FII Derivative Trade Statistics 11-Apr
(Rs Cr) Buy
Index Futures 2228.76 1108.40 15831.02
Index Options 53867.48 52623.51 61922.22
Stock Futures 8799.12 8304.94 77887.14
Stock Options 5775.31 5717.48 5443.55
Total 70670.67 67754.33 161083.93
Put Call Ratio (OI) 1.50 1.47 0.03
Indian Debt Market
Put Call Ratio(Vol) 1.12 1.09 0.03
11-Apr Wk. Ago Mth. Ago
Call Rate 5.87% 5.90% 5.89% 5.97%
CBLO 5.86% 5.68% 5.85% 5.86%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.07% 6.11% 6.22% 5.95%
364 Day T-Bill 6.41% 6.46% 6.62% 6.15%
10 Year Gilt 7.54% 7.29% 7.67% 6.81%
G-Sec Vol. (Rs.Cr) 43870 64712 29326 47193
Currency Market Update
1 Month CP Rate NA NA 7.80% 6.49%
3 Month CP Rate 6.90% 6.80% 7.83% 6.75%
5 Year Corp Bond 8.23% 8.00% 8.11% 7.50%
1 Month CD Rate 6.40% 6.26% 7.09% 6.13%
3 Month CD Rate 6.69% 6.67% 7.13% 6.35%
1 Year CD Rate 7.33% 7.20% 7.44% 6.61%
Commodity Market Update
Currency 11-Apr Prev_Day
USD/INR 65.13 64.94 0.19
GBP/INR 92.52 91.75 0.77
EURO/INR 80.59 79.90 0.68
JPY/INR 0.61 0.61 0.00
Commodity 11-Apr Wk Ago Mth. Ago
NYMEX Crude($/bl) 66.76 63.34 62.01 53.33
Brent Crude($/bl) 72.90 64.68 65.28 54.87
Gold( $/oz) 1353 1333 1324 1274
Gold(Rs./10 gm) 31023 30844 30369 28814
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields surged as rise in crude oil prices triggered inflationary
concerns amongst the investors. Also, subdued demand for long-tenure
papers weighed on the domestic bond market.
• Yield on the 10-year benchmark paper (7.17% GS 2028) surged 16 bps
to close at 7.54% from the previous close of 7.38%. During the session,
bond yields traded in the range of 7.34% and 7.55%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,810 crore (gross) on Apr 11 compared with
Rs. 6,475 crore on Apr 10. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 15,731 crore on Apr 10.
• Banks borrowed Rs. 600 crore under the central bank’s Marginal
Standing Facility on Apr 10 compared with Rs. 1,600 crore borrowing on
• Gold prices traded higher as geopolitical tension between the U.S. and
• Brent crude prices traded higher on concerns over probable supply
disruption from Syria as U.S. and its western allies discussed a possible
military strike on the nation.
• According to a report from the Labor Department, U.S. producer price
index came in higher than market expectations and grew 0.3% in Mar
2018 as against a gain of 0.2% in Feb 2018. Food prices grew 2.2% and
energy prices fell 2.1% in Mar. Core producer prices excluding food and
energy prices grew 0.3% in Mar as against a gain of 0.2% in Feb.
• A report from Eurostat showed that euro zone’s house prices grew
4.2% YoY in the fourth quarter as against an increase of 4% in the third
quarter. However, sequential growth in house prices eased to 0.9% as
against 1.6% in the third quarter.
• Nifty Apr 2018 Futures were at 10,425.00 points, a premium of 7.85
points, over the spot closing of 10,417.15. The turnover on NSE’s Futures
and Options segment went up from Rs. 5,22,640.99 crore on Apr 10 to
Rs. 7,34,207.42 crore on Apr 11.
• The Put-Call ratio stood at 0.90 against previous session’s close of 0.92.
• The Nifty Put-Call ratio stood at 1.50 against the previous session’s
close of 1.44.
• India VIX moved up 2.58% to 14.8725 from 14.7950 in the previous
• Open interest on Nifty Futures stood at 25.41 million as against the
previous session’s close of 24.01 million.
• The Indian rupee weakened and fell to a near 5-month low against the
U.S. dollar due to demand for greenback from importers following rise in
global crude oil prices. Towards the end, comments from U.S. President
on Russia also hurt risk appetite.
• Euro rose for the fourth consecutive session against the U.S. dollar after
a European Central Bank (ECB) policymaker said the ECB's bond buying
programme could be tapered by the end of 2018. .