FII Derivative Trade Statistics 22-Mar
(Rs Cr) Buy
Index Futures 2046.98 3338.96 23591.89
Index Options 90950.14 90580.43 75475.91
Stock Futures 9432.07 8187.37 77153.86
Stock Options 5020.04 5001.06 7982.89
Total 107449.23 107107.82 184204.55
Put Call Ratio (OI) 1.06 1.07 -0.01
Indian Debt Market
Put Call Ratio(Vol) 0.94 0.93 0.01
22-Mar Wk. Ago Mth. Ago
Call Rate 5.93% 5.91% 5.94% 5.97%
CBLO 5.88% 5.85% 5.99% 5.84%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.13% 6.15% 6.32% 5.86%
364 Day T-Bill 6.50% 6.53% 6.62% 6.00%
10 Year Gilt 7.56% 7.63% 7.75% 6.81%
G-Sec Vol. (Rs.Cr) 32468 30469 31124 56143
Currency Market Update
1 Month CP Rate 7.74% 7.81% 6.90% 6.59%
3 Month CP Rate 7.34% 7.68% 7.89% 6.66%
5 Year Corp Bond 7.91% 7.98% 7.99% 7.55%
1 Month CD Rate 6.90% 7.06% 6.25% 6.25%
3 Month CD Rate 6.85% 7.01% 7.26% 6.29%
1 Year CD Rate 7.30% 7.40% 7.52% 6.70%
Commodity Market Update
Currency 22-Mar Prev_Day
USD/INR 65.06 65.22 -0.15
GBP/INR 92.06 91.33 0.73
EURO/INR 80.37 79.96 0.41
JPY/INR 0.61 0.61 0.00
Commodity 22-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 64.24 61.15 62.69 47.19
Brent Crude($/bl) 68.57 63.31 65.96 49.45
Gold( $/oz) 1329 1316 1331 1249
Gold(Rs./10 gm) 30495 30320 30384 28793
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell for the second consecutive session amid optimism that
the government will take several measures to address demand-supply
issues in FY19. However, higher crude oil prices and rate hike by the U.S.
Federal Reserve capped the gains.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 2 bps to
close at 7.56% as against previous session’s close of 7.58%. During the
session, bond yields traded in the range of 7.54% and 7.61%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 5,144 crore (gross) on Mar 22 compared with
Rs. 6,017 crore on Mar 21. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 18,445 crore on Mar 21.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Mar 21 compared with that of Rs. 248 crore borrowed on Mar
• According to the Labor Department, U.S initial weekly jobless claims
unexpectedly rose by 3,000 to 229,000 from the previous week's
unrevised level of 226,000. Four-week moving average also edged up by
2,250 to 223,750 from the previous week's unrevised average of
• Japan's all industry activity index dropped 1.8% MoM in Jan 2018
compared with a rise of 0.6% in Dec 2017. The index fell for the first
time after rising for three consecutive months. Industrial production
dropped 6.8% MoM and tertiary activity index fell 0.6% but construction
output showed a gain of 1.7%.
• Nifty Mar 2018 Futures were at 10,127.85 points, a premium of 13.10
points, above the spot closing of 10,114.75. The turnover on NSE’s
Futures and Options segment went up from Rs. 8,14,332.32 crore on Mar
21 to Rs. 13,65,419.39 crore on Mar 22.
• The Put-Call ratio, stood at 0.82 against previous session’s close of 0.87.
• The Nifty Put-Call ratio stood at 1.06 against the previous session’s
close at 1.07.
• India VIX moved up 0.93% to 15.2475 from 15.1075 in the previous
• Open interest on Nifty Futures stood at 28.95 million as against the
previous session’s close of 28.47 million.
• The Indian rupee rose against the U.S. dollar after the U.S. Federal
Reserve decided to maintain its interest rate projection of three rate
hikes in 2018. The rupee rose 0.16% to close at 65.10 per dollar from the
previous close 65.21.
• The euro eased against the U.S. dollar as market participants digested
the implications of a generally dovish outlook from the U.S. Federal
Reserve after it raised interest rates by 25 bps as widely market
expected. Euro was last seen trading at $1.2316 compared with the
previous close of $1.2336.
• Gold prices traded lower after U.S. Federal Reserve raised interest rates
but stuck to its forecast for two more hikes in 2018.
• Brent Crude prices traded lower amid lingering concerns over rising
production amid reports that U.S. crude oil production rose by 0.3% from
the previous week.