FII Derivative Trade Statistics 18-May
(Rs Cr) Buy
Index Futures 2135.86 2165.53 18981.38
Index Options 124190.80 121499.23 74045.46
Stock Futures 9825.16 10068.70 85156.37
Stock Options 6928.69 6895.58 9070.62
Total 143080.51 140629.04 187253.83
Put Call Ratio (OI) 1.36 1.46 -0.10
Indian Debt Market
Put Call Ratio(Vol) 0.92 0.90 0.02
18-May Wk. Ago Mth. Ago
Call Rate 5.97% 5.92% 5.88% 6.05%
CBLO 5.98% 5.36% 5.88% 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 6.30% 6.25% 6.10% 6.20%
364 Day T-Bill 6.80% 6.66% 6.51% 6.47%
10 Year Gilt 7.83% 7.73% 7.54% 6.67%
G-Sec Vol. (Rs.Cr) 37693 19290 23991 49329
Currency Market Update
FBIL MIBOR 6.04% 6.03% 6.00% 6.25%
3 Month CP Rate 8.30% 7.95% 6.90% 6.78%
5 Year Corp Bond 8.56% 8.50% 8.21% 7.45%
1 Month CD Rate 6.90% 6.64% 6.46% 6.32%
3 Month CD Rate 7.70% 7.45% 6.80% 6.45%
1 Year CD Rate 8.14% 7.94% 7.36% 6.85%
Commodity Market Update
Currency 18-May Prev_Day
USD/INR 67.96 67.72 0.24
GBP/INR 91.88 91.65 0.23
EURO/INR 80.28 79.89 0.39
JPY/INR 0.61 0.61 0.00
Commodity 18-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 71.18 70.64 68.39 49.31
Brent Crude($/bl) 79.37 78.36 74.32 51.35
Gold( $/oz) 1292 1318 1349 1247
Gold(Rs./10 gm) 30921 31379 31276 28871
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields fell amid speculations that the government may take steps
to revive the domestic bond market.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 5 bps to
close at 7.83% from the previous close of 7.88%. During the session,
bond yields traded in the range of 7.76% and 7.93%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 12,419 crore (gross) on May 18 compared with
Rs. 3,955 crore on May 17. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 1,984 crore on May 17.
• Banks borrowed Rs. 250 crore under the central bank’s Marginal
Standing Facility on May 17 as against borrowing of Rs. 500 crore on
• U.S. leading economic index came in line with market expectations
and grew 0.4% in Apr 2018 that remained unchanged as against
upwardly revised gain in Mar 2018. Improvements by the labor market
components partly led to surge in leading economic index. Meanwhile,
the coincident economic index surged 0.3% in Apr as against a gain of
0.2% in Mar.
• According to a report from the Labor Department, U.S. initial jobless
claims surged 222,000 for the week ended May 12, 2018, up 11,000
from the previous week's level of 211,000. Meanwhile, continuing
claims fell by 87,000 to 1.707 million for the week ended May 5, 2018.
• Nifty May 2018 Futures were at 10,597.05 points, a premium of 0.65
points, above the spot closing of 10,596.40. The turnover on NSE’s
Futures and Options segment went down to Rs. 5,32,191.61 crore on
May 18 from Rs. 14,32,762.88 crore on May 17.
• The Put-Call ratio stood at 0.85 against previous session’s close of 0.87.
• The Nifty Put-Call ratio stood at 1.36 against the previous session’s
close of 1.46.
• India VIX moved up 4.68% to 14.0350 from 13.4075 in the previous
• Open interest on Nifty Futures stood at 25.53 million as against the
previous session’s close at 24.90 million.
• The Indian rupee fell against the U.S. dollar following increase in global
crude oil prices and U.S. Treasury yields. However, greenback sales by
few state-run banks restricted the losses. The rupee fell 0.45% to close at
68.01 per dollar from the previous close of 67.70.
• The euro fell against the greenback as political uncertainty in Italy
continued to weigh investor sentiment. Euro was last seen trading at
$1.1757, down 0.31% compared with its previous close $1.1793.
• Gold prices traded lower as rising bond yield triggered speculation over
faster pace of rate hike by the U.S. Federal Reserve.
• Brent crude prices remained above the $80 per barrel level as concerns
over U.S. sanctions against Iran, ongoing economic crisis in Venezuela
and strong demand continued to support prices.