FII Derivative Trade Statistics 26-Sep
(Rs Cr) Buy
Index Futures 11576.81 11743.13 21182.99
Index Options 277615.89 275808.46 81695.91
Stock Futures 37256.86 37865.11 96755.74
Stock Options 6243.75 6171.45 4829.91
Total 332693.31 331588.15 204464.55
Put Call Ratio (OI) 1.40 1.27 0.12
Indian Debt Market
Put Call Ratio(Vol) 0.97 0.96 0.01
26-Sep Wk. Ago Mth. Ago
Call Rate 5.34% 5.36% 5.36% 6.45%
T-Repo 5.18% 5.30% 5.20% NA
Repo 5.40% 5.40% 5.40% 6.50%
Reverse Repo 5.15% 5.15% 5.15% 6.25%
91 Day T-Bill 5.39% 5.28% 5.42% 7.15%
364 Day T-Bill 5.56% 5.55% 5.65% 7.70%
10 Year Gilt 6.72% 6.64% 6.48% 8.07%
G-Sec Vol. (Rs.Cr) 45294 43986 56940 31640
Currency Market Update
FBIL MIBOR* 5.45% 5.45% 5.40% 6.60%
3 Month CP Rate 6.00% 5.65% 5.90% 8.40%
5 Year Corp Bond 7.42% 7.50% 7.64% 8.96%
1 Month CD Rate 5.44% 5.38% 5.47% 7.41%
3 Month CD Rate 5.78% 5.69% 5.74% 7.74%
1 Year CD Rate 6.50% 6.35% 6.54% 8.44%
Commodity Market Update
Currency 26-Sep Prev_Day
USD/INR 70.90 71.04 -0.14
GBP/INR 87.68 88.55 -0.87
EURO/INR 77.66 78.14 -0.48
JPY/INR 0.66 0.66 0.00
Commodity 26-Sep Wk Ago Mth. Ago
NYMEX Crude($/bl) 56.22 58.14 53.51 71.84
Brent Crude($/bl) 62.97 65.14 58.93 82.31
Gold( $/oz) 1506 1499 1526 1194
Gold(Rs./10 gm) 37622 37456 38578 30672
Source: Thomson Reuters Eikon
*As on previous trading day
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Derivative Statistics- Nifty Options
• Nifty Sep 2019 Futures settled at spot closing of 11,571.20. Nifty Oct
2019 Futures stood at 11,630.85, a premium of 59.65 points, above the
spot closing. The turnover on NSE’s Futures and Options segment rose to
Rs.33,43,696.98 crore on September 26, 2019, compared with
Rs.15,70,828.38 crore on September 25, 2019.
•The Put-Call ratio stood at 0.73 compared with the previous session’s
close of 0.86.
• The Nifty Put-Call ratio stood at 1.4 compared with the previous
session’s close of 1.27.
• Open interest on Nifty Futures stood at 21.2 million, compared with
the previous session’s close of 20.17 million.
• Bond yields lowered as investors resorted to short covering and foreign
buying. However, the market remains concerned over the fiscal slippage
and continues to await the details of the borrowing plan for further
• Yield on the 10-year benchmark paper (7.26% GS 2029) decreased 4
bps to 6.72% compared with the previous close of 6.76% after trading in
a range of 6.70% to 6.78%.
• Banks borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,832 crore (gross) on Sep 26, 2019 compared
with borrowings of Rs. 3,612 crore (gross) on Sep 25, 2019. Sale of
securities under Reserve Bank of India’s (RBI) reverse repo window stood
at Rs. 29,968 crore on Sep 25, 2019.
• Banks borrowed Rs. 1,805 crore under the central bank’s Marginal
Standing Facility on Sep 25, 2019 compared with borrowings of Rs. 3,460
crore on Sep 24, 2019.
• The Indian rupee rose against the greenback and surged to its highest
level since Aug 9, 2019 following selling of the greenback by foreign
portfolio investors. Gains in the domestic equity market further
supported the rupee. The rupee closed at 70.88 a dollar, up 0.21%
compared with the previous close 71.03.
• The euro fell against the greenback as amid concerns over an
increasingly bleak euro zone economic outlook. Uncertainty over Brexit
further strengthened the greenback. The euro closed at 1.0921, down
0.18% compared with previous close of 1.0941.
• Gold prices inched up after a near 2% slide in the previous session amid
concerns over a slowdown in global growth.
• Brent crude prices fell amid reports that Saudi Arabia is working to
restore output quickly after the drone and missile strikes on two of its
• A report released by the Labor Department showed first-time claims
for U.S. unemployment benefits grew slightly higher in the week ended
Sep 21, 2019. The report said initial jobless claims inched up to 213,000,
an increase of 3,000 from the previous week's revised level of 210,000.
• A Commerce Department final report on U.S. gross domestic product in
the second quarter showed the pace of GDP growth was unrevised from
the previous estimate. The report said real GDP increased at an annual
rate of 2.0 in the second quarter, unchanged from the previous estimate
and in line with expectations.