FII Derivative Trade Statistics 03-Sep
(Rs Cr) Buy
Index Futures 3847.58 4667.70 10771.04
Index Options 289412.04 290522.84 59855.46
Stock Futures 13724.39 14332.33 87639.81
Stock Options 4560.87 4552.89 5336.75
Total 311544.88 314075.76 163603.06
Put Call Ratio (OI) 1.33 1.36 -0.03
Put Call Ratio(Vol) 1.04 0.94 0.11
03-Sep Wk. Ago Mth. Ago
Call Rate 3.42% 3.43% 3.48% 5.34%
T-Repo 3.00% 3.02% 3.16% 5.24%
Repo 4.00% 4.00% 4.00% 5.40%
Reverse Repo 3.35% 3.35% 3.35% 5.15%
91 Day T-Bill 3.22% 3.27% 3.27% 5.39%
364 Day T-Bill 3.55% 3.56% 3.47% 5.68%
10 Year Gilt 5.92% 6.15% 5.84% 6.52%
G-Sec Vol. (Rs.Cr) 47908 28241 17692 31532
3.72% 3.70% 3.86% 5.45%
3 Month CP Rate 3.45% 3.45% 3.65% 5.85%
5 Year Corp Bond 6.61% 6.92% 6.45% 7.42%
1 Month CD Rate 3.12% 3.13% 3.16% 5.27%
3 Month CD Rate 3.32% 3.41% 3.32% 5.41%
1 Year CD Rate 3.83% 3.84% 3.76% 6.49%
Currency 03-Sep Prev_Day
USD/INR 73.36 73.01 0.34
GBP/INR 97.47 97.60 -0.14
EURO/INR 86.55 86.89 -0.34
JPY/INR 0.69 0.69 0.00
Commodity 03-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 41.34 42.83 40.78 53.86
Brent Crude($/bl) 41.73 45.33 44.46 58.07
Gold( $/oz) 1931 1929 1977 1547
Gold(Rs./10 gm) 50840 51234 53615 39007
Data as on 02 Sep, 2020
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Derivative Statistics- Nifty Options
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information contained in this material.
• Nifty Sep 2020 Futures stood at 11,542.80, a premium of 15.35 points
above the spot closing of 11,527.45. The turnover on NSE’s Futures and
Options segment rose to Rs.35,86,271.15 crore on September 03, 2020,
compared with Rs. 20,11,399.61 crore on September 02, 2020.
• The Put-Call ratio stood at 0.92 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.33 compared with the previous session’s
close of 1.36.
• Open interest on Nifty Futures stood at 11.38 million, compared with the
previous session’s close of 11.19 million.
• Bond yields fell for the sixth consecutive session on positive sentiment after
the Reserve Bank of India (RBI) modified its notification for increased hold-
to-maturity limits for banks and purchased bonds under special open market
• Yield on the 10-year benchmark paper (5.77% GS 2030) fell 2 bps to close at
5.90% compared to the previous days close of 5.92% after moving in a
range of 5.87% to 5.91%.
• Banks borrowed Rs. 215 crore under the central bank’s marginal standing
facility on Sep 02, 2020 compared borrowing of Rs. 104 crore on Sep 01,
• RBI announced the auction of three government securities namely 5.22% GS
2025, 6.19% GS 2034 and 7.16% GS 2050 for a notified amount of Rs.
30,000 crore. The auction would be carried out on Sep 4, 2020.
• The Indian rupee weakened and recorded its steepest fall against the U.S.
dollar in four months, as the U.S. dollar index extended its gains. Also
traders reducing short positions on the greenback also weighed on the
domestic currency. The rupee fell to 73.47 per dollar from the previous
close of 73.03.
• Euro fell against the U.S dollar even after U.S. initial weekly jobless claims
fell more than expected.
• Gold prices fell as upbeat macroeconomic data from the U.S. lowered the
safe haven appeal of the yellow metal.
• Brent crude prices fell after domestic gasoline demand fell to 8.78 million
barrels per day (bpd) for the week ended Aug 28.
• U.S. trade deficit widened and reached highest level in 12 years at $63.6
billion in Jul 2020 from a revised $53.5 billion ($50.7 billion originally
reported) in June. Imports rose 10.9% while exports increased 8.1% in Jul
• Provisional data showed, Greece's Gross domestic product (GDP) contracted
14% QoQ in the Jun quarter of 2020, compared with a 0.7% fall in the Mar
quarter of 2020.
• The latest survey from Caixin showed, China’s services PMI fell to 54 from
54.1 in Jul 2020. Individually, new order growth eased but remained strong.
Composite index rose to 55.1 Aug 2020 from 54.5 in Jul 2020.
• Final data from IHS Markit showed, Services Purchasing Managers' Index
(PMI) improved to 58.8 (flash estimate of 60.1) in Aug 2020 from 56.5 in Jul