FII Derivative Trade Statistics 22-May
(Rs Cr) Buy
Index Futures 1625.59 2298.68 21135.54
Index Options 79820.41 78040.12 73354.88
Stock Futures 9929.40 10449.68 83622.60
Stock Options 8722.87 8653.23 9613.41
Total 100098.27 99441.71 187726.43
Put Call Ratio (OI) 1.23 1.28 -0.05
Indian Debt Market
Put Call Ratio(Vol) 0.78 0.92 -0.14
22-May Wk. Ago Mth. Ago
Call Rate 5.97% 5.87% 5.97% 6.05%
CBLO 6.01% 5.96% 6.01% 6.06%
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% 6.18% 6.13% 6.22%
364 Day T-Bill 6.82% 6.72% 6.00% 6.14%
10 Year Gilt 7.81% 7.90% 7.72% 6.66%
G-Sec Vol. (Rs.Cr) 23202 27501 43122 42883
Currency Market Update
FBIL MIBOR 6.09% 6.05% 6.01% 6.25%
3 Month CP Rate 8.40% 8.00% 7.05% 6.76%
5 Year Corp Bond 8.60% 8.57% 8.42% 7.42%
1 Month CD Rate 6.82% 6.62% 6.56% 6.29%
3 Month CD Rate 7.70% 7.45% 6.79% 6.43%
1 Year CD Rate 8.17% 7.90% 7.43% 6.84%
Commodity Market Update
Currency 22-May Prev_Day
USD/INR 68.02 68.09 -0.07
GBP/INR 91.25 91.41 -0.16
EURO/INR 80.07 79.93 0.14
JPY/INR 0.61 0.61 0.00
Commodity 22-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 72.04 71.29 68.21 50.76
Brent Crude($/bl) 81.41 79.93 75.36 52.99
Gold( $/oz) 1291 1290 1335 1260
Gold(Rs./10 gm) 31065 31342 31298 28673
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10552.85 points, a premium of 16.15
points, above the spot closing of 10,536.70. The turnover on NSE’s
Futures and Options segment went up to Rs. 7,02,865.80 crore on May
22 from Rs. 6,35,473.34 crore on May 21.
• The Put-Call ratio stood at 0.78 against previous session’s close of
• The Nifty Put-Call ratio stood at 1.23 against the previous session’s
close of 1.28.
• Open interest on Nifty Futures stood at 24.61 million as against the
previous session’s close at 24.74 million.
• Bond yields stood steady on hopes that central bank will soon
announce an open market bond purchase to narrow the liquidity deficit
in the banking system.
• Yield on the 10-year benchmark paper (7.17% GS 2028) stood steady
at 7.81% same as previous close. During the session, bond yields traded
in the range of 7.78% and 7.85%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 16,812 crore (gross) on May 22 compared with
Rs. 10,668 crore on May 21. Sale of securities under RBI’s reverse repo
window stood at Rs. 5,373 crore on May 21.
• Banks borrowed Rs. 1,140 crore under the central bank’s Marginal
Standing Facility on May 21 as against borrowing of Rs. 155 crore on
• The Indian rupee rose against the greenback as the latter remained
under pressure ahead of the release of the U.S. Federal Reserve’s latest
policy meeting minutes due May 23, 2018. However, month end dollar
demand from oil importers capped the gains.
• Euro fell against the greenback as trade tensions between U.S. and
China eased to some extent. However, profit booking on the greenback
restricted further losses.
• Gold prices marginally gained ahead of the minutes of the U.S. Federal
Reserve's last policy meeting,.
• Brent crude prices remained at elevated level on concerns over U.S.
sanction on Venezuela which will further restrict oil supply in the global
• A report from the Office for National Statistics showed that U.K.’s
public sector net borrowing, excluding public sector banks, fell GBP 1.6
billion to GBP 7.8 billion in Apr 2018. This marked the lowest net
borrowing since 2008. Public sector net debt came in at GBP 1.77 billion
or equivalent to 85.1% of gross domestic product at the end of Apr.
• A report from the Confederation of British Industry showed that U.K’s
total order book balance fell to -3% in May 2018. This marked the lowest
order book balance since Nov 2016. Meanwhile, a net 8% reported
above normal export order book level and a net 3% reported an increase
in volume of output over three months to May.