FII Derivative Trade Statistics 26-Feb
(Rs Cr) Buy
Index Futures 1730.69 2425.13 12394.38
Index Options 51021.64 46370.80 52493.00
Stock Futures 9292.52 8000.17 70936.64
Stock Options 4751.75 4684.45 1951.68
Total 66796.60 61480.55 137775.70
Put Call Ratio (OI) 1.46 1.43 0.03
Indian Debt Market
Put Call Ratio(Vol) 1.01 0.97 0.04
26-Feb Wk. Ago Mth. Ago
Call Rate 5.97% 5.96% 5.91% 5.92%
CBLO 5.91% 4.96% 5.90% 5.79%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.28% 6.32% 6.40% 6.08%
364 Day T-Bill 6.62% 6.56% 6.51% 6.21%
10 Year Gilt 7.69% 7.58% 7.31% 6.91%
G-Sec Vol. (Rs.Cr) 22590 23303 39866 35942
Currency Market Update
1 Month CP Rate 6.88% 6.87% 6.93% 6.55%
3 Month CP Rate 7.90% 7.89% 7.75% 6.86%
5 Year Corp Bond 8.00% 7.88% 7.78% 7.44%
1 Month CD Rate 6.25% 6.23% 6.24% 6.13%
3 Month CD Rate 7.26% 7.22% 7.21% 6.35%
1 Year CD Rate 7.53% 7.48% 7.45% 6.60%
Commodity Market Update
Currency 26-Feb Prev_Day
USD/INR 64.66 64.82 -0.16
GBP/INR 90.65 90.40 0.25
EURO/INR 79.70 79.76 -0.07
JPY/INR 0.61 0.61 0.00
Commodity 26-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 63.80 61.87 65.59 53.94
Brent Crude($/bl) 68.30 64.19 71.17 53.83
Gold( $/oz) 1333 1346 1348 1257
Gold(Rs./10 gm) 30573 30635 30489 29300
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Nifty Mar 2018 Futures were at 10,600.45 points, a premium of 17.85
points, over the spot closing of 10,582.60. The turnover on NSE’s
Futures and Options segment went up from Rs. 4,10,334.60 crore on
Feb 23 to Rs. 4,29,229.27 crore on Feb 26.
• The Put-Call ratio stood at 0.88 against previous session’s close of
• The Nifty Put-Call ratio stood at 1.46 against previous session’s close of
• Open interest on Nifty Futures stood at 21.50 million as against the
previous session’s close of 20.73 million.
• Bond yields rose following rise in international crude oil prices. Market
sentiment remains bearish amid absence of any fresh triggers as well as
low participation from state-run banks. Investors also remained cautious
ahead of the domestic economic growth numbers for the quarter ended
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 2 bps to
close at 7.69% as against previous session’s close of 7.67%. During the
session, bond yields traded in the range of 7.64% and 7.71%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,615 crore (gross) on Feb 26 compared with
Rs. 3,605 crore on Feb 23. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 17,643 crore on Feb 23.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Feb 23 as against Rs. 175 crore borrowing on Feb 22.
• The Indian rupee rose initially against the dollar following gains in the
domestic equity market. However, month end dollar demand from oil
importers wiped out the gains. The rupee inched down 0.09% to close at
64.79 per dollar from the previous close of 64.73 per dollar.
• The euro rose against the dollar as the latter remained under pressure
due to stock market volatility. Euro rose 0.25% and was trading at
$1.2324, from the previous close of $1.2293.
• Gold prices traded higher as U.S. dollar fell as investors remained
cautious ahead of U.S Fed's new head’s testimony this week.
• Brent crude prices traded higher amid news that Saudi Arabia would
continue to curb exports.
• According to the Deputy Governor - Bank of England, country’s
interest rate is likely to rise soon. An acceleration in wage growth has
indicated that faster rate hikes are needed.
• According to the data from U.K. Finance, country’s mortgage approvals
rose three-month high to 40,117 in Jan 2018 from 36,085 in Dec 2017.
Gross mortgage lending increased 7.7% annually to GBP 13.8 billion.
Similarly, card spending increased 5.8% in Jan 2018.
• According to the Confederation of British Industry, U.K.’s service
sector witnessed strong growth in business volumes in three months to
Feb 2018. Both business and professional services and consumer
services reported rise in profits for the first time in Feb since Nov 2015.