23% 6.69%
Commodity Market Update
Currency 28-Jun Prev_Day
USD/INR 68.94 68.52 0.41
GBP/INR 90.21 90.60 -0.39
EURO/INR 79.64 79.87 -0.23
JPY/INR 0.63 0.62 0.00
Commodity 28-Jun Wk Ago Mth. Ago
NYMEX Crude($/bl) 73.40 65.68 67.87 44.69
Brent Crude($/bl) 75.75 72.61 77.14 46.49
Gold( $/oz) 1248 1267 1298 1249
Gold(Rs./10 gm) 30488 30437 30901 28797
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose for the fifth consecutive day after the rupee fell to a
record low. Higher global crude oil prices raised worries about faster
consumer inflation rate and a likely rate hike going forward.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 7 bps to
close at 7.94% as against its previous close of 7.87%. During the session,
bond yields traded in the range of 7.90% and 7.94%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,723 crore (gross) on Jun 28, compared with
Rs. 3,841 crore (gross) borrowed on Jun 27.
• Banks did not borrowed under the central bank’s Marginal Standing
Facility on Jun 27 as well as on Jun 26.
• RBI conducted a 7-day variable rate reverse repo auction for a notified
amount of Rs. 20,000 crore for which Rs. 3,411 crore was allotted at a
cut-off rate of 6.24%.
• According to a report released by the Commerce Department, U.S.
durable goods fell 0.6% in May 2018 following fall of 0.1% in Apr 2018.
The decline was however less than market expectations.
• According to a report by the National Association of Realtors, U.S.
pending home sales index unexpectedly declined 0.5% to 105.9 in May
2018 as compared with 1.3% decline to 106.4 in Apr 2018. The
unexpected drop in pending home sales was due to a notable decrease
in the South.
• According to the Ministry of Economy, Trade and Industry, retail sales
in Japan fell sharply by 1.7% MoM in May 2018 as against 1.3% rise in
Apr 2018. On a yearly basis, retail sales growth decreased 0.6% in May
as against 1.5% in Apr.
• Nifty Jun 2018 Futures settled at spot closing of 10,589.10. Nifty July
2018 Futures settled at 10,571.10, a discount of 18.00 points, below the
spot closing. The turnover on NSE’s Futures and Options segment went
up to Rs. 19,55,855.51 crore on Jun 28 from Rs. 12,64,849.26 crore on
• The Put-Call ratio stood at 0.81 against previous session’s close of 0.85.
• The Nifty Put-Call ratio stood at 1.12 against the previous session’s
close of 1.33.
• Open interest on Nifty Futures stood at 29.92 million as against the
previous session’s close at 28.69 million.
• The rupee plummeted to a 58-month low against the greenback after
breaching the 69-level for the first time ever as losses in the domestic
equity market hurt the rupee. Market participants also remained wary as
protectionist trade policies of the U.S. threatened to cause a global trade
• The euro inched up against the greenback as the real gross domestic
product of the U.S. economy in the first quarter of 2018 was downwardly
revised to 2.0% from the previous estimate of 2.2%.
• Gold prices inched up on weak dollar against the euro and on persisting
trade concerns between U.S. and China.
• Brent crude prices rose on supply disruptions from Canada to Libya and
after the U.S. EIA said in its weekly report that crude oil inventories fell by
9.891 million barrels in the week to Jun 22.