FII Derivative Trade Statistics 06-Sep
(Rs Cr) Buy
Index Futures 3746.60 6074.96 23116.23
Index Options 171793.21 167393.50 72303.37
Stock Futures 15427.55 15742.06 85032.63
Stock Options 9709.37 9741.55 7341.81
Total 200676.73 198952.07 187794.04
Put Call Ratio (OI) 1.40 1.37 0.03
Indian Debt Market
Put Call Ratio(Vol) 0.94 0.96 -0.02
06-Sep Wk. Ago Mth. Ago
Call Rate 6.31% 6.34% 6.29% 5.83%
CBLO 6.21% 6.28% 6.24% 5.82%
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.84% 6.80% 6.76% 6.08%
364 Day T-Bill 7.42% 7.31% 7.23% 6.22%
10 Year Gilt 8.06% 7.93% 7.77% 6.51%
G-Sec Vol. (Rs.Cr) 37281 32339 18937 55818
Currency Market Update
FBIL MIBOR 6.41% 6.45% 6.45% 5.97%
3 Month CP Rate 7.65% 7.70% 7.55% 6.64%
5 Year Corp Bond 8.83% 8.75% 8.64% 7.33%
1 Month CD Rate 6.95% 6.98% 6.60% 6.10%
3 Month CD Rate 7.17% 7.25% 6.98% 6.14%
1 Year CD Rate 8.20% 8.03% 7.95% 6.50%
Commodity Market Update
Currency 06-Sep Prev_Day
USD/INR 71.92 71.75 0.17
GBP/INR 92.80 92.23 0.58
EURO/INR 83.60 83.13 0.47
JPY/INR 0.65 0.64 0.00
Commodity 06-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 67.76 70.20 68.96 49.08
Brent Crude($/bl) 75.74 77.09 72.15 55.02
Gold( $/oz) 1200 1200 1206 1334
Gold(Rs./10 gm) 30535 30099 29491 30205
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2018 Futures settled at 11,567.15, a premium of 30.25
points, above the spot closing of 11,536.90. The turnover on NSE’s
Futures and Options segment improved to Rs. 21,87,006.63 on Sep 6
compared with Rs. 13,57,421.34 on Sep 5.
• The Put-Call ratio stood at 0.81, compared with the previous session’s
close of 0. 77.
• The Nifty Put-Call ratio stood at 1.40 compared with the previous
session’s close of 1.37.
• Open interest on Nifty Futures stood at 28.46 million as against the
previous session’s close at 27.42 million.
• Bond yields settled slightly higher after rupee continued to be on a
losing streak touching yet another record low and crude oil prices
continued to remain at elevated levels. Rising concerns over foreign
fund outflow, inflationary pressure and a possible monetary tightening
policy by the Monetary Policy Committee kept market sentiments low.
• Yield on the 10-year benchmark paper (7.17% GS 2028) increased 1
bps to close at 8.06% from the previous closing of 8.05% after trading in
a range of 8.03% to 8.09%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,846 crore (gross) on Sep 6 compared with a
borrowing of Rs. 3,591 crore (gross) on Sep 5. Sale of securities under
the Reserve Bank of India’s (RBI) reverse repo window stood at Rs.
27,296 crore on Sep 5.
• The Indian rupee plunged against the greenback as the latter was in
high demand from various foreign and state-run banks. This aggravated
worries over foreign fund outflows. The intensified U.S.-China trade
tariff war is also weighing on the local currency. The rupee fell 0.33% to
close at 71.99 per dollar from the previous close of 71.75.
• The euro saw an improvement against the greenback as the UK and
Germany moved ahead on a Brexit deal. Euro was last seen at $1.1647,
up from the previous close of $1.1629.
• Gold prices edged up and surpassed the $1,200-mark as the ngoing
U.S.-China trade tension added to the safe-haven appeal of the precious
• Brent crude inched higher with the impending U.S. sanction on Iran,
which will come into effect from November.
• Data from the U.S. Labour Department showed that the U.S. labour
productivity increased 2.9% in the second quarter of 2018 and was
unrevised from the preliminary estimate. However, labour productivity
increased significantly from an increase of 0.3% in the previous quarter.
• Data from the U.S. Labour Department showed that initial jobless
claims for the week ended Sep 1 fell 10,000 to 203,000 from the
previous week's unrevised level of 213,000. Initial jobless claims thus fell
to their lowest level since hitting 202,000 in December of 1969.
• A report released by payroll processor ADP showed that private sector
employment in U.S. increased 163,000 jobs in Aug 2018 after jumping by
a revised 217,000 jobs (219,000 jobs originally reported) in Jul 2018.