FII Derivative Trade Statistics 23-May
(Rs Cr) Buy
Index Futures 1180.59 1988.88 21764.20
Index Options 81733.37 81817.91 73096.79
Stock Futures 12214.39 12234.40 84290.64
Stock Options 10483.89 10530.38 10296.96
Total 105612.24 106571.57 189448.59
Put Call Ratio (OI) 1.18 1.23 -0.05
Indian Debt Market
Put Call Ratio(Vol) 0.79 0.78 0.01
23-May Wk. Ago Mth. Ago
Call Rate 5.97% 5.89% 5.90% 6.06%
CBLO 6.01% 5.96% 5.99% 6.04%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.35% 6.32% 6.15% 6.25%
364 Day T-Bill 6.82% 6.74% 6.45% 6.46%
10 Year Gilt 7.85% 7.90% 7.74% 6.67%
G-Sec Vol. (Rs.Cr) 21519 17636 29374 63204
Currency Market Update
FBIL MIBOR 6.10% 6.05% 6.00% 6.25%
3 Month CP Rate 8.40% 8.00% 7.15% 6.74%
5 Year Corp Bond 8.65% 8.59% 8.44% 7.42%
1 Month CD Rate 6.83% 6.66% 6.58% 6.28%
3 Month CD Rate 7.84% 7.33% 6.69% 6.42%
1 Year CD Rate 8.25% 8.07% 7.45% 6.87%
Commodity Market Update
Currency 23-May Prev_Day
USD/INR 68.21 68.02 0.20
GBP/INR 91.43 91.25 0.18
EURO/INR 80.24 80.07 0.17
JPY/INR 0.62 0.61 0.00
Commodity 23-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 71.80 71.38 67.56 51.07
Brent Crude($/bl) 79.68 79.18 75.43 52.83
Gold( $/oz) 1293 1290 1324 1251
Gold(Rs./10 gm) 31176 30954 31213 28853
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10426.60 points, a discount of 3.75
points, below the spot closing of 10,430.35. The turnover on NSE’s
Futures and Options segment went up to Rs. 8,83,831.89 crore on May
23 from Rs. 7,02,865.80 crore on May 22.
• The Put-Call ratio stood at 0.83 against previous session’s close of 0.78.
• The Nifty Put-Call ratio stood at 1.18 against the previous session’s
close of 1.23.
• India VIX moved up 4.88% to 14.2675 from 13.5575 in the previous
• Open interest on Nifty Futures stood at 24.78 million as against the
previous session’s close at 24.61 million.
• Bond yields rose due to decline in rupee following renewed concerns
over U.S. and China trade talks and as investors remained cautious
ahead of the release of the minutes of U.S. Federal Reserve’s May
2018’s policy meeting.
• However, expectations of announcement of another open market
purchase of notes this week capped the losses.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 4 bps to
close at 7.85% from the previous close of 7.81%. During the session,
bond yields traded in the range of 7.82% and 7.87%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 14,767 crore (gross) on May 23 compared with
Rs. 16,812 crore (gross) on May 22. Sale of securities under RBI’s reverse
repo window stood at Rs. 7,853 crore on May 22.
• The Indian rupee plunged against the greenback as obstructions in
trade talks between the U.S. and China renewed fears of trade war. The
rupee fell 0.56% to close at 68.42 per dollar from the previous close of
• Euro fell against the greenback following preliminary data showing
slowdown in European business activity in May 2018. Also, political
uncertainty in Italy weighed on the euro. Euro was last seen trading at
$1.1700, down 0.66% compared with the previous close of $1.1778.
• The safe-haven appeal of the metal gained on concerns over
geopolitical tensions after the U.S. President raised his concerns on U.S.-
China trade talk and upcoming summit with North Korea.
• Brent crude prices fell after U.S. oil inventories declined by 1.3 million
barrels for the week ending May 18.
• Preliminary data from IHS Markit showed that the composite output
index of the euro zone economy fell to an 18-month low of 54.1 in May
from 55.1 in Apr. The manufacturing Purchasing Managers' Index (PMI)
fell more-than-expected to 55.5 from 56.2 in Apr while the services PMI
came in at 53.9.
• Data from the Office for National Statistics showed that U.K. inflation
slowed to a 13-month low in Apr 2018. Consumer Prices grew 2.4% on a
yearly basis in Apr 2018, slower than 2.5% in Mar 2018. On a monthly
basis consumer prices grew 0.4%. Core inflation excluding energy, food,
alcoholic beverages and tobacco, slowed to 2.1% from 2.3% in the