FII Derivative Trade Statistics 23-Mar
(Rs Cr) Buy
Index Futures 2688.37 2464.08 24053.44
Index Options 111336.20 109232.71 72926.81
Stock Futures 10263.95 9652.73 76059.18
Stock Options 5856.15 5664.98 7836.95
Total 130144.67 127014.50 180876.38
Put Call Ratio (OI) 1.06 1.07 -0.01
Indian Debt Market
Put Call Ratio(Vol) 0.94 0.93 0.01
23-Mar Wk. Ago Mth. Ago
Call Rate 5.93% 5.97% 5.90% 5.92%
CBLO 5.82% 5.29% 5.89% 5.81%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.12% 6.12% 6.19% 5.82%
364 Day T-Bill 6.50% 6.44% 6.61% 6.00%
10 Year Gilt 7.56% 7.56% 7.67% 6.83%
G-Sec Vol. (Rs.Cr) 40602 40873 24927 40405
Currency Market Update
1 Month CP Rate 7.71% 7.60% 6.91% 6.56%
3 Month CP Rate 7.33% 7.31% 7.89% 6.64%
5 Year Corp Bond 7.92% 7.94% 7.98% 7.52%
1 Month CD Rate 7.12% 6.80% 6.25% 6.24%
3 Month CD Rate 7.06% 6.69% 7.24% 6.29%
1 Year CD Rate 7.35% 7.26% 7.52% 6.71%
Commodity Market Update
Currency 23-Mar Prev_Day
USD/INR 65.13 65.06 0.07
GBP/INR 91.96 92.06 -0.11
EURO/INR 80.34 80.37 -0.04
JPY/INR 0.62 0.61 0.01
Commodity 23-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.79 62.28 63.49 46.95
Brent Crude($/bl) 68.62 64.32 66.98 50.06
Gold( $/oz) 1347 1313 1329 1245
Gold(Rs./10 gm) 30700 30299 30390 28870
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields remained unchanged as investors preferred to remain on
the sidelines ahead of a meeting, on Mar 24, wherein government will
discuss the borrowing calendar. However, the investors expect
government to ease supply burden.
• Yield on the 10-year benchmark paper (7.17% GS 2028) remained
unchanged at 7.56%. During the session, bond yields traded in the range
of 7.52% and 7.56%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,580 crore (gross) on Mar 23 compared with
Rs. 5,144 crore on Mar 22. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 28,895 crore on Mar 22.
• Banks borrowed Rs. 23 crore under the central bank’s Marginal
Standing Facility on Mar 22 compared with no borrowings as on Mar 21.
• A report from the Conference Board showed that U.S. leading
economic index came in higher than market expectations and grew 0.6%
in Feb 2018 as against 0.8% increase in Jan 2018. Meanwhile, the
coincident economic index grew 0.3% and the lagging economic index
• According to a report from the Labor Department, U.S. initial jobless
claims edged up to 229,000 for the week ended Mar 17, up 3,000 from
the previous week's level of 226,000. Meanwhile, continuing claims fell
by 57,000 to 1.828 million in the week ended Mar 10.
• Nifty Mar 2018 Futures were at 10003.9 points, a premium of 5.85
points, above the spot closing of 9,998.05. The turnover on NSE’s Futures
and Options segment went up from Rs. 13,65,419.39 crore on Mar 22 to
Rs. 7,84,703.84 crore on Mar 23.
• The Put-Call ratio stood at 0.77 against previous session’s close of 0.82.
• The Nifty Put-Call ratio stood at 1.04 against the previous session’s
close of 1.06.
• India VIX moved up 1.95% to 15.5450 from 15.2475 in the previous
• Open interest on Nifty Futures stood at 28.76 million as against the
previous session’s close of 28.95 million.
• The Indian rupee rose against the U.S. dollar following greenback sales
by exporters ahead of the financial year-end and IPO-related inflows.
However, fears over looming global trade war capped the gains. The
rupee rose 0.15% to close at 65.01 per dollar from the previous close
• The euro rose against the U.S. dollar as the latter weakened due to
concerns that a trade war could hurt global growth. Euro was last seen
trading at $1.2341 compared with the previous close of $1.2300.
• The safe haven appeal of the metal jumped on concerns over
prospective global trade war after the U.S. President signed a
memorandum announcing tariffs on Chinese exports.
• Brent crude prices inched down on concerns over supply glut after
crude production in the U.S. touched a fresh high.