FII Derivative Trade Statistics 02-Sep
(Rs Cr) Buy
Index Futures 7602.39 6566.31 10899.20
Index Options 323049.99 322389.87 59137.10
Stock Futures 18363.65 18547.51 86552.02
Stock Options 5984.10 6166.03 4798.31
Total 355000.13 353669.72 161386.63
Put Call Ratio (OI) 1.36 1.29 0.07
Put Call Ratio(Vol) 0.94 0.91 0.02
02-Sep Wk. Ago Mth. Ago
Call Rate 3.42% 3.44% 3.48% 5.38%
T-Repo 3.00% 3.04% 3.16% 5.25%
Repo 4.00% 4.00% 4.00% 5.40%
Reverse Repo 3.35% 3.35% 3.35% 5.15%
91 Day T-Bill 3.24% 3.25% 3.27% 5.35%
364 Day T-Bill 3.53% 3.53% 3.46% 5.70%
10 Year Gilt 5.92% 6.16% 5.84% 6.56%
G-Sec Vol. (Rs.Cr) 60105 31017 33111 29394
3.78% 3.69% 3.86% 5.45%
3 Month CP Rate 3.45% 3.45% 3.65% 5.90%
5 Year Corp Bond 6.60% 6.92% 6.33% 7.54%
1 Month CD Rate 3.16% 3.13% 3.22% 5.26%
3 Month CD Rate 3.34% 3.44% 3.33% 5.49%
1 Year CD Rate 3.83% 3.83% 3.75% 6.50%
Currency 02-Sep Prev_Day
USD/INR 73.01 72.82 0.19
GBP/INR 97.60 97.69 -0.09
EURO/INR 86.89 87.31 -0.42
JPY/INR 0.69 0.69 0.00
Commodity 02-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 42.71 43.16 40.05 55.02
Brent Crude($/bl) 44.65 46.53 43.74 58.74
Gold( $/oz) 1943 1953 1975 1530
Gold(Rs./10 gm) 51088 51018 53615 38405
Data as on 31 Aug, 2020
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Derivative Statistics- Nifty Options
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information contained in this material.
• Nifty Sep 2020 Futures stood at 11,561.50, a premium of 26.50 points
above the spot closing of 11,535.00. The turnover on NSE’s Futures and
Options segment rose to Rs. 20,11,399.61 crore on September 02, 2020,
compared with Rs. 19,98,166.36 crore on September 01, 2020.
• The Put-Call ratio stood at 0.87 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.36 compared with the previous session’s
close of 1.29.
• Open interest on Nifty Futures stood at 11.19 million, compared with the
previous session’s close of 10.73 million.
• Bond yields fell for the fifth consecutive session as sentiment continued to
remain supported after the recent measures by the Reserve Bank of India
(RBI) to improve investor appetite.
• Yield on the present 10-year benchmark paper (5.79% GS 2030) stood
steady at 5.91% same as previous close after trading in a range of 5.90% to
• Yield on the upcoming new 10-year benchmark paper (5.77% GS 2030) fell 2
bps to close at 5.92% compared to the previous days close of 5.94% after
moving in a range of 5.91% to 5.96%.
• Banks borrowed Rs. 104 crore under the central bank’s marginal standing
facility on Sep 01, 2020 compared borrowing of Rs. 250 crore on Aug 31,
• The Indian rupee weakened against the U.S. dollar following upbeat U.S.
manufacturing activity data for Aug 2020 that led to a rebound in the U.S.
dollar index. The rupee fell to 73.03 per dollar from the previous close of
• Euro fell for the second consecutive session against the U.S. dollar helped by
positive U.S. manufacturing data for Aug 2020.
• Gold prices fell as upbeat macroeconomic data from the U.S. made market
participants optimistic of a steady economic recovery.
• Brent crude prices fell as gasoline demand fell in the U.S. for the week
ended Aug 28, 2020.
• Payroll processor ADP released a report that U.S. private sector
employment rose by 428,000 jobs in Aug 2020 after rising by an upwardly
revised 212,000 jobs (addition of 167,000 jobs originally reported) in Jul
• UK house prices accelerated to 2.9% YoY in May 2020 from 2.7% rise in the
prior month. The average house price rose GBP 7,000 on yearly basis to GBP
236,000 in May 2020.
• U.S. factory orders jumped 6.4% in Jul 2020, similar to the previous month’s
upwardly revised rise (6.2% rise originally reported). Factory orders rose as
orders for durable goods surged 11.4% in Jul 2020.
• Preliminary data showed, Germany's retail sales grew 4.2% YoY in Jul 2020,
slower than 6.7% rise in Jun 2020 (5.9% rise originally reported).