FII Derivative Trade Statistics 24-Feb
(Rs Cr) Buy
Index Futures 7676.04 7835.75 13920.48
Index Options 457424.96 454818.37 118152.19
Stock Futures 47530.64 47272.02 107343.33
Stock Options 20131.97 19556.76 16627.72
Total 532763.61 529482.90 256043.72
Put Call Ratio (OI) 1.06 0.99 0.07
Put Call Ratio(Vol) 0.96 0.88 0.08
24-Feb Wk. Ago Mth. Ago
Call Rate 3.22% 3.22% 3.20% 5.04%
T-Repo 2.90% 2.26% 3.23% 4.98%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.15% 3.26% 3.30% 5.00%
364 Day T-Bill 3.70% 3.70% 3.57% 5.14%
10 Year Gilt 6.15% 6.03% 5.91% 6.37%
G-Sec Vol. (Rs.Cr) 22396 18736 26718 69545
3.47% 3.46% 3.47% 5.17%
3 Month CP Rate 3.65% 3.70% 3.85% 5.75%
5 Year Corp Bond 6.14% 6.64% 6.52% 6.89%
1 Month CD Rate 2.78% 3.43% 3.42% 5.23%
3 Month CD Rate 3.24% 3.32% 3.38% 5.47%
1 Year CD Rate 4.01% 4.04% 3.92% 5.81%
Currency 24-Feb Prev_Day
USD/INR 72.29 72.37 -0.08
GBP/INR 102.38 101.80 0.57
EURO/INR 87.83 88.05 -0.23
JPY/INR 0.69 0.69 0.00
Commodity 24-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 63.19 61.06 52.23 51.33
Brent Crude($/bl) 67.45 65.28 55.25 57.03
Gold( $/oz) 1804 1776 1853 1660
Gold(Rs./10 gm) 46621 46490 48920 43392
Data as on 23 Feb, 2021
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Derivative Statistics- Nifty Options
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• Nifty Feb 2021 Futures stood at 14,993.75, a premium of 11.75 points
above the spot closing of 14,982.00. The turnover on NSE’s Futures and
Options segment fell to Rs. 30,67,842.52 crore on February 24, 2021,
compared with Rs. 40,32,054.22 crore on February 23, 2021.
• The Put-Call ratio stood at 0.81 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.36 compared with the previous session’s
close of 1.06.
• Open interest on Nifty Futures stood at 12.62 million, compared with the
previous session’s close of 12.51 million.
• Bond yields fell for the second consecutive session as market participants
awaited special open market operation on Thursday. The Reserve bank of
India governor reiterated smooth completion of the borrowing programme
and "orderly evolution" of the yield curve.
• Yield on the 10-year benchmark paper (5.85% GS 2030) fell 2 bps to close at
6.15% from the previous close of 6.17% after moving in a range of 6.14% to
• RBI announced Special Open Market Operations (OMO) simultaneous
purchase and sale of government securities for the notified amount of Rs.
15,000 crore each on Mar 04, 2021. RBI bought 4, 7, 11 & 15 year maturities
and sold securities maturing within two years.
• Banks borrowed Rs. 4 crore under the central bank’s marginal standing
facility on Feb 23, 2021 compared to that of Feb 22, 2021 when banks
• The Indian rupee rose for the fourth consecutive session against the U.S.
dollar amid persistent greenback sales by foreign banks.
• Euro was little changed against the U.S. dollar as reflation trades gripped
the currency markets. U.S. Federal Reserve Chair reiterated on Tuesday that
U.S. interest rates will remain low and the Fed will keep buying bonds to
support the U.S. economy.
• Gold prices fell as rise in yields on U.S. Treasuries due to high inflation and
growth expectations dented demand of the yellow metal.
• Brent crude prices rose due to continued outages in the U.S.
• According to a report released by the Conference Board, U.S. consumer
confidence index rose to 91.3 in Feb 2021 from a downwardly revised 88.9
in Jan 2021. However, the Conference Board mentioned that expectations
index edged down to 90.8 in Feb from 91.2 in Jan.
• According to Destatis, Germany’s gross domestic product (GDP) rose 0.3%
sequentially in the quarter ended Dec 2020 as against 0.1% rise estimated
previously. On a yearly basis, decline in GDP slowed to 3.7% in the quarter
ended Dec 2020 from 4%.