FII Derivative Trade Statistics
(Rs Cr) Buy
Sell Open Int.
Index Futures 6669.62 6080.14 15588.67
Index Options 450423.56 449206.89 94023.93
Stock Futures 17224.92 16035.03 100075.00
Stock Options 12309.58 12355.31 8206.69
Total 486627.68 483677.37 217894.29
Put Call Ratio (OI) 1.45 1.26 0.20
Put Call Ratio(Vol) 1.00 0.89 0.11
23-Dec Wk. Ago Mth. Ago
Call Rate 3.26% 3.20% 3.11% 5.11%
T-Repo 3.23% 3.18% 2.89% 4.87%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.10% 3.12% 2.95% 5.02%
364 Day T-Bill 3.45% 3.42% 3.38% 5.18%
10 Year Gilt 5.95% 5.94% 5.89% 6.57%
G-Sec Vol. (Rs.Cr) 14131 18337 24475 30738
3.44% 3.43% 3.39% 5.25%
3 Month CP Rate 3.30% 3.35% 3.18% 5.40%
5 Year Corp Bond 6.32% 6.29% 6.38% 7.67%
1 Month CD Rate 3.21% 3.11% 3.01% 5.08%
3 Month CD Rate 3.10% 3.11% 3.06% 5.11%
1 Year CD Rate 3.79% 3.75% 3.55% 5.97%
Currency 23-Dec Prev_Day
USD/INR 73.81 73.89 -0.07
GBP/INR 98.99 99.07 -0.08
EURO/INR 89.93 90.31 -0.38
JPY/INR 0.71 0.71 0.00
Wk Ago Mth. Ago
NYMEX Crude($/bl) 47.89 47.81 42.89 60.46
Brent Crude($/bl) 51.70 50.91 44.34 69.33
Gold( $/oz) 1872 1864 1836 1485
Gold(Rs./10 gm) 49706 49601 50180 38128
Data as on 22 Dec, 2020
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24 December 2020
Derivative Statistics- Nifty Options
Indian Debt Market
Currency Market Update
Commodity Market Update
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• Nifty Dec 2020 Futures stood at 13,612.45, a premium of 11.35 points
above the spot closing of 13,601.10. The turnover on NSE’s Futures and
Options segment fell to Rs. 28,84,493.46 crore on December 23, 2020,
compared with Rs. 34,71,531.68 crore on December 22, 2020.
• The Put-Call ratio stood at 0.91 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.45 compared with the previous session’s
close of 1.26.
• Open interest on Nifty Futures stood at 13.57 million, compared with the
previous session’s close of 13.48 million.
• Bond yields were largely unchanged ahead of a weekly auction of
government securities on Friday and as market participants awaited the
Reserve Bank of India’s open market operations (OMO).
• Yield on the 10-year benchmark paper (5.77% GS 2030) remained
unchanged at 5.95% from the previous close after trading in the range of
5.94% to 5.96%.
• RBI conducted the auction of 91 days, 182 days and 364 days Treasury bills
for a notified amount of Rs. Rs. 9,000 crore, Rs. 3,000 crore and Rs. 4,000
crore, respectively, which fully accepted. The cut-off stood at Rs. 99.2308
(YTM: 3.1092%), Rs. 98.3570 (YTM: 3.3501%) and Rs. 96.6670 (YTM:
• RBI conducted the auction of OMO purchase auction of State Development
Loans of 10 State Governments for the notified amount of Rs. 10,000 crore,
which were fully accepted. The cut-off yield stood in the range of 6.42% to
• After falling in the last two days, the Indian rupee rose against the U.S.
dollar, as regional currencies and equities recovered from yesterday’s selloff
prompted by the new COVID-19 variant.
• The euro rose against the U.S. dollar as market participants remained
optimistic about a U.S. stimulus package
• Gold prices rose as market participants remained optimistic about a U.S.
• Brent crude prices rose after U.S. crude inventories fell by 562,000 barrels in
the week ended Dec 18, 2020 to 499.5 million barrels.
• Data from the U.S. Labour Department showed that initial jobless claims for
the week ended Dec 19, 2020 fell by 89,000 to 803,000 from the previous
week's revised level of 892,000 (885,000 originally reported for the previous
• Data from the U.S. Commerce Department showed that durable goods
orders in U.S. grew 0.9% in Nov 2020 after rising by an upwardly revised
1.8% in Oct 2020. Excluding orders for transportation equipment, durable
goods orders grew 0.4% in Nov 2020 after increasing 1.9% in Oct 2020.
• Data from the Conference Board showed that the U.S. consumer confidence
index fell to 88.6 in Dec 2020 from a downwardly revised 92.9 in Nov 2020
(96.1 originally reported for the previous month).