FII Derivative Trade Statistics 21-May
(Rs Cr) Buy
Index Futures 1973.11 3407.42 20221.89
Index Options 64921.87 65749.16 74376.32
Stock Futures 10735.02 10975.31 84484.69
Stock Options 9708.87 9770.53 9537.92
Total 87338.87 89902.42 188620.82
Put Call Ratio (OI) 1.28 1.36 -0.08
Indian Debt Market
Put Call Ratio(Vol) 0.92 0.92 0.00
21-May Wk. Ago Mth. Ago
Call Rate 5.96% 5.91% 5.97% 6.06%
CBLO 6.00% 6.00% 6.01% 6.05%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.25% 6.12% 6.13% 6.23%
364 Day T-Bill 6.80% 6.56% 6.00% 6.47%
10 Year Gilt 7.81% 7.83% 7.72% 6.70%
G-Sec Vol. (Rs.Cr) 27694 21083 43122 42883
Currency Market Update
FBIL MIBOR 6.05% 6.01% 6.01% 6.25%
3 Month CP Rate 8.30% 7.95% 7.05% 6.75%
5 Year Corp Bond 8.57% 8.52% 8.42% 7.45%
1 Month CD Rate 7.10% 6.61% 6.56% 6.30%
3 Month CD Rate 7.71% 7.41% 6.79% 6.43%
1 Year CD Rate 8.12% 7.89% 7.43% 6.84%
Commodity Market Update
Currency 21-May Prev_Day
USD/INR 68.09 67.96 0.13
GBP/INR 91.41 91.88 -0.47
EURO/INR 79.93 80.28 -0.35
JPY/INR 0.61 0.61 0.00
Commodity 21-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 72.21 70.96 68.21 50.27
Brent Crude($/bl) 79.33 79.16 75.36 52.42
Gold( $/oz) 1292 1312 1335 1255
Gold(Rs./10 gm) 30881 31427 31298 28659
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10,538.75 points, a premium of 22.05
points, above the spot closing of 10,516.70. The turnover on NSE’s
Futures and Options segment went up to Rs. 6,35,473.34 crore on May
21 from Rs. 5,32,191.61 crore on May 18.
• The Put-Call ratio stood at 0.84 against previous session’s close of
• The Nifty Put-Call ratio stood at 1.28 against the previous session’s
close of 1.36.
• Open interest on Nifty Futures stood at 24.74 million as against the
previous session’s close at 25.53 million.
• Bond yields fell on expectations that the Reserve Bank of India (RBI)
will conduct another open market purchase of bonds soon, thereby
easing the supply pressure.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 2 bps to
close at 7.81% from the previous close of 7.83%. During the session,
bond yields traded in the range of 7.80% and 7.90%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 10,668 crore (gross) on May 21 compared with
Rs. 12,419 crore on May 18. Sale of securities under RBI’s reverse repo
window stood at Rs. 11,158 crore on May 18.
• Banks borrowed Rs. 155 crore under the central bank’s Marginal
Standing Facility on May 17 as against borrowing of Rs. 250 crore on
• The Indian rupee weakened and touched 16 month low against the
U.S. dollar following decline in Asian counterparts. The rupee fell 0.17%
to close at 68.12 per dollar from the previous close of 68.01
• Euro fell marginally against the U.S. dollar on easing concerns of a
trade war between the U.S. and China. Euro was last seen trading at
$1.1766 compared with the previous close of $1.1775.
• Gold prices traded lower post the recent negotiation between China
and the U.S. where both the countries have agreed to put a halt on
imposing import tariffs and have decided to set up a framework to
address the related issue.
• Brent crude inched down on higher crude oil production in U.S.
• A report from the property tracking website Rightmove showed that
U.K.’s house prices were up 0.8% MoM in May 2018 as against an
increase of 0.4% in Apr 2018. House prices grew 1.1% in May on yearly
basis, down from 1.6% in Apr.
• According to a report from Ministry of Finance, Japan’s merchandise
trade surplus came in at 625.977 billion yen in Apr 2018, up 30.9% on
year as against downwardly revised 797.0 billion yen surplus in Mar
2018 (797.3 billion yen originally reported). Exports were up 7.8% on
year to 6.822 trillion yen in Apr as against an increase of 2.1% in Mar.
• A report from the Census and Statistics Department showed that
Hongkong’s consumer prices grew 1.9% YoY in Apr 2018, down from
2.6% increase witnessed in Mar 2018.