FII Derivative Trade Statistics 21-Sep
(Rs Cr) Buy
Index Futures 3516.88 3161.76 27204.39
Index Options 182086.76 180553.16 84415.61
Stock Futures 15782.53 15841.67 89811.81
Stock Options 12714.61 12884.99 10266.25
Total 214100.78 212441.58 211698.06
Put Call Ratio (OI) 1.14 1.14 0.01
Indian Debt Market
Put Call Ratio(Vol) 0.99 0.87 0.12
21-Sep Wk. Ago Mth. Ago
Call Rate 6.58% 6.43% 6.42% 5.89%
CBLO 6.42% 5.57% 6.47% 5.98%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 7.08% 7.05% 6.81% 6.10%
364 Day T-Bill 7.58% 7.65% 7.29% 6.24%
10 Year Gilt 8.08% 8.13% 7.83% 6.67%
G-Sec Vol. (Rs.Cr) 39390 32969 26516 54053
Currency Market Update
FBIL MIBOR 6.65% 6.50% 6.50% 6.00%
3 Month CP Rate 8.05% 7.95% 7.75% 6.67%
5 Year Corp Bond 8.93% 8.93% 8.62% 7.45%
1 Month CD Rate 7.54% 6.99% 6.54% 6.10%
3 Month CD Rate 7.40% 7.40% 7.18% 6.16%
1 Year CD Rate 8.34% 8.40% 8.03% 6.52%
Commodity Market Update
Currency 21-Sep Prev_Day
USD/INR 71.85 72.68 -0.83
GBP/INR 95.15 95.59 -0.44
EURO/INR 84.68 84.91 -0.22
JPY/INR 0.64 0.65 -0.01
Commodity 21-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 70.75 68.93 67.27 50.53
Brent Crude($/bl) 79.34 77.81 70.84 58.77
Gold( $/oz) 1199 1193 1196 1291
Gold(Rs./10 gm) 30697 30558 29529 29576
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2018 Futures settled at 11,166.35, a premium of 23.25
points, above the spot closing of 11,143.10. The turnover on NSE’s
Futures and Options segment improved to Rs. 13,33,834.52 on Sep 21
compared with Rs. 20,50,327.67 on Sep 19.
• The Put-Call ratio stood at 0.87, compared with the previous session’s
close of 0.79.
• The Nifty Put-Call ratio stood at 1.15 compared with the previous
session’s close of 1.14.
• Open interest on Nifty Futures stood at 25.95 million as against the
previous session’s close at 27.63 million.
• Bond yield rose marginally as investors were cautious ahead of the
U.S. Federal Reserve's monetary policy meeting due on Sep 25 – Sep 26.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 1 bps to
8.08% compared with the previous closing of 8.07% after trading in the
range of 8.01% to 8.14%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,006 crore (gross) on Sep 21 compared with a
borrowing of Rs. 4,995 crore (gross) on Sep 19. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 4,671
crore on Sep 19.
• Banks borrowed Rs. 340 crore under the central bank’s Marginal
Standing Facility on Sep 19 compared with borrowing of Rs. 150 crore on
• The Indian rupee rose against the greenback on hopes that the Indian
government would adopt additional measures to put a check on the
rupee’s volatility. However, losses in the domestic equity market capped
• The euro weakened against the greenback after the preliminary euro
zone manufacturing Purchasing Managers' Index fell in Sep 2018 and
came below market expectations.
• Gold prices trader lower as greenback gained against euro amid
expectations of rate hike by the U.S. Federal Reserve at the policy
meeting on Sep 26.
• Brent crude traded higher following anticipated pressure from the
sanctions against Iran.
• Data from the U.S. Labour Department showed that initial jobless
claims for the week ended Sep 15 fell 3,000 to 201,000 from the
previous week's unrevised level of 204,000.
• Flash survey from IHS Markit showed that the euro zone
manufacturing Purchasing Managers' Index (PMI) dropped to a 24-
month low of 53.3 in Sep 2018 from 54.6 in the previous month. The
services PMI rose to a three-month high of 54.7 in Sep 2018.
• Flash survey from IHS Markit showed that the private sector growth of
Germany moderated from a six month high in Aug 2018. The composite
output index fell to 55.3 in Sep 2018 from 55.6 in Aug 2018. The
manufacturing PMI fell to a 25-month low of 53.7 in Sep 2018 from 55.9
in Aug 2018. However, the services PMI rose to 56.5 in Sep 2018 from
55.0 in Aug 2018.