FII Derivative Trade Statistics 17-Sep
(Rs Cr) Buy
Index Futures 3280.31 4913.67 17803.46
Index Options 210455.62 209563.51 61687.20
Stock Futures 12058.01 12455.04 90266.00
Stock Options 5193.06 5168.96 4163.92
Total 230987.00 232101.18 173920.58
Put Call Ratio (OI) 0.99 1.17 -0.18
Indian Debt Market
Put Call Ratio(Vol) 0.79 0.87 -0.09
17-Sep Wk. Ago Mth. Ago
Call Rate 5.37% 5.32% 5.31% 6.58%
T-Repo 5.37% 5.20% 5.25% NA
Repo 5.40% 5.40% 5.40% 6.50%
Reverse Repo 5.15% 5.15% 5.15% 6.25%
91 Day T-Bill 5.25% 5.31% 5.47% 7.03%
364 Day T-Bill 5.60% 5.62% 5.72% 7.63%
10 Year Gilt 6.73% 6.58% 6.54% 8.10%
G-Sec Vol. (Rs.Cr) 31017 29021 56660 36157
Currency Market Update
FBIL MIBOR* 5.45% 5.45% 5.37% 6.50%
3 Month CP Rate 5.70% 5.80% 6.00% 8.00%
5 Year Corp Bond 7.65% 7.47% 7.83% 8.88%
1 Month CD Rate 5.39% 5.15% 5.42% 7.11%
3 Month CD Rate 5.39% 5.69% 5.67% 7.48%
1 Year CD Rate 6.30% 6.47% 6.70% 8.38%
Commodity Market Update
Currency 17-Sep Prev_Day
USD/INR 71.82 71.54 0.28
GBP/INR 89.12 89.14 -0.02
EURO/INR 78.96 79.19 -0.23
JPY/INR 0.66 0.66 0.00
Commodity 17-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 59.21 57.83 54.78 68.81
Brent Crude($/bl) 66.48 63.86 58.99 78.16
Gold( $/oz) 1502 1499 1514 1201
Gold(Rs./10 gm) 37855 38254 37466 30614
Source: Thomson Reuters Eikon
*As on previous trading day
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Derivative Statistics- Nifty Options
• Nifty Sep 2019 Futures stood at 11,017.20, a premium of 13.70 points
above the spot closing of 11,003.50. The turnover on NSE’s Futures and
Options segment rose to Rs. 10,16,228.46 on September 16, 2019,
compared with Rs. 9,21,268.73 crore on September 13, 2019.
• The Put-Call ratio stood at 0.85 compared with the previous session’s
close of 0.94.
• The Nifty Put-Call ratio stood at 1.17 compared with the previous
session’s close of 1.34.
• Open interest on Nifty Futures stood at 19.88 million, compared with
the previous session’s close of 18.94 million.
• Bond yields continued to rise amid surge in crude oil prices following
multiple drone attacks on Saudi Arabian crude oil facilities and the
subsequent depreciation in the local currency.
• Yield on the 10-year benchmark paper (7.26% GS 2029) increased 1 bps
to 6.73% compared with the previous close of 6.72% after trading in a
range of 6.70% to 6.74%.
• Banks borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,636 crore (gross) on Sep 17, 2019 compared
with borrowings of Rs. 8,944 crore (gross) on Sep 16, 2019. Sale of
securities under Reserve Bank of India’s (RBI) reverse repo window stood
at Rs. 11,667 crore on Sep 16, 2019.
• Banks borrowed Rs. 1,411 crore under the central bank’s Marginal
Standing Facility on Sep 16, 2019 compared with borrowings of Rs. 561
crore on Sep 13, 2019.
• The Indian rupee weakened against the greenback following losses in
the domestic equity market. Global crude oil prices which continued to
remain at elevated levels amid an increase in geopolitical tensions in the
Middle East also added to the losses.
• The euro rose against the greenback as the latter remained under
pressure on growing possibility of a rate cut by the U.S. Federal Reserve
in its monetary policy review which is due on Sep 18, 2019.
• Gold prices rose on growing possibility of a rate cut by the U.S. Federal
Reserve in its monetary policy review.
• Brent crude prices fell after the energy minister of Saudi Arabia opined
that oil production will be back to normal levels by the end of Sep 2019.
• A Federal Reserve report showed U.S. industrial production rebounded
by much more than expected in Aug 2019. Industrial production climbed
0.6% in Aug 2019 after edging down 0.1% in Jul 2019.
• A National Association of Home Builders report showed an unexpected
improvement in U.S. homebuilder confidence in Sep 2019. The report
said the NAHB/Wells Fargo Housing Market Index inched up to 68 in Sep
from Aug 2019 reading of 67.
• A survey by the ZEW - Leibniz Centre for European Economic Research
showed Germany's economic sentiment improved strongly and at a
faster than expected pace in Sep 2019. The ZEW Indicator of Economic
Sentiment for Germany climbed to -22.5 in Sep from -44.1 in Aug 2019.
The economic outlook remains negative.