FII Derivative Trade Statistics 12-Jun
(Rs Cr) Buy
Index Futures 2328.23 1855.84 19159.16
Index Options 59839.74 59207.15 68975.72
Stock Futures 9713.64 9627.23 83309.17
Stock Options 5159.90 5097.96 7842.66
Total 77041.51 75788.18 179286.71
Put Call Ratio (OI) 1.59 1.54 0.05
Indian Debt Market
Put Call Ratio(Vol) 1.03 0.96 0.07
12-Jun Wk. Ago Mth. Ago
Call Rate 6.10% 5.89% 5.92% 6.04%
CBLO 6.12% 5.70% 5.36% 6.18%
Repo 6.25% 6.00% 6.00% 6.25%
Reverse Repo 6.00% 5.75% 5.75% 6.00%
91 Day T-Bill 6.53% 6.45% 6.25% 6.24%
364 Day T-Bill 6.98% 6.00% 6.66% 6.36%
10 Year Gilt 7.97% 7.83% 7.73% 6.52%
G-Sec Vol. (Rs.Cr) 21448 21761 19290 45471
Currency Market Update
FBIL MIBOR 6.21% 5.99% 6.03% 6.25%
3 Month CP Rate 7.75% 8.10% 7.95% 6.68%
5 Year Corp Bond 8.79% 8.62% 8.50% 7.58%
1 Month CD Rate 7.07% 7.55% 6.64% 6.28%
3 Month CD Rate 7.17% 7.91% 7.45% 6.37%
1 Year CD Rate 8.40% 8.26% 7.94% 6.70%
Commodity Market Update
Currency 12-Jun Prev_Day
USD/INR 67.46 67.34 0.12
GBP/INR 90.06 90.37 -0.31
EURO/INR 79.35 79.52 -0.17
JPY/INR 0.61 0.61 0.00
Commodity 12-Jun Wk Ago Mth. Ago
NYMEX Crude($/bl) 66.38 65.51 70.64 46.05
Brent Crude($/bl) 73.95 72.10 78.36 46.62
Gold( $/oz) 1296 1296 1318 1265
Gold(Rs./10 gm) 30858 30623 31379 28878
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose marginally as investors postponed purchases due to
fear of acceleration in retail inflation in May that is due after market
hours. Investors also awaited cues from the U.S. Federal Reserve’s two-
day monetary policy meeting that starts on May 12.
• Yield on the 10-year benchmark paper (7.17% GS 2028) increased 1
bps to close at 7.97% from the previous close of 7.96%. During the
session, bond yields traded in the range of 7.96% and 7.99%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,728 crore (gross) on Jun 12, same as Jun 11.
Sale of securities under Reserve Bank of India’s (RBI) reverse repo
window stood at Rs. 15,386 crore on Jun 11.
• Banks borrowed Rs. 15 crore under the central bank’s Marginal
Standing Facility on Jun 11 as compared with borrowing of Rs. 1,150
crore on Jun 8.
• A report from the Centre for European Economic Research showed
that ZEW Indicator of Economic Sentiment for Germany fell 7.9 points in
Jun 2018 and came in at -16.1 points. This marked the lowest reading
since Sep 2012. The current conditions index of the survey fell 6.8 points
to 80.6 points.
• A report from the Bank of Japan showed that Japan’s producer prices
grew 0.6% on month in May 2018 as against upwardly revised gain of
0.2% (0.1% originally reported) in April 2018. Japan’s producer prices
grew 2.7% on yearly basis in May as against upwardly revised gain of
2.1% (2% originally reported) in Apr.
• The Indian rupee fell against the U.S. dollar as market participants
remained cautious ahead of monetary policy decisions of key central
banks including the U.S. Federal Reserve. The rupee fell 0.09% to close at
67.48 per dollar from the previous close of 67.42.
• Euro changed little against the U.S dollar as market participants
remained cautious ahead of monetary policy decisions of the U.S. Federal
Reserve and European Central Bank this week. Euro was last seen trading
at $1.1788 compared with the previous close of $1.1782.
• Gold prices traded lower due to lack of specific development from the
meeting between U.S. President and North Korean leader.
• Brent Crude prices traded lower after the OPEC stated that there is high
degree of uncertainty in the global market in 2018.
• Nifty June 2018 Futures were at 10839.05 points, a discount of 3.80
points, over the spot closing of 10,842.85. The turnover on NSE’s Futures
and Options segment went up to Rs. 6,13,694.61 crore on June 12 from
Rs. 5,40,038.38 crore on June 11.
• The Put-Call ratio stood at 0.88 against previous session’s close of 0.90.
• The Nifty Put-Call ratio stood at 1.59 against the previous session’s
close of 1.49.
• India VIX moved down 2.59% to 12.8375 from 13.1800 in the previous
• Open interest on Nifty Futures stood at 24.73 million as against the
previous session’s close at 24.17 million.