FII Derivative Trade Statistics 24-Sep
(Rs Cr) Buy
Index Futures 6087.51 6674.92 11300.15
Index Options 290392.55 288433.72 74853.98
Stock Futures 29844.78 28522.74 78807.47
Stock Options 5450.95 5359.27 5133.51
Total 331775.79 328990.65 170095.11
Put Call Ratio (OI) 0.78 1.03 -0.25
Put Call Ratio(Vol) 0.90 0.90 0.00
24-Sep Wk. Ago Mth. Ago
Call Rate 3.43% 3.43% 3.43% 5.32%
T-Repo 3.23% 3.21% 3.08% 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 3.35% 3.31% 3.12% 5.40%
364 Day T-Bill 3.69% 3.60% 3.45% 5.53%
10 Year Gilt 5.99% 6.02% 6.18% 6.78%
G-Sec Vol. (Rs.Cr) 19203 21032 31638 35197
3.69% 3.67% 3.75% 5.45%
3 Month CP Rate 3.60% 3.55% 3.40% 5.90%
5 Year Corp Bond 6.63% 6.77% 6.87% 7.55%
1 Month CD Rate 3.38% 3.34% 3.16% 5.54%
3 Month CD Rate 3.46% 3.29% 3.25% 5.71%
1 Year CD Rate 3.97% 3.89% 3.75% 6.50%
Currency 24-Sep Prev_Day
USD/INR 73.92 73.63 0.30
GBP/INR 93.87 93.43 0.44
EURO/INR 86.14 85.99 0.15
JPY/INR 0.70 0.70 0.00
Commodity 24-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 40.06 40.94 42.39 57.17
Brent Crude($/bl) 40.95 41.93 44.92 65.02
Gold( $/oz) 1868 1943 1932 1532
Gold(Rs./10 gm) 49638 51495 52024 37771
Data as on 23 Sep, 2020
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Derivative Statistics- Nifty Options
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• Nifty Sep 2020 Futures settled at spot closing of 10,805.55. Nifty Oct 2020
Futures stood at 10,856.20, a premium of 50.65 points, above the spot
closing. The turnover on NSE’s Futures and Options segment rose to Rs.
43,02,566.44 crore on September 24, 2020, compared with Rs. 25,61,103.02
crore on September 23, 2020.
• The Put-Call ratio stood at 0.83 compared with the previous session’s close
• The Nifty Put-Call ratio stood at 0.78 compared with the previous session’s
close of 1.03.
• Open interest on Nifty Futures stood at 11.89 million, compared with the
previous session’s close of 10.93 million.
• Bond yields were almost unchanged on concerns of additional borrowing
and uncertainty over the Reserve Bank of India’s (RBI) open market purchase
• Yield on the 10-year benchmark paper (5.77% GS 2030) remained
unchanged at 5.99% from the previous close.
• RBI conducted the auction of Open Market Operations (OMO) purchase of
three government securities for an aggregate amount of Rs. 10,000 crore
but none was accepted despite Rs. 66,473 crore were offered by
• RBI announced to conduct the auction of State Government Securities of 18
states for an aggregate amount of Rs. 24,432 crore.
• The Indian rupee in the spot trade weakened against the greenback
following losses in the domestic equity market amid concerns over COVID-
19 pandemic and worries of a slowdown in global growth.
• The euro was almost steady against the greenback as worries over rising
coronavirus infection cases in Europe fuelled concerns of a slowdown in
global growth which kept market sentiments subdued.
• Gold prices rose as persisting concerns over the COVID-19 pandemic and
worries of a slowdown in global growth improved the safe haven appeal of
the yellow metal.
• Brent crude prices fell due to persisting concerns over COVID-19 pandemic.
• New home sales in the U.S. surprisingly rose strongly by 4.8% to an annual
rate of 1.011 million in Aug 2020, slower than 14.7% surge to an upwardly
revised rate of 965,000 (901,000 originally reported) in Jul 2020.
• Survey results from the ifo Institute showed, Germany’s business confidence
index went up to 93.4 in Sep 2020 from 92.5 in Aug 2020. The index rose to
its highest level since Feb 2020.
• The Labor Department report showed initial jobless weekly claims in the U.S.
rose 4,000 to 870,000 in the week ended Sep 19 from the previous week's
revised level of 866,000 (860,000 originally reported).
• France’s manufacturing confidence index improved to 96 in Sep 2020 from
93 in Aug 2020. The index rose to its highest level in six months.