FII Derivative Trade Statistics 09-Oct
(Rs Cr) Buy
Index Futures 6536.12 5618.32 22054.94
Index Options 114888.81 116484.01 75054.75
Stock Futures 18973.48 17639.13 82670.72
Stock Options 8347.18 8250.07 6248.54
Total 148745.59 147991.53 186028.95
09-Oct Prev_Day
Put Call Ratio (OI) 1.11 1.12 -0.01
Indian Debt Market
Put Call Ratio(Vol) 0.68 0.76 -0.08
09-Oct Wk. Ago Mth. Ago
Call Rate 6.39% 6.37% 6.34% 5.95%
CBLO 6.34% 5.94% 6.33% 5.98%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.85% 6.90% 6.80% 6.05%
364 Day T-Bill 7.40% 7.60% 7.47% 6.19%
10 Year Gilt 8.08% 7.99% 8.03% 6.78%
G-Sec Vol. (Rs.Cr) 32789 34997 43177 27505
Currency Market Update
FBIL MIBOR 6.50% 6.50% 6.40% 6.00%
3 Month CP Rate 7.80% 8.00% 7.65% 6.76%
5 Year Corp Bond 8.99% 8.94% 8.79% 7.55%
1 Month CD Rate 6.87% 6.78% 6.98% 6.05%
3 Month CD Rate 7.01% 7.46% 7.19% 6.15%
1 Year CD Rate 8.37% 8.35% 8.20% 6.60%
Commodity Market Update
Currency 09-Oct Prev_Day
USD/INR 74.10 73.92 0.18
GBP/INR 96.99 96.86 0.13
EURO/INR 85.11 85.06 0.05
International News
JPY/INR 0.66 0.65 0.01
Commodity 09-Oct Wk Ago Mth. Ago
NYMEX Crude($/bl) 74.90 75.32 67.68 49.53
Brent Crude($/bl) 85.50 85.33 75.62 55.38
Gold( $/oz) 1189 1188 1195 1284
Gold(Rs./10 gm) 31049 30499 30402 29594
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yield surged after rupee dipped to a new record low. Additionally,
the government’s news on lower than expected revenue aggravated
concerns over fiscal deficit, which was another major negative that
further pushed the yield higher.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 11 bps to
8.08% compared with the previous closing of 7.97% after trading in the
range of 7.98% to 8.09%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 2,928 crore (gross) on Oct 9 compared with a
borrowing of Rs. 3,116 crore (gross) on Oct 8. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 36,425
crore on Oct 8.
• Banks borrowed Rs. 4 crore under the central bank’s Marginal Standing
Facility on Oct 8 compared with borrowing of Rs. 50 crore on Oct 5.
• The International Monetary Fund (IMF) downgraded the global growth
forecast for this year and the next and attributed it to persisting
concerns of a global trade war. IMF projected the growth for the world
economy at 3.7%, less than the 3.9% predicted in the Apr and in a Jul
update.
• Data from Organisation for Economic Co-operation and Development
showed that the unemployment rate for the OECD countries remained
unchanged for a second straight month in Aug. The jobless rate was
5.3% in August, same as in Jun and Jul. The rate was 5.2% in May.
• Nifty Oct 2018 Futures settled at 10,314.40, a premium of 13.35 points,
above the spot closing of 10,301.05. The turnover on NSE’s Futures and
Options segment fell to Rs. 7,12,977.40 on Oct 9 compared to Rs.
7,94,666.94 on Oct 8.
• The Put-Call ratio stood at 0.72, compared with the previous session’s
close of 0.75.
• The Nifty Put-Call ratio stood at 1.11 compared with the previous
session’s close of 1.12.
• India VIX declined 1.93% to 19.7575 from 20.1475 in the previous
trading session.
• Open interest on Nifty Futures stood at 21.41 million as against the
previous session’s close at 22.11 million.
• The Indian rupee plunged to another record low as crude oil prices
recovered ahead of the U.S. sanction on Iran. Moreover, a government
official’s comment on lower-than-expected revenue aggravated concerns
over widening current account deficit and weighed down on the domestic
currency. The rupee closed at 74.39 from the previous close of 74.06.
• The euro declined against dollar as the latter strengthened, supported
by strong U.S. Treasury yield. The euro was last seen trading at 1.1448
compared with the previous close of 1.1490.
• Gold prices remained steady on weak global cues, majorly driven by
worries over the growing dispute between Italy and the European Union
over the controversial Italian budget.
• Brent crude prices rebound as exports from Iran plunge ahead of the
looming U.S. sanction, which will come into effect this Nov..