FII Derivative Trade Statistics 18-May
(Rs Cr) Buy
Index Futures 4079.20 4699.06 5184.68
Index Options 86838.36 86026.72 32285.43
Stock Futures 12333.81 12652.60 74649.68
Stock Options 2754.26 2906.67 3324.30
Total 106005.63 106285.05 115444.09
18-May Prev_Day
Put Call Ratio (OI) 0.95 1.11 -0.16
Put Call Ratio(Vol) 0.89 0.82 0.07
18-May Wk. Ago Mth. Ago
Call Rate 3.84% 3.87% 4.24% 5.99%
T-Repo 3.16% 3.15% 2.40% 5.95%
Repo 4.40% 4.40% 4.40% 6.00%
Reverse Repo 3.75% 3.75% 3.75% 5.75%
91 Day T-Bill 3.40% 3.55% 3.89% 6.32%
364 Day T-Bill 3.68% 3.67% 4.00% 6.43%
10 Year Gilt 6.05% 6.17% 6.35% 7.36%
G-Sec Vol. (Rs.Cr) 36293 66448 38886 32164
FBIL MIBOR
[1]
4.46% 4.42% 4.58% 6.05%
3 Month CP Rate 4.55% 5.35% 6.00% 7.25%
5 Year Corp Bond 6.98% 7.02% 7.01% 8.38%
1 Month CD Rate 3.94% 4.18% 4.20% 7.24%
3 Month CD Rate 3.58% 4.18% 4.46% 7.07%
1 Year CD Rate 4.59% 4.79% 5.27% 7.29%
Currency 18-May Prev_Day
USD/INR 75.93 75.56 0.37
GBP/INR 91.95 92.26 -0.31
EURO/INR 82.19 81.65 0.54
JPY/INR 0.71 0.70 0.00
Commodity 18-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 31.33 23.52 18.26 62.72
Brent Crude($/bl) 33.77 23.42 16.14 74.93
Gold( $/oz) 1732 1696 1684 1277
Gold(Rs./10 gm) 40989 40989 40989 31911
Source: Refinitiv
[1]
Data as on 15 May 2020
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Derivative Statistics- Nifty Options
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• Nifty May 2020 Futures stood at 8,825.85, a premium of 2.60 points above
the spot closing of 8,823.25. The turnover on NSE’s Futures and Options
segment rose to Rs. 9,03,860.84 crore on May 18, 2020, compared with Rs.
5,61,885.86 crore on May 15, 2020.
• The Put-Call ratio stood at 0.91 compared with the previous session’s close
of 0.8.
• The Nifty Put-Call ratio stood at 0.95 compared with the previous session’s
close of 1.00.
• Open interest on Nifty Futures stood at 9.47 million, compared with the
previous session’s close of 8.78 million.
• Bond yields fell on expectations that the recently announced economic
package to cushion the impact of the COVID-19 pandemic would have a
limited fiscal impact which eased concerns of fiscal slippage to some extent.
Hopes that the government would not go for another round of additional
borrowing also contributed to the upside.
• Yield on the old 10-year benchmark paper (6.45% GS 2029) fell 3 bps to
close at 6.05% from the previous closing of 6.08% after moving in a range of
6.05% to 6.10%.
• Yield on the new 10-year benchmark paper (5.79% GS 2030) inched down 1
bps to close at 5.74% from the previous closing of 5.75% after moving in a
range of 5.74% to 5.79%.
• RBI announced the sale of four dated securities namely 5.09% GS 2022,
5.79% GS 2030, GOI FRB 2031 and 7.19% GS 2060 for a notified amount of
Rs. 30,000 crore. The auction would be carried out on May 22, 2020.
• The Indian rupee fell against the dollar following the country’s extension of
the lockdown to contain the spread of the coronavirus.
• Euro rose against the U.S. dollar as rise in oil prices led to optimism about
reopening of economies, which boosted risk appetite. Rise in global equity
market further increased gains. Euro rose to $1.0912, up 0.90% compared
with the previous close of $1.0815.
• Gold prices fell on hopes for a potential COVID-19 vaccine.
• Brent crude prices rose as countries across the globe started easing
restrictions on COVID-19 induced lockdowns.
• Data from the Cabinet Office of Japan showed that Japan's gross domestic
product contracted a seasonally adjusted 0.9% in the first quarter of 2020
following a decline of 1.8% in the previous quarter.
• Data from the U.S. Commerce Department showed that business
inventories in U.S. fell 0.2% on a yearly basis in Mar 2020 following a decline
of revised 0.5% in Feb 2020 (0.4% drop originally reported for the previous
month). Business sales fell 5.2% in Mar 2020 following a 0.5% decline in Feb
2020.
• Data from the University of Michigan showed that the U.S. consumer
sentiment index increased to 73.7 in May 2020 after plummeting to 71.8 in
Apr 2020. However, the index of consumer expectations fell to 67.7 in May
2020 from 70.1 in the previous month.