FII Derivative Trade Statistics 31-Aug
(Rs Cr) Buy
Index Futures 5932.20 5035.70 17646.72
Index Options 141940.03 141146.39 50043.18
Stock Futures 25922.95 25121.92 84004.43
Stock Options 6377.13 6295.42 830.33
Total 180172.31 177599.43 152524.66
Put Call Ratio (OI) 1.55 1.68 -0.12
Indian Debt Market
Put Call Ratio(Vol) 1.01 1.03 -0.02
31-Aug Wk. Ago Mth. Ago
Call Rate 6.41% 6.39% 6.16% 5.83%
CBLO 5.40% 6.44% 6.24% 5.67%
Repo 6.50% 6.50% 6.25% 6.00%
Reverse Repo 6.25% 6.25% 6.00% 5.75%
91 Day T-Bill 6.76% 6.80% 6.69% 6.08%
364 Day T-Bill 7.30% 7.29% 7.24% 6.24%
10 Year Gilt 7.95% 7.87% 7.77% 6.53%
G-Sec Vol. (Rs.Cr) 29325 31439 26766 32284
Currency Market Update
FBIL MIBOR 6.45% 6.55% 6.25% 5.96%
3 Month CP Rate 7.70% 7.80% 7.50% 6.57%
5 Year Corp Bond 8.78% 8.64% 8.64% 7.34%
1 Month CD Rate 6.96% 6.75% 6.89% 6.04%
3 Month CD Rate 7.25% 7.21% 7.30% 6.15%
1 Year CD Rate 8.04% 8.02% 8.06% 6.47%
Commodity Market Update
Currency 31-Aug Prev_Day
USD/INR 70.93 70.73 0.19
GBP/INR 92.35 92.15 0.20
EURO/INR 82.84 82.72 0.12
JPY/INR 0.64 0.63 0.01
Commodity 31-Aug Wk Ago Mth. Ago
NYMEX Crude($/bl) 69.79 69.46 69.25 47.21
Brent Crude($/bl) 77.01 73.60 74.80 53.48
Gold( $/oz) 1201 1206 1223 1322
Gold(Rs./10 gm) 30226 29561 29660 29456
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose for the sixth straight session as rupee plunged to a
record low against the greenback. Besides, the consistent rise in crude
oil prices and the ongoing global trade war have also been weighing on
the market sentiments. As such, there are concerns regarding foreign
fund flow and worries over rising inflation in the domestic market.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 2 bps to
close at 7.95% from the previous closing of 7.93% after trading in a
range of 7.93% to 7.96%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 5,301 crore (gross) on Aug 31 compared with a
borrowing of Rs. 3,516 crore (gross) on Aug 30. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
28,777 crore on Aug 30.
• A report released by the Commerce Department showed personal
income and spending in the U.S. both increased in Jul 2018 and was in
line with market’s expectations. Personal income rose 0.3% after moving
up by 0.4% in Jun 2018. Personal spending grew 0.4% in Jul 2018, similar
with the increase in the previous month.
• Flash data from Eurostat showed euro zone inflation slowed
unexpectedly in Aug 2018 due to oil prices but was above the European
Central Bank’s target of "below, but close to 2 percent" inflation.
Inflation eased to 2% from 2.1% in Jul 2018.
• Nifty Sep 2018 Futures settled at 11,735.30, a premium of 58.50 points,
above the spot closing of 11,680.50. The turnover on NSE’s Futures and
Options segment declined to Rs. 5,55,158.27 on Aug 31 compared with
Rs. 19,31,285.99 on Aug 30.
• The Put-Call ratio stood at 0.91 against previous session’s close of 0.84.
• The Nifty Put-Call ratio stood at 1.55 compared with the previous
session’s close of 1.68.
• India VIX improved 2.17% to 12.6825 from 12.4125 in the previous
• Open interest on Nifty Futures stood at 25.81 million as against the
previous session’s close at 35.44 million.
• The Indian rupee plunged to record low over rising concerns on the
ongoing U.S.-China trade dispute, the Turkish financial crises and the
slump in Argentinean peso.The rupee dropped 0.35% to close at 70.99
per dollar from the previous close of 70.74.
• The euro weakened against the greenback after worries over trade
tension between the U.S. and the European Union (EU). Euro was last
seen trading at $1.628, down from the previous close of 1.1670.
• Gold prices improved with the rising trade dispute between U.S. and
• Brent crude prices declined after aggravated trade tension between
U.S. and China raised concerns over the future oil demand.