FII Derivative Trade Statistics 26-Nov
(Rs Cr) Buy
Index Futures 9103.25 10906.08 16496.28
Index Options 503834.13 503802.13 102042.41
Stock Futures 34466.15 33218.59 96032.33
Stock Options 5084.01 5173.97 5879.63
Total 552487.54 553100.77 220450.65
Put Call Ratio (OI) 1.34 1.27 0.07
Put Call Ratio(Vol) 0.93 1.03 -0.10
26-Nov Wk. Ago Mth. Ago
Call Rate 3.13% 3.15% 3.21% 5.04%
T-Repo 2.68% 2.60% 3.04% 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 2.90% 2.95% 3.17% 4.97%
364 Day T-Bill 3.38% 3.41% 3.45% 5.14%
10 Year Gilt 5.87% 5.88% 5.82% 6.48%
G-Sec Vol. (Rs.Cr) 33031 29919 54453 27127
3.39% 3.40% 3.47% 5.25%
3 Month CP Rate 3.15% 3.18% 3.35% 5.45%
5 Year Corp Bond 6.38% 6.42% 6.49% 7.53%
1 Month CD Rate 2.82% 2.84% 3.17% 5.11%
3 Month CD Rate 3.25% 2.97% 3.20% 5.23%
1 Year CD Rate 3.60% 3.68% 3.73% 5.93%
Currency 26-Nov Prev_Day
USD/INR 73.83 73.98 -0.15
GBP/INR 98.86 98.69 0.17
EURO/INR 88.08 87.99 0.09
JPY/INR 0.71 0.71 0.00
Commodity 26-Nov Wk Ago Mth. Ago
45.55 41.55 38.37 58.20
Brent Crude($/bl) 45.64 42.39 38.43 66.29
Gold( $/oz) 1811 1867 1902 1461
Gold(Rs./10 gm) 48965 50141 51048 37799
Data as on 25 Nov, 2020
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Derivative Statistics- Nifty Options
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information contained in this material.
• Nifty Nov 2020 Futures settled at spot closing of 12,987.00. Nifty Dec 2020
Futures stood at 13,041.60, a premium of 54.6 points, above the spot
closing. The turnover on NSE’s Futures and Options segment rose to Rs.
72,57,499.09 crore on November 26, 2020, compared with Rs. 38,91,689.92
crore on November 25, 2020.
• The Put-Call ratio stood at 0.83 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.34 compared with the previous session’s
close of 1.27.
• Open interest on Nifty Futures stood at 15.31 million, compared with the
previous session’s close of 14.25 million.
• Bond yields fell marginally after the Reserve Bank of India (RBI) purchased
securities through special open market operation (OMO). Meanwhile market
participants awaits the auction of the new 10-year government security on
• Yield on the 10-year benchmark paper (5.77% GS 2030) fell 2 bps to close at
5.87% from the previous close of 5.89% after trading in the range of 5.87%
• RBI announced the auction of state development loans of 9 states
governments for a notified amount of Rs. 10,930 crore. Gujarat and
Telangana opted for additional borrowing (Green shoe) of Rs. 500 crore and
250 crore, respectively.
• Banks did not borrowed on Nov 25, 2020 under the central bank’s marginal
standing facility compared with Rs. 44 crore borrowing on Nov 24, 2020.
• The Indian rupee remained almost steady against the U.S. dollar as
intervention by Reserve Bank of India (RBI) through dollar purchases by
state-run banks’ set-off the impact of positive regional cues and a broad fall
• After briefly hitting a near three-month high, the euro fall against the
greenback as worries about increasing covid-19 cases in Europe grew.
• Gold prices rose after initial jobless claims in U.S. rose for the week ended
Nov 21, 2020.
• Brent crude prices fell amid persisting concerns over COVID-19 pandemic.
• The U.K. Chancellor of the Exchequer warned that the U.K. economy may
face the worst economic contraction in over 300 years which it attributed to
the COVID-19 pandemic.
• Data from the U.S. Labour Department showed that initial jobless claims in
U.S. for the week ended Nov 21 increased 30,000 to 778,000 from the
previous week's revised level of 748,000 (742,000 originally reported for the
• Data from the U.S. Commerce Department showed that durable goods
orders in U.S. increased 1.3% in Oct 2020 after increasing 2.1% in Sep 2020.
Orders for non-defense capital goods excluding aircraft also rose 0.7% in
Oct 2020 following a 1.9% rise in Sep 2020.