FII Derivative Trade Statistics 28-Sep
(Rs Cr) Buy
Index Futures 10788.66 12324.24 16814.01
Index Options 184121.46 184504.14 53143.03
Stock Futures 28666.30 27886.16 79859.74
Stock Options 5108.55 5150.50 648.35
Total 228684.97 229865.04 150465.13
28-Sep Prev_Day
Put Call Ratio (OI) 1.33 0.93 0.40
Indian Debt Market
Put Call Ratio(Vol) 0.85 0.96 -0.11
28-Sep Wk. Ago Mth. Ago
Call Rate 6.51% 6.58% 6.35% 5.83%
CBLO 4.36% 6.42% 6.38% 5.86%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.95% 7.08% 6.77% 6.07%
364 Day T-Bill 7.64% 7.58% 7.28% 6.23%
10 Year Gilt 8.02% 8.08% 7.90% 6.64%
G-Sec Vol. (Rs.Cr) 30033 39390 26760 48286
Currency Market Update
FBIL MIBOR 6.60% 6.65% 6.46% 5.99%
3 Month CP Rate 8.15% 8.05% 7.80% 6.64%
5 Year Corp Bond 9.02% 8.93% 8.69% 7.49%
1 Month CD Rate 6.62% 7.54% 6.62% 6.09%
3 Month CD Rate 7.43% 7.40% 7.30% 6.15%
1 Year CD Rate 8.40% 8.34% 8.00% 6.57%
Commodity Market Update
Currency 28-Sep Prev_Day
USD/INR 72.55 72.65 -0.10
GBP/INR 94.91 95.43 -0.53
EURO/INR 84.44 85.04 -0.60
International News
JPY/INR 0.64 0.64 -0.01
Commodity 28-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 73.11 70.75 68.49 51.57
Brent Crude($/bl) 83.21 79.34 75.90 59.89
Gold( $/oz) 1192 1199 1201 1287
Gold(Rs./10 gm) 30296 30697 30097 29667
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yield were nearly steady as market participants are waiting for
the government’s borrowing schedule for the second half of the fiscal.
Meanwhile, the central bank devolved Rs. 3,815 crore of 7.72% 2055
bond.
• Yield on the 10-year benchmark paper (7.17% GS 2028) eased 1 bps to
8.02% compared with the previous closing of 8.03% after trading in the
range of 8.01% to 8.05%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,741 crore (gross) on Sep 28 compared with a
borrowing of Rs. 3,921 crore (gross) on Sep 27. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
98,436 crore on Sep 27.
• Banks borrowed Rs. 81 crore under the central bank’s Marginal
Standing Facility on Sep 27. On Sep 26, banks did not borrow.
• The World Trade Organization reduced its expectation of growth in
merchandise trade volume to 3.9% in 2018 from its previous estimate of
4.4%. The organization expects growth to slow further in the next year
to 3.7%. The outlook was reduced due to increasing trade tensions
between important markets and tighter credit market conditions.
• According to a report released by the Commerce Department, U.S.
personal income rose less than expected by 0.3% in Aug 2018.
Meanwhile the report also stated that personal spending rose by 0.3% in
Aug after rising 0.4% in the previous month.
• Nifty Oct 2018 Futures settled at 10,954.3, a premium of 23.85 points,
above the spot closing of 10,930.45. The turnover on NSE’s Futures and
Options segment declined to Rs. 7,14,419.80 on Sep 28 compared with
Rs. 18,94,898.56 on Sep 27.
• The Put-Call ratio stood at 0.78, compared with the previous close of
0.87.
• The Nifty Put-Call ratio stood at 1.33 compared with the previous close
of 0.93.
• India VIX declined 1.24% to 16.7125 from 16.9225 in the previous
trading session.
• The Indian rupee improved, driven by brief intraday gains in the
domestic equity market and greenback sales by foreign banks. However,
the upside was limited by strong U.S. economic growth data and Federal
Reserve’s interest rate hike that supported dollar. The rupee rose 0.15%
to close at 72.48 from the previous close of 72.59.
• The euro slipped against dollar following the Italian government’s
budget which escalated worries over its fiscal policies that could further
increase its debt. Euro was last seen trading at $1.1576, down 0.54%
compared with the previous close of $1.1639.
• Gold prices remained below the $1,200-mark following an upbeat U.S.
economic growth data and the interest rate hike by the Federal Reserve.
• Brent crude prices surged amid worries regarding the shrinking supplies
once U.S.’s sanction on Iran kicks in Nov.