FII Derivative Trade Statistics 28-Aug
(Rs Cr) Buy
Index Futures 6068.96 5411.96 33805.23
Index Options 71706.66 72234.77 70981.30
Stock Futures 23549.84 22692.80 89885.01
Stock Options 8406.67 8326.03 12167.26
Total 109732.13 108665.56 206838.80
Put Call Ratio (OI) 1.94 1.85 0.10
Indian Debt Market
Put Call Ratio(Vol) 1.14 1.13 0.01
28-Aug Wk. Ago Mth. Ago
Call Rate 6.35% 6.42% 6.14% 5.86%
CBLO 6.38% 6.47% 6.21% 5.82%
Repo 6.50% 6.50% 6.25% 6.00%
Reverse Repo 6.25% 6.25% 6.00% 5.75%
91 Day T-Bill 6.77% 6.81% 6.70% 6.13%
364 Day T-Bill 7.28% 7.29% 7.23% 6.22%
10 Year Gilt 7.90% 7.83% 7.78% 6.57%
G-Sec Vol. (Rs.Cr) 26760 26516 18953 44543
Currency Market Update
FBIL MIBOR 6.46% 6.50% 6.27% 6.00%
3 Month CP Rate 7.80% 7.75% 7.50% 6.55%
5 Year Corp Bond 8.69% 8.62% 8.66% 7.38%
1 Month CD Rate 6.62% 6.54% 6.88% 6.05%
3 Month CD Rate 7.30% 7.18% 7.33% 6.18%
1 Year CD Rate 8.00% 8.03% 7.99% 6.50%
Commodity Market Update
Currency 28-Aug Prev_Day
USD/INR 70.17 70.04 0.13
GBP/INR 90.33 89.95 0.37
EURO/INR 81.93 81.30 0.62
JPY/INR 0.63 0.63 0.00
Commodity 28-Aug Wk Ago Mth. Ago
NYMEX Crude($/bl) 68.49 67.27 68.61 46.35
Brent Crude($/bl) 75.90 70.84 75.48 52.11
Gold( $/oz) 1201 1196 1223 1310
Gold(Rs./10 gm) 30097 29529 29722 29140
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields inched up as increase in global crude oil prices weighed on
the market sentiment. Global crude oil prices rose amid risks of supply
disruptions from places such as Venezuela, Africa and Iran.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 1 bps to
close at 7.90% from the previous closing of 7.89% after trading in a
range of 7.89% to 7.92%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 5,151 crore (gross) on Aug 28 compared to a
borrowing of Rs. 3,948 crore on Aug 27. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 22,594
crore on Aug 27.
• Banks borrowed Rs. 202 crore under the central bank’s Marginal
Standing Facility on Aug 27 compared to that of Aug 24 when banks
borrowed Rs. 30 crore.
• According to the European Central Bank, eurozone monetary
aggregate growth was slow in Jul 2018. The broad monetary aggregate
M3 went up 4% annually, slower than the 4.5% increase in Jun 2018.
This was slower than expectations of 4.3% growth.
• Census and Statistics Department data showed Hong Kong's foreign
trade deficit went up considerably in Jul 2018 from a year ago. Trade
deficit rose to HK$47.1 billion in Jul from HK$29.6 billion in the same
month last year. However, the shortfall narrowed from HK$54.1 billion
in Jun 2018.
• Nifty August 2018 Futures closed at 11,752.45, a premium of 13.95
points, above the spot closing of 11,738.50. The turnover on NSE’s
Futures and Options segment increased to Rs. 9,93,882.37 on Aug 28
compared with Rs. 7,83,115.45 on Aug 27.
• The Put-Call ratio stood at 0.99 against previous session’s close of 1.01.
• The Nifty Put-Call ratio stood at 1.94 compared with the previous
session’s close of 1.85.
• India VIX decreased 2.04% to 12.4875 from 12.2375 in the previous
• Open interest on Nifty Futures stood at 34.65 million as against the
previous session’s close at 35.29 million.
• The rupee inched up against the greenback following selling of the U.S.
dollar by banks. However, month end dollar demand from oil importers
restricted further losses. The rupee rose 0.09% to close at 70.10
compared to the previous close of 70.16.
• The euro rose against the greenback as investor’s sentiment was
boosted after U.S. and Mexico reached a deal on terms to replace the
North American Free Trade Agreement. Euro was last seen trading at
$1.1723, up 0.39% against the previous close of $1.1677.
• Gold prices gained on weaker dollar and persistent U.S.-China trade
• Brent crude prices got support after the monitoring committee of the
OPEC ndicated that the oil producing countries are maintaining their
compliance to reduce oil production.