FII Derivative Trade Statistics 13-Sep
(Rs Cr) Buy
Index Futures 2700.90 3707.39 15532.72
Index Options 348323.78 343155.07 56637.10
Stock Futures 12171.43 12371.69 88733.32
Stock Options 5452.19 5465.17 4011.85
Total 368648.30 364699.32 164914.99
Put Call Ratio (OI) 1.34 1.13 0.21
Indian Debt Market
Put Call Ratio(Vol) 1.02 0.94 0.08
13-Sep Wk. Ago Mth. Ago
Call Rate 5.29% 5.37% 5.31% 6.45%
T-Repo 5.28% 5.22% 5.36% NA
Repo 5.40% 5.40% 5.40% 6.50%
Reverse Repo 5.15% 5.15% 5.15% 6.25%
91 Day T-Bill 5.30% 5.30% 5.35% 7.09%
364 Day T-Bill 5.62% 5.65% 5.54% 7.66%
10 Year Gilt 6.64% 6.60% 6.53% 8.13%
G-Sec Vol. (Rs.Cr) 54062 36013 36129 41095
Currency Market Update
FBIL MIBOR 5.43% 5.47% 5.40% 6.59%
3 Month CP Rate 5.65% 5.85% 5.90% 7.95%
5 Year Corp Bond 7.52% 7.48% 7.74% 8.96%
1 Month CD Rate 5.36% 5.14% 5.53% 7.12%
3 Month CD Rate 5.38% 5.73% 5.74% 7.25%
1 Year CD Rate 6.23% 6.47% 6.67% 8.39%
Commodity Market Update
Currency 13-Sep Prev_Day
USD/INR 70.94 71.32 -0.38
GBP/INR 87.65 87.91 -0.26
EURO/INR 78.56 78.51 0.06
JPY/INR 0.66 0.66 0.00
Commodity 13-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 54.71 56.40 57.00 70.32
Brent Crude($/bl) 62.14 61.57 60.04 79.96
Gold( $/oz) 1488 1507 1501 1205
Gold(Rs./10 gm) 37592 38185 37799 30478
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Sep 2019 Futures stood at 11,105.55, a premium of 29.65 points
above the spot closing of 11,075.90. The turnover on NSE’s Futures and
Options segment fell to Rs. 9,21,268.73 on September 13, 2019,
compared with Rs. 24,81,445.36 crore on September 12, 2019.
• The Put-Call ratio stood at 0.94 compared with the previous session’s
close of 0.85.
• The Nifty Put-Call ratio stood at 1.34 compared with the previous
session’s close of 1.13.
• Open interest on Nifty Futures stood at 18.94 million, compared with
the previous session’s close of 18.78 million.
• Bond yields eased on rising expectations of policy rate cuts by the
Monetary Policy Committee, particularly after the release of Aug inflation
data. However, domestic fiscal concern continues to weigh on sentiments.
• Yield on the 10-year benchmark paper (7.26% GS 2029) decreased 2 bps
to 6.64% compared with the previous close of 6.66% after trading in a
range of 6.61% to 6.69%.
• Banks borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,620 crore (gross) on Sep 13, 2019 compared
with borrowings of Rs. 3,994 crore (gross) on Sep 12, 2019. Sale of
securities under Reserve Bank of India’s (RBI) reverse repo window stood
at Rs. 16,417 crore on Sep 12, 2019.
• Banks borrowed Rs. 751 crore under the central bank’s Marginal
Standing Facility on Sep 12, 2019 compared with borrowings of Rs. 477
crore on Sep 11, 2019.
• The Indian rupee rose against the greenback following gains in the
domestic equity market. Ease in trade tensions between U.S. and China
to some extent and European Central Bank’s asset purchase program
announcement added to the gains.
• The euro rose against the greenback after the European Central Bank
exempted euro zone banks from paying a penalty charge on idle cash
worth six times their mandatory reserves.
• Gold prices fell as trade tensions between U.S. and China eased to
some extent which reduced the safe haven appeal of the yellow metal.
• Brent crude prices rose as optimism over U.S.-China trade talks
boosted the demand outlook of the commodity.
• Commerce Department data showed U.S. retail sales increased by
more than expected in Aug 2019. Retail sales increased by 0.4% after
climbing by 0.8% in Jul 2019.
• University of Michigan preliminary data showed sentiment rebounded
by more than anticipated in Sep 2019. Consumer sentiment index rose to
92.0 in Sep after plunging to a three-year low of 89.8 in Aug 2019.
• A Commerce Department report showed business inventories in the
U.S. increased by more than expected in Jul 2019. business inventories
rose 0.4% in Jul 2019 after coming in unchanged in Jun 2019.