FII Derivative Trade Statistics
(Rs Cr) Buy
Sell Open Int.
Index Futures 3061.89 2844.79 13076.86
Index Options 534146.74 531421.36 59725.37
Stock Futures 14141.25 13970.49 99038.05
Stock Options 7381.50 7534.28 9289.20
Total 558731.38 555770.92 181129.48
Put Call Ratio (OI) 1.71 1.19 0.52
Put Call Ratio(Vol) 0.89 1.07 -0.18
08-Jan Wk. Ago Mth. Ago
Call Rate 3.18% 3.20% 3.09% 4.91%
T-Repo 3.22% 2.66% 3.13% 4.90%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.04% 2.97% 3.05% 5.01%
364 Day T-Bill 3.31% 3.36% 3.36% 5.28%
10 Year Gilt 5.89% 5.90% 5.94% 6.56%
G-Sec Vol. (Rs.Cr) 33856 25135 29539 34342
FBIL MIBOR 3.45% 3.47% 3.43% 5.20%
3 Month CP Rate 3.45% 3.55% 3.30% 5.80%
5 Year Corp Bond 6.35% 6.30% 6.41% 7.52%
1 Month CD Rate 3.16% 3.01% 3.18% 5.06%
3 Month CD Rate 3.03% 2.99% 3.53% 5.05%
1 Year CD Rate 3.79% 3.77% 3.70% 6.10%
Currency 08-Jan Prev_Day
USD/INR 73.33 73.13 0.20
GBP/INR 99.52 99.34 0.18
EURO/INR 89.94 90.05 -0.10
JPY/INR 0.71 0.71 0.00
Commodity 08-Jan Wk Ago
NYMEX Crude($/bl) 52.11 48.32 45.59 59.62
Brent Crude($/bl) 55.26 50.86 49.30 68.32
Gold( $/oz) 1848 1898 1871 1556
Gold(Rs./10 gm) 50256 50040 49671 40694
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11 January 2021
Derivative Statistics- Nifty Options
Indian Debt Market
Currency Market Update
Commodity Market Update
The information herein is meant only for general reading purposes and contains all factual and statistical information pertaining to Industry and markets which have been obtained from independent third
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• Nifty Jan 2021 Futures stood at 14,370.90, a premium of 23.65 points
above the spot closing of 14,347.25. The turnover on NSE’s Futures and
Options segment fell to Rs. 17,72,979.98 crore on January 08, 2021,
compared with Rs. 60,51,311.48 crore on January 07, 2021.
• The Put-Call ratio stood at 0.87 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.71 compared with the previous session’s
close of 1.19.
• Open interest on Nifty Futures stood at 14.5 million, compared with the
previous session’s close of 13.37 million.
• Bond yields fell initially after the benchmark note was included in special
open market operation for next week. However, rise in U.S. Treasury yields
and increased supply of sovereign debt due to the weekly debt auction
neutralized the gains.
• Yield on the 10-year benchmark paper (5.77% GS 2030) closed steady at
5.89% after trading in the range of 5.87% to 5.90%.
• Banks did not borrow under the central bank’s marginal standing facility on
Jan 7, 2020 as against Rs. 55 crore borrowed on Jan 6, 2020.
• The Reserve Bank of India (RBI) conducted the auction of four government
securities- 3.96% GS 2022, 5.15% GS 2025, 5.85% GS 2030 and 6.80% GS
2060 for an aggregate amount of Rs. 27,000 crore for which the full amount
was accepted. The cut off stood at Rs. 100.25/3.8147%, Rs.
100.15/5.1128%, Rs. 99.75/5.8827% and Rs. 104.13/6.5082%, respectively.
• The Indian rupee fell initially due to demand for greenback from importers’
and rise in the U.S. dollar index, but losses reversed amid strong domestic
• Euro fell against the U.S. dollar after a disappointing U.S. non-farm payrolls
data for Dec 2020 raised expectations for further stimulus measures to
support the U.S. economy.
• Gold prices fell on growing prospects for a smooth transition of power in
• Brent crude prices rose after Saudi Arabia pledged extra, voluntary oil
output cuts of 1 million barrels per day (bpd) in Feb and Mar.
• According to the Labor Department, U.S. non-farm payroll employment
unexpectedly dropped by 140,000 jobs (addition of 245,000 jobs originally
reported) in Dec 2020 after rising by an upwardly revised 336,000 jobs in
Nov 2020. Employment decreased for the first time since Apr 2020.
• Germany's Industrial output increased 0.9% MoM in Nov 2020, slower than
the revised 3.4% rise seen in Oct 2020. Industrial production fell 2.6% YoY,
slower than 2.7% in the prior month. Excluding energy and construction,
output was rose 1.2% in Nov 2020.
• The Commerce Department report showed U.S. wholesale inventories were
unchanged in Nov 2020 after rising 1.3% in Oct 2020. Increase in inventories
of durable goods neutralised fall in orders for non-durable goods.