FII Derivative Trade Statistics 16-Aug
(Rs Cr) Buy
Index Futures 1938.98 2649.57 28726.96
Index Options 66643.02 65509.32 65098.67
Stock Futures 11035.90 10971.72 86158.14
Stock Options 7911.60 7866.40 10225.61
Total 87529.50 86997.01 190209.38
Put Call Ratio (OI) 1.60 1.70 -0.10
Indian Debt Market
Put Call Ratio(Vol) 1.04 1.14 -0.10
16-Aug Wk. Ago Mth. Ago
Call Rate 6.44% 6.38% 6.18% 5.84%
CBLO 5.84% 6.52% 6.23% 5.84%
Repo 6.50% 6.50% 6.25% 6.00%
Reverse Repo 6.25% 6.25% 6.00% 5.75%
91 Day T-Bill 6.78% 6.67% 6.53% 6.13%
364 Day T-Bill 7.28% 7.26% 7.19% 6.24%
10 Year Gilt 7.86% 7.75% 7.80% 6.53%
G-Sec Vol. (Rs.Cr) 24619 36452 29694 33146
Currency Market Update
FBIL MIBOR 6.46% 6.53% 6.30% 6.00%
3 Month CP Rate 7.70% 7.50% 7.50% 6.55%
5 Year Corp Bond 8.70% 8.61% 8.76% 7.40%
1 Month CD Rate 6.53% 6.63% 6.54% 6.09%
3 Month CD Rate 7.19% 7.12% 7.01% 6.19%
1 Year CD Rate 7.92% 7.95% 7.98% 6.48%
Commodity Market Update
Currency 16-Aug Prev_Day
USD/INR 70.23 69.77 0.46
GBP/INR 89.37 89.23 0.14
EURO/INR 79.97 79.70 0.27
JPY/INR 0.63 0.63 0.00
Commodity 16-Aug Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.39 66.76 68.17 46.75
Brent Crude($/bl) 68.40 69.74 70.02 50.28
Gold( $/oz) 1174 1212 1240 1283
Gold(Rs./10 gm) 29361 29486 30172 28726
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose following weakness in domestic currency. Geopolitical
risks and renewed concerns of widening of India’s current account
deficit for Jul 2018 weighed on the rupee. Meanwhile, investors
remained cautious ahead of the minutes of the third bi-monthly policy
meeting that was scheduled post market hours.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 4 basis
points to close at 7.86% as against previous close of 7.82%. During the
session, bond yields traded in the range of 7.83% and 7.88%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs.5,221 crore (gross) on Aug 16 compared to a
borrowing of Rs.12,550 crore on Aug 14. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 11,575
crore on Aug 14.
• According to a Labor Department report, first-time claims for U.S.
unemployment benefits declined in the week ended Aug 11, 2018. Initial
jobless claims came in at 212,000, a dip of 2,000 from the previous
week's 214,000. Expectations were for jobless claims to increase to
• Eurostat preliminary data showed euro area trade surplus declined for
the third consecutive month in Jun 2018. The seasonally adjusted trade
surplus decreased to EUR 16.7 billion in Jun from EUR 16.9 billion in May
2018. Expectations were for the data to remain unchanged. Exports
increased 1.6% MoM and imports grew 1.8%.
• Nifty August 2018 Futures closed at 11,410.9, a premium of 25.85
points, above the spot closing of 11,385.05. The turnover on NSE’s
Futures and Options segment increased to Rs. 17,76,483.56 on Aug 16
compared with Rs. 7,49,496.29 on Aug 14.
• The Put-Call ratio stood at 0.84 against previous session’s close of 0.93.
• The Nifty Put-Call ratio stood at 1.60 compared with the previous
session’s close of 1.70.
• India VIX increased 1.58% to 13.4925 from 13.2825 in the previous
• Open interest on Nifty Futures stood at 30.72 million as against the
previous session’s close at 30.23 million.
• The rupee fell against the U.S. dollar following wider than expected
India’s trade deficit data for the month of Jul 2018. However, greenback
sales by state-run banks restricted some of the losses.
• The euro rose against the greenback as trade war concerns eased to
some extent on news that a Chinese delegation will travel to the U.S. for
trade talks. Euro rose further as concerns over Turkey’s currency crisis
also eased as lira stabled against the U.S. dollar.
• Gold prices managed to recover with the temporary pause in the recent
U.S. dollar upsurge.
• Brent Crude prices showed signs of recovery in the light of optimism
over resolution of the U.S. – China trade row, which has recently rattled
the global crude oil demand outlook.