FII Derivative Trade Statistics 21-Mar
(Rs Cr) Buy
Index Futures 1800.06 3316.53 23125.23
Index Options 80332.71 81504.16 73950.78
Stock Futures 8794.37 7997.15 78316.33
Stock Options 5930.79 6079.69 7996.64
Total 96857.93 98897.53 183388.98
Put Call Ratio (OI) 1.07 1.06 0.01
Indian Debt Market
Put Call Ratio(Vol) 0.93 0.92 0.00
21-Mar Wk. Ago Mth. Ago
Call Rate 5.94% 5.83% 5.95% 5.92%
CBLO 5.95% 5.73% 5.96% 5.88%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.07% 6.15% 6.32% 5.78%
364 Day T-Bill 6.50% 6.52% 6.61% 5.87%
10 Year Gilt 7.58% 7.68% 7.71% 6.89%
G-Sec Vol. (Rs.Cr) 38439 20102 12976 32896
Currency Market Update
1 Month CP Rate 7.75% 7.81% 6.90% 6.65%
3 Month CP Rate 7.26% 7.74% 7.89% 6.68%
5 Year Corp Bond 7.93% 8.03% 7.97% 7.60%
1 Month CD Rate 6.90% 7.10% 6.24% 6.25%
3 Month CD Rate 6.82% 7.04% 7.22% 6.29%
1 Year CD Rate 7.30% 7.41% 7.50% 6.68%
Commodity Market Update
Currency 21-Mar Prev_Day
USD/INR 65.22 65.20 0.02
GBP/INR 91.33 91.49 -0.17
EURO/INR 79.96 80.46 -0.50
JPY/INR 0.61 0.61 0.00
Commodity 21-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.09 60.88 61.71 46.97
Brent Crude($/bl) 67.64 63.60 64.55 49.69
Gold( $/oz) 1332 1325 1324 1245
Gold(Rs./10 gm) 30300 30375 30393 28423
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell amid indications that the government may take few
steps to lessen supply burden of FY19 and borrow more next year
through shorter tenure bonds. Also, reports that the government is
working on a strategy to bring down bond yields, while the government
may attempt another round of buyback before the end of the fiscal
further boosted market sentiments.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 4 bps to
close at 7.58% as against previous session’s close of 7.62%. During the
session, bond yields traded in the range of 7.58% and 7.68%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 6,017 crore (gross) on Mar 21 compared with
Rs. 3,460 crore on Mar 20. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 20,367 crore on Mar 20.
• A report from the Ifo Institute showed that Germany’s gross domestic
product is expected to grow 2.6% in 2018 as against an increase of 2.2%
in 2017. The pace of growth is expected to be 2.1% in 2019.
• A report from the Office for National Statistics showed that U.K. ILO
unemployment rate eased to 4.3% in three months to Jan 2018 as
against 4.4% in three months to Dec 2017. This marked the lowest
jobless rate since 1975. The employment rate was 75.3% during the
period Nov-Jan 2018 as against 74.6% in the year-ago period.
• Nifty Mar 2018 Futures were at 10,180.15 points, a premium of 24.90
points, above the spot closing of 10,155.25. The turnover on NSE’s
Futures and Options segment went up from Rs. 6,44,894.77 crore on Mar
20 to Rs. 8,14,332.32 crore on Mar 21.
• The Put-Call ratio, stood at 0.87 against previous close of 0.79.
• The Nifty Put-Call ratio stood at 1.07 against the previous session’s
close at 1.06.
• India VIX moved down 3.20% to 15.1075 from 15.6075 in the previous
• Open interest on Nifty Futures stood at 28.47 million as against the
previous session’s close of 28.23 million.
• Gold prices traded higher as weakness in U.S. dollar against euro
underpinned demand for dollar-denominated commodity.
• Brent Crude prices remained supported by the potential supply
disruptions owing to geo political tensions in the Middle East.
• The Indian rupee closed steady against the greenback as market
participants preferred to remain on the sidelines ahead of the outcome
of Fed's monetary policy review due Mar 21. The rupee inched down
0.02% to close at 65.21 from previous close of 65.19.
• The euro rose against the greenback as market participants preferred
to remain on the sidelines ahead of the outcome of the U.S. Federal
Reserve monetary policy review due Mar 21. Euro was last seen trading
at $1.2312 compared with the previous close of $1.2287.