FII Derivative Trade Statistics 07-Mar
(Rs Cr) Buy
Index Futures 2854.85 2344.21 14742.90
Index Options 76650.90 75623.15 63977.40
Stock Futures 9601.10 8891.73 74573.89
Stock Options 6266.24 6273.55 4918.13
Total 95373.09 93132.64 158212.32
07-Mar Prev_Day
Put Call Ratio (OI) 1.09 1.14 -0.05
Indian Debt Market
Put Call Ratio(Vol) 0.74 0.83 -0.09
07-Mar Wk. Ago Mth. Ago
Call Rate 5.89% 5.93% 5.88% 5.98%
CBLO 5.85% 5.84% 5.90% 5.72%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.25% 6.31% 6.40% 5.95%
364 Day T-Bill 6.65% 6.64% 6.58% 6.19%
10 Year Gilt 7.68% 7.73% 7.53% 6.83%
G-Sec Vol. (Rs.Cr) 29746 19186 38287 27293
Currency Market Update
1 Month CP Rate 7.85% 6.88% 6.88% 6.61%
3 Month CP Rate 7.92% 7.92% 7.79% 6.83%
5 Year Corp Bond 8.11% 8.06% 7.86% 7.58%
1 Month CD Rate 7.11% 6.25% 6.25% 6.18%
3 Month CD Rate 7.19% 7.25% 7.24% 6.28%
1 Year CD Rate 7.47% 7.58% 7.52% 6.64%
Commodity Market Update
Currency 07-Mar Prev_Day
USD/INR 64.96 64.99 -0.03
GBP/INR 90.34 89.91 0.43
EURO/INR 80.75 80.21 0.54
International News
JPY/INR 0.62 0.61 0.00
Commodity 07-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 61.08 61.42 61.89 52.63
Brent Crude($/bl) 65.18 66.72 65.48 54.40
Gold( $/oz) 1325 1318 1318 1216
Gold(Rs./10 gm) 30565 30398 30182 28978
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Mar 2018 Futures were at 10171.55 points, a premium of 17.35
points, over the spot closing of 10,154.20. The turnover on NSE’s Futures
and Options segment went up from Rs. 7,15,138.13 crore on Mar 6 to
Rs. 8,70,651.46 crore on Mar 7.
• The Put-Call ratio stood at 0.71 against previous session’s close of 0.85.
• The Nifty Put-Call ratio stood at 1.09 against previous session’s close of
1.14.
• Open interest on Nifty Futures stood at 26.37 million as against the
previous session’s close of 26.15 million.
• Bond yields plunged as investors resorted to value buying and amid
expectations of improving liquidity conditions this month.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 9 bps to
close at 7.68% as against previous session’s close of 7.77%. During the
session, bond yields traded in the range of 7.67% and 7.77%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,135 crore (gross) on Mar 7 compared with
Rs. 3,600 crore on Mar 6. Sale of securities under Reserve Bank of India’s
(RBI) reverse repo window stood at Rs. 24,335 crore on Mar 6.
• Banks borrowed Rs. 900 crore under the central bank’s Marginal
Standing Facility on Mar 6 as compared to no borrowing on Mar 5.
• RBI conducted an overnight variable rate reverse repo auction for a
notified amount of Rs. 15,000 crore for which Rs. 15,001 crore was
allotted at a cut-off rate of 5.99%.
• The Indian rupee rose against the greenback as the latter remained
under pressure following the resignation of the U.S. President’s chief
economic advisor, renewed concerns of a global trade war. The rupee
rose 0.12% to close at 64.88 per dollar from the previous close of 64.96.
• The Euro inched up against the greenback as the latter remained
under pressure following the resignation of the U.S. President’s chief
economic advisor. Euro was trading at $1.2410, up 0.06% compared
with the previous close of $1.2402.
• Gold prices traded lower amid speculation over faster than expected
rate hike by U.S. Federal Reserve.
• Brent Crude prices traded higher as the positive impact of IEA’s report
on global oil demand outlook continued to outweigh concerns over
growing U.S. oil supply.
• According to the Commerce Department, U.S. factory orders fell 1.4%
in Jan 2018 from upwardly revised 1.8% rise in Dec 2018. The decrease
in factory orders was primarily due to fall in orders for durable goods by
3.6% in Jan where as non-durable goods rose 0.8% in Jan.
• According to data from Eurostat, gross domestic product (GDP) of euro
area grew 0.6% sequentially in fourth quarter of 2017, at a slightly
slower rate as estimated, following 0.7% expansion in the third quarter
of 2017. In 2017, euro area rose 2.3% instead of 2.5% estimated
previously. The economy had expanded 1.8% in 2016.
• According to data from the Lloyds bank subsidiary Halifax and IHS
Markit, U.K. house prices rose 1.8%, weakest since Mar 2013, YoY in
three months to Feb 2018 as compared with 2.2% rise in Jan 2018.