FII Derivative Trade Statistics 27-Mar
(Rs Cr) Buy
Index Futures 6614.80 8629.48 24240.18
Index Options 94865.09 94120.63 75151.91
Stock Futures 29233.79 29272.75 77355.80
Stock Options 7426.67 7409.49 7877.99
Total 138140.35 139432.35 184625.88
Put Call Ratio (OI) 1.15 1.15 0.00
Indian Debt Market
Put Call Ratio(Vol) 1.00 0.87 0.13
27-Mar Wk. Ago Mth. Ago
Call Rate 6.00% 5.92% 5.93% 5.96%
CBLO 5.91% 5.83% 5.89% 5.83%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.11% 6.06% 6.26% 5.80%
364 Day T-Bill 6.47% 6.45% 6.50% 5.90%
10 Year Gilt 7.33% 7.62% 7.67% 6.71%
G-Sec Vol. (Rs.Cr) 61226 25012 24462 51905
Currency Market Update
1 Month CP Rate 7.74% 7.76% 6.89% 6.56%
3 Month CP Rate 7.39% 7.25% 7.90% 6.65%
5 Year Corp Bond 7.77% 7.95% 8.00% 7.46%
1 Month CD Rate 7.25% 6.89% 6.24% 6.21%
3 Month CD Rate 7.10% 6.82% 7.25% 6.30%
1 Year CD Rate 7.39% 7.27% 7.56% 6.69%
Commodity Market Update
Currency 27-Mar Prev_Day
USD/INR 64.80 64.91 -0.11
GBP/INR 92.26 91.87 0.39
EURO/INR 80.76 80.26 0.51
JPY/INR 0.61 0.62 0.00
Commodity 27-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.20 63.36 62.93 46.97
Brent Crude($/bl) 68.22 65.24 68.23 50.06
Gold( $/oz) 1344 1311 1318 1254
Gold(Rs./10 gm) 30718 30251 30496 28905
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields plunged after the federal government moved to ease debt
supply burden in the first six months of the next financial year. The
government announced that India will sell bonds worth Rs. 2.88 trillion
in Apr 2018-Sep 2018 accounting to only 47.56% of the government’s
budgeted fiscal-year borrowing which is much lower than 60%-65% in
the last five years.
• Yield on the 10-year benchmark paper (7.17% GS 2028) plunged 29 bps
to close at 7.33% from the previous close of 7.62%. During the session,
bond yields traded in the range of 7.56% and 7.63%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 8,427 crore (gross) on Mar 27 compared with
Rs. 4,465 crore on Mar 26. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 34,659 crore on Mar 26.
• A report from the European Central Bank showed that eurozone’s
broad monetary aggregate M3 grew 4.2% year-on-year in Feb 2018,
down from 4.5% increase witnessed in Jan 2018. The narrow measure,
M1 grew 8.4% in Feb as against a gain of 8.8% in Jan.
• According to a report from the European Commission, eurozone’s
economic confidence index fell more-than-market expectations to 112.6
in Mar 2018 from 114.2 in Feb 2018. This marked the third consecutive
month of decline and lowest reading since Sep 2017. The downside
reflects drops in industry, services and retail trade.
• Nifty Mar 2018 Futures were at 10178.95 points, a discount of -5.20
points, below the spot closing of 10,184.15. The turnover on NSE’s
Futures and Options segment went up from Rs. 9,32,469.84 crore on Mar
26 to Rs. 11,31,391.77 crore on Mar 27.
• The Put-Call ratio, stood at 0.91 against previous session’s close of 0.82.
• The Nifty Put-Call ratio remained unchanged at 1.15 against the
previous session’s close.
• India VIX moved up 2.34% to 15.5500 from 15.1950 in the previous
• Open interest on Nifty Futures stood at 28.88 million as against the
previous session’s close of 28.26 million.
• The Indian rupee fell against the U.S. dollar as greenback demand by
importers outweighed initial gains due to improved risk appetite amid
reports of trade negotiations between the U.S. and China. The rupee fell
0.17% to close at 64.98 per dollar from the previous close of 64.87.
• The euro was trading lower against the U.S dollar as concerns about
weak inflation and a slowdown in company borrowing raised questions
about the eurozone's economic growth rate. Euro was trading at $1.2401
compared with the previous close of $1.2442.
• Gold prices moved down on easing concerns over the prospective trade
war between the U.S. and China.
• Brent crude prices gained on rising geopolitics tension and on
expectations that the OPEC might extend the production cut deal to
combat the supply glut.