FII Derivative Trade Statistics
(Rs Cr) Buy
Sell Open Int.
Index Futures 2582.67 2580.55 12894.84
Index Options 717531.44 714640.02 85326.44
Stock Futures 12167.88 12452.76 105283.43
Stock Options 13643.20 13767.78 16807.90
Total 745925.19 743441.11 220312.61
Put Call Ratio (OI) 1.38 1.36 0.02
Put Call Ratio(Vol) 1.08 1.08 0.00
12-Feb Wk. Ago Mth. Ago
Call Rate 3.31% 3.26% 3.19% 4.93%
T-Repo 3.07% 3.19% 3.14% 4.91%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.27% 3.34% 3.03% 5.09%
364 Day T-Bill 3.69% 3.68% 3.43% 5.23%
10 Year Gilt 5.99% 6.07% 5.92% 6.48%
G-Sec Vol. (Rs.Cr) 22020 39920 20832 27086
FBIL MIBOR 3.45% 3.47% 3.47% 5.15%
3 Month CP Rate 3.75% 3.85% 3.55% 5.75%
5 Year Corp Bond 6.60% 6.63% 6.49% 7.09%
1 Month CD Rate 3.44% 3.31% 3.44% 5.11%
3 Month CD Rate 3.38% 3.36% 3.25% 5.32%
1 Year CD Rate 4.10% 4.04% 3.83% 6.08%
Currency 12-Feb Prev_Day
USD/INR 72.80 72.78 0.02
GBP/INR 100.45 100.77 -0.33
EURO/INR 88.29 88.27 0.02
JPY/INR 0.69 0.70 0.00
Commodity 12-Feb Wk Ago
NYMEX Crude($/bl) 59.47 56.77 53.05 51.08
Brent Crude($/bl) 62.40 60.24 55.88 56.13
Gold( $/oz) 1823 1812 1856 1565
Gold(Rs./10 gm) 47193 47048 49488 40467
Data as on 11 Feb, 2021
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15 February 2021
Derivative Statistics- Nifty Options
Indian Debt Market
Currency Market Update
Commodity Market Update
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• Nifty Feb 2021 Futures stood at 15,161.45, a discount of 1.85 points below
the spot closing of 15,163.30. The turnover on NSE’s Futures and Options
segment fell to Rs. 20,59,106.43 crore on February 12, 2021, compared with
Rs. 68,81,038.70 crore on February 11, 2021.
• The Put-Call ratio stood at 0.87 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.38 compared with the previous session’s
close of 1.36.
• Open interest on Nifty Futures stood at 12.6 million, compared with the
previous session’s close of 12.41 million.
• Bond yields rose after the Reserve Bank of India (RBI) partially devolved the
14-year note on primary dealers, accepted bids at higher-than-expected
yields and also exercised the greenshoe option at the weekly auction .
• Yield on the 10-year benchmark paper (5.85% GS 2030) rose 3 bps to close
at 5.99% from the previous close of 5.96%.
• RBI conducted the auction of 14-day Variable Rate Reverse Repo auction
under LAF for the notified amount of Rs. 2,00,000 crore, which was
completely accepted at a cut-off yield of 3.52%.
• RBI conducted the auction of four government securities- 4.48% GS 2023,
GOI FRB 2033, 6.22% GS 2035 and 6.67% GS 2050 for a cumulative amount
of Rs. 26,000 crore. Greenshoe amount of Rs. 625.08 crore and Rs. 2000
crore has been accepted on 4.48% GS 2023 and GOI FRB 2033, respectively.
6.22% GS 2035 security saw partial devolvement on primary dealers of Rs.
• The Indian rupee recorded its fastest single-day gain against the U.S. dollar
in over 3 weeks supported by equity related greenback inflows.
• Euro eased against the U.S. dollar as risk appetite dampened with equities
and some commodity prices lower.
• Gold prices fell on expectations of a rebound in industrial demand.
• Brent crude prices rose on hopes for a stimulus package in U.S.
• Data from the University of Michigan showed that the consumer sentiment
index in U.S. fell to 76.2 in Feb 2021 from 79.0 in Jan 2021. The consumer
sentiment index thus fell to its lowest level since hitting 74.1 in Aug 2020.
• Data from the Office for National Statistics showed that the gross domestic
product of the U.K. economy witnessed a decline of 9.9% in 2020 following
a growth of 1.4% in 2019.
• The Central Bank of Russia kept interest rates on hold in its monetary policy
review and indicated that the easing cycle has come to an end. The
benchmark rate was retained at 4.25%.