FII Derivative Trade Statistics 12-Sep
(Rs Cr) Buy
Index Futures 3282.77 3241.91 13938.81
Index Options 190307.52 189518.68 59969.31
Stock Futures 11972.70 11474.22 89565.92
Stock Options 5074.99 5113.50 3847.68
Total 210637.98 209348.31 167321.72
Put Call Ratio (OI) 1.13 1.33 -0.20
Indian Debt Market
Put Call Ratio(Vol) 0.94 1.06 -0.12
12-Sep Wk. Ago Mth. Ago
Call Rate 5.35% 5.35% 5.32% 6.45%
T-Repo 5.18% 5.20% 5.37% NA
Repo 5.40% 5.40% 5.40% 6.50%
Reverse Repo 5.15% 5.15% 5.15% 6.25%
91 Day T-Bill 5.28% 5.33% 5.35% 7.09%
364 Day T-Bill 5.62% 5.67% 5.65% 7.66%
10 Year Gilt 6.66% 6.58% 6.49% 8.13%
G-Sec Vol. (Rs.Cr) 44042 27501 52233 41095
Currency Market Update
FBIL MIBOR* 5.45% 5.45% 5.40% 6.70%
3 Month CP Rate 5.75% 5.85% 5.90% 7.95%
5 Year Corp Bond 7.49% 7.43% 7.76% 8.91%
1 Month CD Rate 5.32% 5.14% 5.45% 7.12%
3 Month CD Rate 5.39% 5.47% 6.01% 7.25%
1 Year CD Rate 6.42% 6.43% 6.64% 8.39%
Commodity Market Update
Currency 12-Sep Prev_Day
USD/INR 71.32 71.66 -0.35
GBP/INR 87.91 88.56 -0.65
EURO/INR 78.51 79.16 -0.65
JPY/INR 0.66 0.66 0.00
Commodity 12-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 55.08 56.28 54.36 70.32
Brent Crude($/bl) 61.65 62.94 56.51 79.96
Gold( $/oz) 1499 1519 1497 1205
Gold(Rs./10 gm) 37669 39006 37270 30478
Source: Thomson Reuters Eikon
*As on previous trading day
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Derivative Statistics- Nifty Options
• Nifty Sep 2019 Futures stood at 10,996.45, a premium of 13.65 points
above the spot closing of 10,982.80. The turnover on NSE’s Futures and
Options segment increased to Rs. 24,81,445.36 on Sep 12, 2019,
compared with Rs. 10,75,053.16 crore on Sep 11, 2019.
• The Put-Call ratio stood at 0.85 compared with the previous session’s
close of 0.99.
• The Nifty Put-Call ratio stood at 1.13 compared with the previous
session’s close of 1.33.
• Open interest on Nifty Futures stood at 18.78 million, compared with
the previous session’s close of 18.34 million.
• Bond yields eased as market participants resorted to short covering
with fall in crude oil prices. In addition, the market is awaiting the release
of the country’s Aug retail inflation data for further cues.
• Yield on the 10-year benchmark paper (7.26% GS 2029) decreased 2
bps to 6.66% compared with the previous close of 6.68% after trading in
a range of 6.63% to 6.71%.
• Banks borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,994 crore (gross) on Sep 12, 2019 compared
with borrowings of Rs. 3,764 crore (gross) on Sep 11, 2019. Sale of
securities under Reserve Bank of India’s (RBI) reverse repo window stood
at Rs. 15,375 crore on Sep 11, 2019.
• Banks borrowed Rs. 477 crore under the central bank’s Marginal
Standing Facility on Sep 11, 2019 compared with borrowings of Rs. 1,651
crore on Sep 9, 2019.
• The Indian rupee rose against the greenback and witnessed its biggest
single session gain since Aug 9 after U.S. President postponed an
increase in tariffs on $250 billion of Chinese shipments by two weeks.
• The euro rose against the greenback after the outcome of the
European Central Bank monetary policy review failed to live up to
market expectations where the central banks cut its deposit rate to a
record low and launched an indefinite asset purchase program.
• Gold prices rose initially as the dollar remained under pressure on
growing possibility that the U.S. Fed might adopt a dovish stance in its
monetary policy review.
• Brent crude prices fell after Saudi Arabia’s new energy minister opined
that decision on deeper cut in oil production cannot be finalised.
• According to report from the Labor Department, U.S. consumer price
index came in line with market expectations and edged up 0.1% in Aug
2019 as against an increase of 0.3% in Jul 2019. Core consumer prices
grew 0.3% in Aug, thereby matching the increase witnessed in Jul.
Annual rate of consumer price growth slowed to 1.7% in Aug as against
growth of 1.8% in Jul. Meanwhile, annual rate of core price growth
surged to 2.4% from 2.2% in Jul.
• According to a report from the Ifo Institute, it expects Eurozone’s
economy to grow 0.5% in 2019 as against previous expectation of 0.6%.
In 2020, the economy is expected to grow 1.2% as against prior
expectation of 1.7%.