FII Derivative Trade Statistics 20-Sep
(Rs Cr) Buy
Index Futures 4417.21 6117.33 18716.52
Index Options 367450.31 364602.65 56818.70
Stock Futures 11696.75 12104.51 90553.76
Stock Options 6193.82 6232.45 4167.82
Total 389758.09 389056.94 170256.80
Put Call Ratio (OI) 1.39 0.83 0.56
Indian Debt Market
Put Call Ratio(Vol) 0.87 0.76 0.11
20-Sep Wk. Ago Mth. Ago
Call Rate 5.37% 5.29% 5.28% 6.60%
T-Repo 5.36% 5.28% 5.22% NA
Repo 5.40% 5.40% 5.40% 6.50%
Reverse Repo 5.15% 5.15% 5.15% 6.25%
91 Day T-Bill 5.30% 5.30% 5.40% 7.06%
364 Day T-Bill 5.55% 5.62% 5.71% 7.63%
10 Year Gilt 6.79% 6.64% 6.59% 8.07%
G-Sec Vol. (Rs.Cr) 82191 54062 54572 43175
Currency Market Update
FBIL MIBOR 5.45% 5.45% 5.40% 6.65%
3 Month CP Rate 5.70% 5.65% 5.98% 8.05%
5 Year Corp Bond 7.64% 7.51% 7.77% 8.94%
1 Month CD Rate 5.44% 5.36% 5.50% 7.51%
3 Month CD Rate 5.43% 5.38% 5.66% 7.51%
1 Year CD Rate 6.35% 6.23% 6.71% 8.39%
Commodity Market Update
Currency 20-Sep Prev_Day
USD/INR 70.94 71.14 -0.20
GBP/INR 89.21 88.68 0.53
EURO/INR 78.44 78.57 -0.13
JPY/INR 0.66 0.66 0.00
Commodity 20-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 57.87 54.71 56.13 70.72
Brent Crude($/bl) 66.12 62.14 59.32 79.42
Gold( $/oz) 1517 1488 1507 1207
Gold(Rs./10 gm) 37390 37592 37688 30722
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2019 Futures stood at 11,295.50, a premium of 21.30 points
above the spot closing of 11,274.20. The turnover on NSE’s Futures and
Options segment fell to Rs.19,96,254.74 on September 20, 2019,
compared with Rs.25,76,936.91 crore on September 19, 2019.
• The Put-Call ratio stood at 0.81 compared with the previous session’s
close of 0.66.a
• The Nifty Put-Call ratio stood at 1.39 compared with the previous
session’s close of 0.83.
• Open interest on Nifty Futures stood at 23 million, compared with the
previous session’s close of 21.25 million.
• Bond yields saw a sharp rise following the government’s
announcement of trimming corporate tax rates. This raised concerns
over a fiscal slippage with possibility of increase in borrowings.
• Yield on the 10-year benchmark paper (7.26% GS 2029) increased 15
bps to 6.79% compared with the previous close of 6.64% after trading in
a range of 6.55% to 6.88%.
• Banks borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,358 crore (gross) on Sep 20, 2019 compared
with borrowings of Rs. 6,997 crore (gross) on Sep 19, 2019. Sale of
securities under Reserve Bank of India’s (RBI) reverse repo window stood
at Rs. 10,410 crore on Sep 19, 2019.
• Banks borrowed Rs. 950 crore under the central bank’s Marginal
Standing Facility on Sep 19, 2019 compared with borrowings of Rs. 500
crore on Sep 18, 2019.
• The Indian rupee strengthened against the greenback following gains in
the domestic equity market after the Indian government cut the
corporate tax on domestic companies to one of the lowest levels in Asia.
• The euro fell against the greenback on growing possibility that the U.S.
Federal Reserve would not lower interest rates aggressively moving
• Gold prices grew amid concerns about developments over trade talks
between U.S. and China.
• Brent crude prices grew amid uncertainty over the outcome of a high-
level meeting by the U.S. President’s administration on the Saudi attack
and how to deal with Iran.
• Preliminary data from the European Commission showed euro zone
consumer confidence improved in Sep 2019 to its highest level in four
months, after weakening in Aug 2019. The flash consumer confidence
index climbed to -6.5 from -7.1 in Aug.
• Destatis data showed Germany's producer price inflation eased more
than expected in Aug 2019. Producer prices grew only 0.3% YoY, slower
than the 1.1% increase in Jul 2019.
• China's central bank reduced its one-year loan prime rate marginally
but retained its five-year lending rate. The People's Bank of China set the
one-year lending rate at 4.20% compared with 4.25% in Aug 2019. The
five-year lending rate was maintained at 4.85%.