FII Derivative Trade Statistics 23-Oct
(Rs Cr) Buy
Index Futures 4349.08 4667.64 12057.00
Index Options 542966.31 543735.89 63177.75
Stock Futures 15978.93 16008.90 81282.34
Stock Options 6648.76 6571.08 8229.97
Total 569943.08 570983.51 164747.06
Put Call Ratio (OI) 1.47 1.34 0.13
Put Call Ratio(Vol) 0.92 1.00 -0.07
23-Oct Wk. Ago Mth. Ago
Call Rate 3.22% 3.36% 3.42% 5.06%
T-Repo 3.08% 3.05% 3.23% 4.91%
Repo 4.00% 4.00% 4.00% 5.15%
Reverse Repo 3.35% 3.35% 3.35% 4.90%
91 Day T-Bill 3.14% 3.20% 3.36% 5.08%
364 Day T-Bill 3.45% 3.50% 3.70% 5.28%
10 Year Gilt 5.87% 5.93% 6.01% 6.51%
G-Sec Vol. (Rs.Cr) 60480 47665 13206 21392
3.45% 3.66% 3.69% 5.25%
3 Month CP Rate 3.38% 3.40% 3.60% 5.80%
5 Year Corp Bond 6.49% 6.62% 6.61% 7.51%
1 Month CD Rate 3.23% 3.17% 3.41% 4.94%
3 Month CD Rate 3.22% 3.25% 3.45% 5.23%
1 Year CD Rate 3.73% 3.77% 3.97% 5.88%
Currency 23-Oct Prev_Day
USD/INR 73.58 73.66 -0.08
GBP/INR 96.06 96.83 -0.78
EURO/INR 86.78 87.31 -0.53
JPY/INR 0.70 0.70 0.00
Commodity 23-Oct Wk Ago Mth. Ago
NYMEX Crude($/bl) 39.63 40.65 39.87 55.85
Brent Crude($/bl) 40.85 40.84 41.28 61.36
Gold( $/oz) 1901 1899 1864 1492
Gold(Rs./10 gm) 51044 50796 50251 38295
Data as on 22 Oct, 2020
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Derivative Statistics- Nifty Options
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information contained in this material.
• Nifty Oct 2020 Futures stood at 11,934.35, a premium of 4.00 points above
the spot closing of 11,930.35. The turnover on NSE’s Futures and Options
segment fell to Rs. 11,64,474.69 crore on October 23, 2020, compared with
Rs. 52,74,739.96 crore on October 22, 2020.
• The Put-Call ratio stood at 0.88 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.47 compared with the previous session’s
close of 1.34.
• Open interest on Nifty Futures stood at 13.26 million, compared with the
previous session’s close of 12.94 million.
• Bond yields plunged as the Reserve Bank of India (RBI) provided continuous
support by purchasing government securities through open market
operations which eased concerns over excessive supply of sovereign debt in
• Yield on the 10-year benchmark paper (5.77% GS 2030) plummeted 7 bps to
close at 5.84% from the previous close of 5.91% after trading in a range of
5.84% to 5.90%. Bond yields thus plummeted to the lowest level since Aug
• RBI conducted the auction of four government securities namely 5.09% GS
2022, 5.22% GS 2025, 5.77% GS 2030, and 6.80% GS 2060 for a notified
amount of Rs. 31,000 crore for which the full amount was accepted. The cut
of price (cut off yield) for 5.09% GS 2022, 5.22% GS 2025, 5.77% GS 2030,
and 6.80% GS 2060 subsequently stood at Rs. 101.69 (3.89%), Rs. 100.10
(5.19%), Rs. 99.03 (5.90%) and Rs. 100.26 (6.78%), respectively.
• The Indian rupee in the spot trade weakened against the greenback
following persistent dollar demand from state run banks likely on behalf of
the Reserve Bank of India. However, gains in the domestic equity market
restricted further losses.
• The euro rose against the greenback on hopes that an agreement on a
coronavirus relief package in U.S. would be reached before Nov 3.
• Gold prices rose as the dollar weakened amid reports of progress in talks
regarding the U.S. stimulus package.
• Brent crude prices fell amid persistent concerns over COVID-19 pandemic.
• The National Association of Realtors report showed, U.S. existing home
sales surged 9.4% to an annual rate of 6.54 million in Sep 2020, faster than
2% to a revised rate of 5.98 million in Aug 2020. The growth reflected
record-low interest rates and an abundance of buyers.
• Preliminary survey outcome from IHS Markit showed, UK composite output
index fell to 52.9 in Oct 2020 from 56.5 in Sep 2020. Fall indicated weaker
contribution from the service economy.
• The Ministry of Internal Affairs and Communications said, Japan’s consumer
prices fell 0.1% (seasonally adjusted) MoM in Sep 2020, compared with
unchanged from the Aug 2020 figure. Prices for furniture, clothing and
education were up, while power, communication and leisure were down.