FII Derivative Trade Statistics 04-Sep
(Rs Cr) Buy
Index Futures 2236.61 2630.26 19352.09
Index Options 69972.69 68375.74 60744.96
Stock Futures 12901.39 13573.95 85018.73
Stock Options 9471.83 9585.70 5851.08
Total 94582.52 94165.65 170966.86
Put Call Ratio (OI) 1.45 1.48 -0.03
Indian Debt Market
Put Call Ratio(Vol) 1.04 1.02 0.02
04-Sep Wk. Ago Mth. Ago
Call Rate 6.32% 6.35% 6.37% 5.86%
CBLO 6.22% 6.38% 5.21% 5.80%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.75% 6.77% 6.76% 6.08%
364 Day T-Bill 7.32% 7.28% 7.25% 6.23%
10 Year Gilt 8.06% 7.90% 7.76% 6.50%
G-Sec Vol. (Rs.Cr) 41362 26760 28593 54777
Currency Market Update
FBIL MIBOR 6.45% 6.46% 6.46% 6.00%
3 Month CP Rate 7.70% 7.80% 7.60% 6.56%
5 Year Corp Bond 8.85% 8.69% 8.64% 7.33%
1 Month CD Rate 6.94% 6.62% 6.69% 6.10%
3 Month CD Rate 7.29% 7.30% 7.03% 6.15%
1 Year CD Rate 8.06% 8.00% 7.96% 6.49%
Commodity Market Update
Currency 04-Sep Prev_Day
USD/INR 71.19 70.77 0.42
GBP/INR 91.46 91.36 0.10
EURO/INR 82.49 82.14 0.35
JPY/INR 0.64 0.64 0.00
Commodity 04-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 69.77 68.49 68.44 47.27
Brent Crude($/bl) 77.58 75.90 73.12 53.09
Gold( $/oz) 1191 1201 1213 1334
Gold(Rs./10 gm) 30191 30097 29428 30165
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2018 Futures settled at 11,573.10, a premium of 52.80
points, above the spot closing of 11,520.30. The turnover on NSE’s
Futures and Options segment improved to Rs. 10,17,418.71 on Sep 4.
• The Put-Call ratio stood at 0.87, compared with the previous session’s
close of 0.91.
• The Nifty Put-Call ratio stood at 1.45 compared with the previous
session’s close of 1.48.
• India VIX improved 2.87% to 13.7775 from 13.3925 in the previous
• Open interest on Nifty Futures stood at 26.04 million as against the
previous session’s close at 25.95 million.
• Bond yields continued to rise as rupee hit a record low of 71.58 against
the greenback with the ongoing pressure on emerging market
currencies. In addition, crude oil prices stayed at elevated levels, making
the yield surpass the 8%-mark. These factors have been weighing on the
market sentiments as it raises concerns over rising inflation, widening
trade deficit and monetary tightening in the domestic economy.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 6 bps to
close at 8.06% from the previous closing of 8.00% after trading in a
range of 7.99% to 8.07%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,471 crore (gross) on Sep 4 compared with a
borrowing of Rs. 3,921 crore (gross) on Sep 3. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
41,159 crore on Sep 3.
• The Indian rupee continued to plunge to a record low, staying north of
the 71-mark as there was consistent surge in crude oil prices. However,
the intervention of the central bank limited further downside. The rupee
declined 0.52% to close at 71.58 per dollar from the previous close of
• The euro fell against the greenback after the later gained from the
rising U.S.- China trade friction. Euro was last seen trading at 1.1557,
down 0.57% from the previous close of 1.1623.
• Gold prices slipped as the greenback appreciated with the aggravating
U.S.-China trade dispute and economic crises in emerging markets.
• Brent crude prices surged amid supply concerns after an American
petroleum major had to cease production in the Gulf of Mexico.
• According to a report from Eurostat, Eurozone’s producer prices grew
4% YoY in Jul 2018 as against a gain of 3.6% in Jun 2018. Excluding
energy, producer price inflation slightly went up to 1.7% in Jul as against
a growth of 1.6% in Jun. Energy prices grew 10.7% in Jul as against a gain
of 9.5% in Jun 2018. Intermediate goods prices surged 3.2% in Jul and
capital goods prices grew 1.1%.
• According to survey data from IHS Markit, U.K.'s construction
Purchasing Managers' Index (PMI) sharply fell to 52.9 in Aug 2018 from
55.8 in Jul 2018. The Aug reading notified expansion at the weakest pace
since last three months.
• A report from British Retail Consortium and KPMG showed that U.K.
like-for-like sales inched up by 0.2% YoY in Aug 2018. Meanwhile, the
total sales grew 1.3% annually.