FII Derivative Trade Statistics 31-Dec
(Rs Cr) Buy
Index Futures 6016.61 6484.96 20489.51
Index Options 344157.13 341133.93 108751.05
Stock Futures 26716.90 26447.25 99791.42
Stock Options 4663.51 4797.16 7691.14
Total 381554.15 378863.30 236723.12
Put Call Ratio (OI) 1.44 1.56 -0.12
Put Call Ratio(Vol) 1.04 1.06 -0.03
31-Dec Wk. Ago Mth. Ago
Call Rate 3.31% 3.23% 3.13% 5.10%
T-Repo 2.75% 3.17% 2.88% 4.82%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.01% 3.10% 2.89% 5.00%
364 Day T-Bill 3.42% 3.45% 3.33% 5.18%
10 Year Gilt 5.90% 5.93% 5.89% 6.56%
G-Sec Vol. (Rs.Cr) 17664 33530 45782 19722
3.44% 3.45% 3.40% 5.26%
3 Month CP Rate 3.28% 3.30% 3.15% 5.42%
5 Year Corp Bond 6.30% 6.37% 6.39% 7.72%
1 Month CD Rate 3.04% 3.15% 2.98% 5.05%
3 Month CD Rate 3.00% 3.10% 3.22% 5.35%
1 Year CD Rate 3.78% 3.79% 3.57% 6.02%
Currency 31-Dec Prev_Day
USD/INR 73.05 73.28 -0.23
GBP/INR 99.60 99.18 0.42
EURO/INR 89.79 89.99 -0.19
JPY/INR 0.71 0.71 0.00
Commodity 31-Dec Wk Ago Mth. Ago
NYMEX Crude($/bl) 48.32 48.16 45.15 61.11
Brent Crude($/bl) 50.86 50.43 45.78 68.96
Gold( $/oz) 1896 1877 1777 1517
Gold(Rs./10 gm) 50005 49787 48778 39076
Data as on 30 Dec, 2020
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Derivative Statistics- Nifty Options
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• Nifty Dec 2020 Futures settled at spot closing of 13,981.75. Nifty Jan 2021
Futures stood at 14,040.20, a premium of 58.45 points, above the spot
closing. The turnover on NSE’s Futures and Options segment rose to Rs.
57,82,890.81 crore on December 31, 2020, compared with Rs. 30,84,291.70
crore on December 30, 2020.
• The Put-Call ratio stood at 1.03 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.44 compared with the previous session’s
close of 1.56.
• Open interest on Nifty Futures stood at 16.76 million, compared with the
previous session’s close of 16.21 million.
• Bond yields remained unchanged as market participants awaited more open
market operations (OMO) by the Reserve Bank of India (RBI).
• Yield on the 10-year benchmark paper (5.77% GS 2030) was unchanged at
5.90% from the previous close after trading in the range of 5.89% to 5.90%.
• Banks borrowed Rs. 11 crore under the central bank’s marginal standing
facility on Dec 30, compared to Rs. 244 crore borrowing on Dec 29.
• The rupee rose for the sixth consecutive session and touched over 12-week
high against the U.S. dollar on exporter covering and broad greenback
losses. Absence of greenback buying from state-run banks further
supported the upside.
• After rising in the last seven sessions, euro fell against the U.S. dollar on
profit booking and rebalancing of portfolio.
• Gold prices rose as the prospect of increased fiscal aid kept the greenback
• Brent crude prices rose on prospects of an increase in U.S. coronavirus fiscal
• According to a report released by the Labor Department, U.S. initial jobless
claims fell 19,000 to 787,000 for the week ended Dec 26, 2020 from the
previous week's revised level of 806,000.
• According to the National Bureau of Statistics, China’s manufacturing
Purchasing Managers' Index (PMI) fell to 51.9 in Dec 2020 from 52.1 in Nov
2020. The non-manufacturing PMI fell to 55.7 in Dec from 56.4 in Nov.
• According to the National Association of Realtors, U.S. pending home sales
index fell 2.6% to 125.7 in Nov 2020 after falling 0.9% to 129.1 in Oct 2020.