FII Derivative Trade Statistics 26-Sep
(Rs Cr) Buy
Index Futures 11327.76 12121.06 27308.35
Index Options 202509.41 201903.82 93890.17
Stock Futures 38091.87 37443.14 92409.83
Stock Options 8655.38 8570.66 9573.05
Total 260584.42 260038.68 223181.40
26-Sep Prev_Day
Put Call Ratio (OI) 1.09 1.13 -0.04
Indian Debt Market
Put Call Ratio(Vol) 0.93 0.82 0.11
26-Sep Wk. Ago Mth. Ago
Call Rate 6.45% 6.60% 6.39% 5.86%
CBLO 6.02% 6.46% 6.44% 5.83%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 7.15% 7.06% 6.80% 6.07%
364 Day T-Bill 7.70% 7.63% 7.29% 6.23%
10 Year Gilt 8.07% 8.07% 7.87% 6.67%
G-Sec Vol. (Rs.Cr) 31640 43175 31439 38324
Currency Market Update
FBIL MIBOR 6.60% 6.65% 6.55% 6.00%
3 Month CP Rate 8.40% 8.05% 7.80% 6.64%
5 Year Corp Bond 8.98% 8.91% 8.64% 7.47%
1 Month CD Rate 7.41% 7.51% 6.75% 6.12%
3 Month CD Rate 7.74% 7.51% 7.21% 6.15%
1 Year CD Rate 8.44% 8.39% 8.02% 6.56%
Commodity Market Update
Currency 26-Sep Prev_Day
USD/INR 72.72 72.81 -0.10
GBP/INR 95.77 95.50 0.27
EURO/INR 85.54 85.62 -0.09
International News
JPY/INR 0.64 0.64 0.00
Commodity 26-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 71.84 71.03 69.46 51.58
Brent Crude($/bl) 82.31 79.87 73.60 60.86
Gold( $/oz) 1194 1204 1206 1294
Gold(Rs./10 gm) 30672 30722 29561 30127
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yield declined as market participants resorted to short covering.
The recovery in rupee, after two straight sessions of depreciation, also
helped easing the yield.
• Yield on the 10-year benchmark paper (7.17% GS 2028) declined 6 bps
to 8.07% compared with the previous closing of 8.13% after trading in
the range of 8.06% to 8.12%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,746 crore (gross) on Sep 26 compared with a
borrowing of Rs. 3,936 crore (gross) on Sep 25. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
78,595 crore on Sep 25.
• RBI announced the sale (issue/re-issue) of 7.37% GS 2023, 7.17% GS
2028, 7.40% GS 2035 and 7.72% GS 2055 for notified amount of Rs.
12,000 crore. The auction will be conducted on Sep 28, 2018.
• According to report by the Conference Board, U.S. consumer
confidence index unexpectedly rose to 138.4 in Sep 2018, 18-year high,
from an upwardly revised 134.7 in Aug 2018. The unexpected
improvement in consumer confidence brought optimism about the
short-term outlook that improved significantly, thus the expectations
index rose to 115.3 in Sep from 109.3 in Aug.
• According to data from U.K. Finance, the number of mortgages
approved in Britain decreased to 39,402 in Aug 2018 from 39,619 in Jul
2018 and 41,141 in Aug 2017. Similarly, there was a fall in house
purchase and other secured borrowing by 4.3% and 2.1%, respectively.
• Nifty Sep 2018 Futures settled at 11,062.45, a premium of 8.65 points,
above the spot closing of 11,053.80. The turnover on NSE’s Futures and
Options segment went down to Rs. 12,29,900.86 on Sep 26.
• The Put-Call ratio stood at 0.85, compared with the previous session’s
close of 0.76.
• The Nifty Put-Call ratio stood at 1.09 compared with the previous
session’s close of 1.13.
• India VIX moved up 2.68% to 17.1300 from 16.6825 in the previous
trading session.
• Open interest on Nifty Futures stood at 25.33 million as against the
previous session’s close at 24.65 million.
• The Indian rupee depreciated as market participants wait for the policy
review meeting of the Federal Reserve, expecting an interest rate hike.
Consistent surge in crude prices, too, weighed down on the local unit.
• The euro edged higher, driven by the comment of European Central
Bank’s president, assuring healthy growth in inflation and wages in euro
zone. However, gains were tapered after ECB’s chief economist attached
little importance to the president’s remark.
• Gold prices moved down ahead of the two-day monetary policy
meeting of the U.S. Federal Reserve.
• Brent crude prices declined following U.S.’s assurance that it would
ensure proper oil supply before the sanction against Iran kicks in Nov.