FII Derivative Trade Statistics 03-Sep
(Rs Cr) Buy
Index Futures 2451.07 3560.95 19081.03
Index Options 71231.24 69624.92 57175.17
Stock Futures 14028.01 15013.43 85945.02
Stock Options 8131.13 8113.93 4106.28
Total 95841.45 96313.23 166307.50
Put Call Ratio (OI) 1.55 1.48 0.07
Indian Debt Market
Put Call Ratio(Vol) 1.01 1.02 -0.01
03-Sep Wk. Ago Mth. Ago
Call Rate 6.33% 6.34% 6.37% 5.83%
CBLO 6.22% 6.40% 5.21% 4.70%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.79% 6.77% 6.76% 6.09%
364 Day T-Bill 7.32% 7.28% 7.25% 6.23%
10 Year Gilt 8.00% 7.89% 7.76% 6.48%
G-Sec Vol. (Rs.Cr) 34881 23721 28593 71510
Currency Market Update
FBIL MIBOR 6.50% 6.54% 6.46% 5.90%
3 Month CP Rate 7.70% 7.80% 7.60% 6.55%
5 Year Corp Bond 8.80% 8.68% 8.64% 7.32%
1 Month CD Rate 6.97% 6.69% 6.69% 6.07%
3 Month CD Rate 7.27% 7.23% 7.03% 6.15%
1 Year CD Rate 8.04% 7.99% 7.96% 6.48%
Commodity Market Update
Currency 03-Sep Prev_Day
USD/INR 70.77 70.93 -0.16
GBP/INR 91.36 92.35 -0.99
EURO/INR 82.14 82.84 -0.69
JPY/INR 0.64 0.64 0.00
Commodity 03-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) Closed 69.62 68.44 47.27
Brent Crude($/bl) 77.88 73.60 73.12 53.94
Gold( $/oz) 1200 1211 1213 1325
Gold(Rs./10 gm) 30226 29869 29428 29742
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2018 Futures settled at 11,641.75, a premium of 59.40
points, above the spot closing of 11,582.35. The turnover on NSE’s
Futures and Options segment improved to Rs. 6,07,405.41 on Sep 3
compared with Rs. 5,55,158.27 on Aug 31.
• The Put-Call ratio stood at 0.91, same as the previous session’s close.
• The Nifty Put-Call ratio stood at 1.48 compared with the previous
session’s close of 1.55.
• Open interest on Nifty Futures stood at 25.95 million as against the
previous session’s close at 25.81 million.
• Bond yields continued to rise as market sentiments remained
dampened with rupee hitting a record low against the greenback yet
again. On the other hand, oil prices continued to surge amid supply
concerns from Iran. The plunge in the domestic currency and tensed oil
market have sparked worries over rising inflation and possibility of
further monetary tightening in the domestic market.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 5 bps to
close at 8.00% from the previous closing of 7.95% after trading in a
range of 7.92% to 8.00%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,921 crore (gross) on Sep 3 compared with a
borrowing of Rs. 5,301 crore (gross) on Aug 31. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
50,107 crore on Aug 31.
• The Indian rupee plunged to a record low, surpassing the 71-mark with
the surge in crude oil price, which raised concerns over the domestic
economic outlook. The rupee dropped 0.31% to close at 71.21 per dollar
from the previous close of 70.99.
• The euro improved against the greenback after the euro zone
manufacturing growth for August came in line with the expectations,
though it was the slowest in two years. Euro was last seen trading at
1.611, up 0.10% from the previous close of 1.1599.
• Gold prices was nearly flat as the greenback gained amid the ongoing
trade tension between U.S. and China.
• Brent crude prices surged amid rising tension on Iranian oil supplies.
• The Central Bank of the Republic of Turkey pledged to take necessary
action to support price stability after inflation witnessed the sharpest
rise in consumer prices in 15 years. Data from the Turkish Statistical
Institute showed that inflation surged 17.9% on a yearly basis in Aug
2018 from 15.85% in the previous month.
• Survey data from IHS Markit showed that the manufacturing activity in
euro zone continued to strengthen in Aug 2018. The euro zone PMI
stood at 54.6 in Aug 2018 compared to 55.1 in Jul 2018. Germany’s IHS
Markit/BME manufacturing PMI stood at 55.9 in Aug 2018 compared to
56.9 in Jul 2018. The French factory PMI stood at 53.5 in Aug 2018
compared to 53.3 in Jul 2018.