FII Derivative Trade Statistics 28-May
(Rs Cr) Buy
Index Futures 3572.68 3034.26 24026.26
Index Options 79393.14 78945.87 75254.00
Stock Futures 13292.94 12886.26 84513.90
Stock Options 9094.44 9090.47 10512.48
Total 105353.20 103956.86 194306.64
Put Call Ratio (OI) 1.52 1.47 0.05
Indian Debt Market
Put Call Ratio(Vol) 1.11 1.07 0.04
28-May Wk. Ago Mth. Ago
Call Rate 5.86% 5.96% 6.02% 6.03%
CBLO 5.86% 6.00% 5.53% 5.00%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.25% 6.25% 6.19% 6.22%
364 Day T-Bill 6.19% 6.80% 6.45% 6.40%
10 Year Gilt 7.74% 7.81% 7.77% 6.65%
G-Sec Vol. (Rs.Cr) 35810 27694 23708 52225
Currency Market Update
FBIL MIBOR 6.05% 6.05% 6.00% 6.19%
3 Month CP Rate 8.25% 8.30% 7.40% 6.70%
5 Year Corp Bond 8.68% 8.56% 8.44% 7.43%
1 Month CD Rate 6.77% 7.10% 6.69% 6.20%
3 Month CD Rate 7.91% 7.71% 7.07% 6.40%
1 Year CD Rate 8.23% 8.12% 7.71% 6.87%
Commodity Market Update
Currency 28-May Prev_Day
USD/INR 67.44 68.26 -0.82
GBP/INR 89.89 91.22 -1.33
EURO/INR 79.00 79.88 -0.88
JPY/INR 0.62 0.62 -0.01
Commodity 28-May Wk Ago Mth. Ago
NYMEX Crude($/bl) Closed 72.21 68.06 49.53
Brent Crude($/bl) Closed 79.33 76.07 50.48
Gold( $/oz) 1298 1292 1322 1267
Gold(Rs./10 gm) 30901 30881 31190 28782
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell for the second consecutive session following decline in
crude oil prices and gains in domestic currency.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 5 bps to
close at 7.74% from the previous close of 7.79%. During the session,
bond yields traded in the range of 7.71% and 7.79%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,858 crore (gross) on May 28 compared with
Rs. 6,908 crore (gross) on May 25. Sale of securities under RBI’s reverse
repo window stood at Rs. 36,808 crore on May 25.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on May 25 as against borrowing of Rs. 2,200 on May 24.
• RBI conducted a 7-day variable rate reverse repo auction for a notified
amount of Rs. 35,000 crore for which Rs. 13,889 crore was allotted at a
cut-off rate of 5.99%.
• According to revised data released by the University of Michigan, U.S.
consumer sentiment index was downwardly revised to 98.0 for May
2018 as against preliminary reading as well as Apr 2018 reading of 98.8.
Current economic conditions index declined to 111.8 in May from 114.9
in Apr. Meanwhile, the index of consumer expectations came in at 89.1
in May as against 88.4 in Apr.
• According to a report from the Bank of Japan, Japan’s producer prices
surpassed market expectations and grew 0.9% YoY in Apr 2018 as
against a gain of 0.5% in Mar 2018. Producer prices inched up 0.1%
MoM as against a gain of 0.5% in Mar.
• Nifty May 2018 Futures were at 10678.85 points, a discount of 9.80
points, below the spot closing of 10,688.65. The turnover on NSE’s
Futures and Options segment went up to Rs. 7,64,196.64 crore on May
28 from to 7,04,102.93 crore on May 25.
• The Put-Call ratio stood at 0.98 against previous session’s close of 0.94.
• The Nifty Put-Call ratio stood at 1.52 against the previous session’s
close of 1.47.
• India VIX moved up 3.14% to 13.0425 from 12.6450 in the previous
• Open interest on Nifty Futures stood at 25.23 million as against the
previous session’s close at 24.76 million.
• The Indian rupee gained against the U.S. dollar following decline in
global crude oil prices. Also decline in U.S. Treasury yields increased
losses in greenback. The rupee rose 0.51% to close at 67.43 per U.S.
dollar from the previous close of 67.78.
• Euro was trading lower against the U.S. dollar on rising political
uncertainty in Italy after Italy’s president set the country on a path to
fresh elections. Euro was trading at $1.1618 compared with the previous
close of $1.1650.
• Gold prices moved down on easing geopolitical tension after the U.S.
President has indicated that the country is open to discussion with North
Korea in the scheduled summit.
• Brent crude prices plunged after the OPEC and non-OPEC country
Russia indicated to raise production level.