FII Derivative Trade Statistics 29-May
(Rs Cr) Buy
Index Futures 4451.02 3971.43 24562.46
Index Options 75063.06 74582.07 75681.63
Stock Futures 24498.67 24060.22 84824.25
Stock Options 9354.54 9503.62 10773.25
Total 113367.29 112117.34 195841.59
Put Call Ratio (OI) 1.40 1.52 -0.12
Indian Debt Market
Put Call Ratio(Vol) 1.01 1.11 -0.10
29-May Wk. Ago Mth. Ago
Call Rate 5.89% 5.97% 6.02% 6.09%
CBLO 5.84% 6.01% 5.53% 6.08%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.27% 6.30% 6.19% 6.27%
364 Day T-Bill 6.77% 6.82% 6.45% 6.44%
10 Year Gilt 7.76% 7.81% 7.77% 6.67%
G-Sec Vol. (Rs.Cr) 23959 23202 23708 20840
Currency Market Update
FBIL MIBOR 6.00% 6.09% 6.00% 6.25%
3 Month CP Rate 8.20% 8.40% 7.40% 6.69%
5 Year Corp Bond 8.65% 8.60% 8.44% 7.42%
1 Month CD Rate 6.51% 6.82% 6.69% 6.21%
3 Month CD Rate 7.65% 7.70% 7.07% 6.40%
1 Year CD Rate 8.24% 8.17% 7.71% 6.87%
Commodity Market Update
Currency 29-May Prev_Day
USD/INR 67.82 67.44 0.38
GBP/INR 90.17 89.89 0.28
EURO/INR 78.70 79.00 -0.30
JPY/INR 0.62 0.62 0.01
Commodity 29-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 66.80 72.04 68.06 49.53
Brent Crude($/bl) 74.80 81.41 76.07 51.29
Gold( $/oz) 1298 1291 1322 1267
Gold(Rs./10 gm) 31185 31065 31190 28846
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10,615.55 points, a discount of 17.75
points, below the spot closing of 10,633.30. The turnover on NSE’s
Futures and Options segment went up to Rs. 10,00,152.35 crore on May
29 from 7,64,196.64 crore on May 28.
• The Put-Call ratio stood at 0.95 against previous session’s close of 0.98.
• The Nifty Put-Call ratio stood at 1.40 against the previous session’s
close of 1.52.
• Open interest on Nifty Futures stood at 27.06 million as against the
previous session’s close at 25.23 million.
• Bond yields rose following sharp decline in rupee amid political
uncertainty in Italy and absence of a positive trigger in the market.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 2 bps to
close at 7.76% from the previous close of 7.74%. During the session,
bond yields traded in the range of 7.75% and 7.79%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,618 crore (gross) on May 29 compared with
Rs. 3,858 crore (gross) on May 28. Sale of securities under RBI’s reverse
repo window stood at Rs. 13,728 crore on May 28.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on May 28 as well as May 25.
• RBI conducted a 7-day variable rate reverse repo auction for a notified
amount of Rs. 10,000 crore for which Rs. 10,006 crore was allotted at a
cut-off rate of 5.99%.
• The Indian rupee weakened against greenback as domestic equity
markets fell following a global sell off amid political crisis and
uncertainty over Italy’s membership of the euro.
• The euro weakened against the greenback owing to rising concerns
over the euro zone's political and economic situation. Political crisis in
Italy prompted market participants to sell Italian assets.
• Gold prices traded lower despite political turmoil in Italy amid gains in
greenback against the euro.
• Brent Crude prices traded lower following worries that Saudi Arabia
and Russia could boost the output in order to meet the supply shortfall
from Iran and Venezuela.
• According to a survey by Istat, Italy’s consumer confidence index fell
for the second straight month to 113.7 in May 2018, lowest in nine
months, from 116.9 in Apr 2018. Similarly, country’s business confidence
index fell to 16 month low of 104.7 in May from 105.0 in Apr.
• According to Insee, consumer sentiment index of France stood
unchanged at 100 in May 2018. The reading stands unchanged since Feb
• According to the Ministry of Communications and Internal Affairs,
Japan’s unemployment rate stood unchanged at 2.5% in Apr 2018. In
Apr, employment numbers rose 2.6% YoY and unemployment numbers
fell 8.6% YoY.