FII Derivative Trade Statistics 18-Sep
(Rs Cr) Buy
Index Futures 3643.78 4316.71 11330.26
Index Options 299683.57 297101.84 58057.66
Stock Futures 13088.67 14247.27 86655.28
Stock Options 6259.20 6187.49 8444.88
Total 322675.22 321853.31 164488.08
Put Call Ratio (OI) 1.37 1.30 0.06
Put Call Ratio(Vol) 1.02 1.01 0.00
18-Sep Wk. Ago Mth. Ago
Call Rate 3.41% 3.41% 3.42% 5.36%
T-Repo 3.22% 3.20% 3.20% 5.30%
Repo 4.00% 4.00% 4.00% 5.40%
Reverse Repo 3.35% 3.35% 3.35% 5.15%
91 Day T-Bill 3.31% 3.28% 3.25% 5.26%
364 Day T-Bill 3.63% 3.59% 3.48% 5.60%
10 Year Gilt 6.03% 6.00% 5.99% 6.62%
G-Sec Vol. (Rs.Cr) 37427 30587 22729 50530
3.67% 3.77% 3.79% 5.45%
3 Month CP Rate 3.55% 3.50% 3.50% 5.70%
5 Year Corp Bond 6.76% 6.75% 6.68% 7.54%
1 Month CD Rate 3.34% 3.35% 3.09% 5.35%
3 Month CD Rate 3.28% 3.44% 3.27% 5.63%
1 Year CD Rate 3.90% 3.88% 3.80% 6.41%
Currency 18-Sep Prev_Day
USD/INR 73.30 73.70 -0.41
GBP/INR 95.06 95.45 -0.38
EURO/INR 86.88 86.76 0.12
JPY/INR 0.70 0.70 0.00
Commodity 18-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 41.04 37.28 42.84 58.14
Brent Crude($/bl) 41.97 38.92 45.91 65.18
Gold( $/oz) 1950 1942 2001 1494
Gold(Rs./10 gm) 51619 51350 53752 37542
Data as on 17 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 11,515.25, a premium of 10.30 points
above the spot closing of 11,504.95. The turnover on NSE’s Futures and
Options segment fell to Rs. 13,24,093.29 crore on September 18, 2020,
compared with Rs. 39,07,881.84 crore on September 17, 2020.
• The Put-Call ratio stood at 0.91 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 1.37 compared with the previous session’s
close of 1.3.
• Open interest on Nifty Futures stood at 11.71 million, compared with the
previous session’s close of 13.06 million.
• Bond yields fell after Reserve Bank of India (RBI) announced the auction of
second open market operations (OMO) purchase on Thursday.
• Yield on the 10-year benchmark paper (5.77% GS 2030) fell 2 bps to 6.01%
from the previous close of 6.03% after moving in a range of 5.99% to 6.02%.
• RBI conducted the auction of government securities-5.22% GS 2025, 6.19%
GS 2034 and 7.16% GS 2050 for the notified of Rs. 30,000 crore, which was
oversubscribed. Cut-off stood at 99.05/5.45%, 98.22/6.38% and
105.28/6.75%, respectively. Green shoe of Rs. 2000 crore has been
exercised in 6.19% GS 2034.
• Data from Reserve Bank of India showed that India's foreign exchange
reserves fell to $541.66 billion as of the week ended Sep 11, against $
542.01 billion in the previous week.
• The Indian rupee rose against the U.S. dollar on anticipation of a foreign
portfolio inflows. The rupee went up 0.26% to close at 73.45 per dollar from
the previous close of 73.65.
• Euro rose against the U.S. dollar as risk appetite dampened due to U.S.
monetary policy, U.S. election uncertainty and the latest U.S.-China political
• Gold prices rose as persisting concerns over the COVID-19 pandemic
boosted its safe haven appeal.
• Brent crude prices rose after Hurricane Sally cut U.S. production and OPEC
and its allies adopted measures to address the weakness in the oil market.
• The Bank of Russia kept interest rates unchanged in its monetary policy
review as expected as it decided to retain the benchmark rate to 4.25%.
The Bank of Russia has lowered interest rates by 200 bps so far this year.
• Data from the statistical office Istat showed that on a monthly basis,
industrial orders in Italy grew 3.7% in Jul 2020 following a 23.7% increase in
the previous month. On a yearly basis, industrial orders fell at a slower pace
of 7.2% following a drop of 11.6% in the previous month.
• Data from the Ministry of Internal Affairs and Communications showed that
overall inflation in Japan grew 0.2% on a yearly basis in Aug 2020.