FII Derivative Trade Statistics 27-Nov
(Rs Cr) Buy
Index Futures 4680.02 4847.81 35146.17
Index Options 88832.54 87010.61 76767.14
Stock Futures 24575.05 24099.84 85741.19
Stock Options 8739.18 8865.47 10446.71
Total 126826.79 124823.73 208101.21
27-Nov Prev_Day
Put Call Ratio (OI) 1.74 1.64 0.11
Indian Debt Market
Put Call Ratio(Vol) 0.99 1.00 -0.01
27-Nov Wk. Ago Mth. Ago
Call Rate 6.37% 6.43% 6.48% 5.88%
T-Repo 6.40% 6.46% -- --
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.73% 6.77% 6.91% 6.12%
364 Day T-Bill 7.20% 7.26% 7.41% 6.23%
10 Year Gilt 7.73% 7.79% 7.88% 7.06%
G-Sec Vol. (Rs.Cr) 33537 29111 26216 40892
Currency Market Update
FBIL MIBOR 6.58% 6.50% 6.55% 6.00%
3 Month CP Rate 7.80% 8.35% 8.45% 6.80%
5 Year Corp Bond 8.55% 8.56% 8.84% 7.71%
1 Month CD Rate 6.80% 6.89% 7.19% 6.06%
3 Month CD Rate 7.35% 7.45% 7.34% 6.24%
1 Year CD Rate 8.51% 8.17% 8.34% 6.60%
Commodity Market Update
Currency 27-Nov Prev_Day
USD/INR 70.91 70.71 0.19
GBP/INR 90.84 90.65 0.19
EURO/INR 80.42 80.27 0.15
International News
JPY/INR 0.62 0.62 0.00
Commodity 27-Nov Wk Ago Mth. Ago
NYMEX Crude($/bl) 51.26 53.34 67.53 58.04
Brent Crude($/bl) 59.17 60.64 78.29 63.62
Gold( $/oz) 1214 1221 1233 1294
Gold(Rs./10 gm) 30673 30913 31868 29469
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Nov 2018 Futures settled at 10684.85, a discount of 0.75 points,
below the spot closing of 10,685.60. The turnover on NSE’s Futures and
Options segment increased to Rs. 9,99,825.16 crore on Nov 27 compared
with Rs. 7,76,197.08 crore on Nov 26.
• The Put-Call ratio stood at 0.99 compared with previous close of 0.97.
• The Nifty Put-Call ratio stood at 1.74 compared with previous close of
1.64.
• India VIX decreased 10.94% to 18.1700 compared with 20.4025 at
previous trading session.
• Open interest on Nifty Futures stood at 25.97 million as against
previous close at 26.61 million.
• Bond yield stood steady after the auction of state debt supply came as
per market expectation. Also, investors were reluctant to take any major
step ahead of Monetary Policy Committee’s rate decision scheduled on
Dec 5.
• Yield on the 10-year benchmark paper (7.17% GS 2028) stood steady
at 7.73% after trading in the range of 7.71% to 7.75%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,846 crore (gross) on Nov 27 compared with a
borrowing of Rs. 4,541 crore (gross) on Nov 26. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
17,768 crore on Nov 26.
• Banks borrowed Rs. 25 crore under the central bank’s Marginal
Standing Facility on Nov 26 compared with no borrowing on Nov 22.
• The Indian rupee rose against the U.S. dollar following greenback sales
by exporters. However, renewed concerns of a global trade war
following U.S. President’s recent comments on raising trade tariffs on
China restricted further gains. The rupee rose 0.15% to close at 70.76 a
dollar compared with the previous close of 70.87.
• The euro inched down against the greenback as the safe haven appeal
of the latter improved on concerns of a global trade war after the U.S.
President indicated that he would push ahead with tariffs on Chinese
goods.
• Gold prices inched up ahead of the Fed Chair’s speech and G20
summit where the U.S.-China are expected to progress on trade talks.
• Brent crude prices gained ahead of the G20 meeting and upcoming
meeting of OPEC. However, upside was limited amid concerns of an
oversupply.
• As per European Central Bank’s President Mario Draghi, gradual
slowdown is eurozone’s economy is normal and temporary to some
extent. The President also mentioned that eurozone’s inflation is
expected to rise in the coming months, thus massive asset purchase
program could be ended in Dec 2018.
• According to the Bank of Japan, producer prices of the country rose
more than expected by 1.3% YoY in Oct 2018 as against downwardly
revised 1.1% gain in Sep 2018. On a monthly basis, producer prices rose
0.4% following the flat reading in the previous month.