FII Derivative Trade Statistics 07-May
(Rs Cr) Buy
Index Futures 1510.09 2003.10 14050.38
Index Options 41059.22 39942.85 61422.43
Stock Futures 8655.97 8911.25 80893.70
Stock Options 5107.03 5062.17 6064.23
Total 56332.31 55919.37 162430.74
Put Call Ratio (OI) 1.56 1.49 0.07
Indian Debt Market
Put Call Ratio(Vol) 0.98 0.98 0.00
07-May Wk. Ago Mth. Ago
Call Rate 5.94% 6.02% 5.89% 6.02%
CBLO 6.00% 5.53% 5.79% 6.07%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.22% 6.19% 6.08% 6.23%
364 Day T-Bill 6.48% 6.45% 6.45% 6.43%
10 Year Gilt 7.62% 7.77% 7.17% 6.94%
G-Sec Vol. (Rs.Cr) 25757 23708 55428 39811
Currency Market Update
FBIL MIBOR 6.00% 6.00% 6.00% 6.24%
3 Month CP Rate 7.70% 7.40% 6.85% 6.76%
5 Year Corp Bond 8.42% 8.45% 7.89% 7.51%
1 Month CD Rate 6.65% 6.69% 6.11% 6.21%
3 Month CD Rate 7.16% 7.07% 6.66% 6.42%
1 Year CD Rate 7.76% 7.71% 7.12% 6.71%
Commodity Market Update
Currency 07-May Prev_Day
USD/INR 67.11 66.77 0.34
GBP/INR 90.85 90.58 0.26
EURO/INR 80.12 79.97 0.15
JPY/INR 0.61 0.61 0.00
Commodity 07-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 70.69 68.51 62.02 46.18
Brent Crude($/bl) Closed 76.66 65.70 46.69
Gold( $/oz) 1314 1315 1333 1228
Gold(Rs./10 gm) 31191 31033 30396 28227
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10739.85 points, a premium of 24.35
points, above the spot closing of 10,715.50. The turnover on NSE’s
Futures and Options segment went up to Rs. 3,69,960.32 crore on May 5
from Rs. 3,67,606.45 crore on May 4.
• The Put-Call ratio stood at 0.99 against previous session’s close of 0.92.
• The Nifty Put-Call ratio stood at 1.56 against the previous session’s
close of 1.49.
• Open interest on Nifty Futures stood at 24.74 million as against the
previous session’s close of 24.49 million.
• Bond yields fell following surprise announcement by the government
to conduct an open market purchase of bonds for an aggregate amount
of Rs. 100 billion on May 17. However, significant fall in Indian rupee
capped the gains.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 11 bps to
close at 7.62% from the previous close of 7.73%. During the session,
bond yields traded in the range of 7.55% and 7.65%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 14,502 crore (gross) on May 07 compared with
Rs. 4,810 crore on May 04. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 5,366 crore on May 04.
• Banks borrowed Rs. 430 crore under the central bank’s Marginal
Standing Facility on May 04 compared with Rs. 160 crore borrowed on
• The Indian rupee weakened against the U.S. dollar as market
sentiment dampened following increase in global crude oil prices.
Greenback demand from corporates also hurt the domestic currency.
However, dollar sales by the central bank restricted further losses.
• Euro fell against the U.S. dollar as market participants perceived that
the U.S. Federal Reserve would aggressively increase interest rates in
• Gold prices inched down as the U.S. dollar gained strength against the
• Brent crude prices traded at elevated levels on concerns of re-
imposition of U.S. sanctions on Iran, which may disrupt oil supply from
the Middle-East region.
• According to data from Destatis, Germany factory orders fell 0.9%
MoM in Mar 2018 as against 0.2% fall in Feb 2018. The fall in factory
orders came due to weak foreign demand. However, on a yearly basis,
factory orders rose 3.1% against 3% rise in Feb 2018.
• According to data from IHS Markit, Germany’s construction Purchasing
Managers' Index rose to 50.9 in Apr 2018 from 47.0 in Mar 2018. The
month reading of Apr recovered from previous month that witnessed
disruption to building work due to severe weather conditions.
• According to data from Sentix, eurozone’s investor sentiment index
unexpectedly decreased for the fourth consecutive month to 19.2 in
May 2018 from 19.6 in Apr 2018. Similarly, the current situation index
marginally fell to 42.8 in Apr from 43.0 in May.