FII Derivative Trade Statistics 27-Dec
(Rs Cr) Buy
Index Futures 13921.68 14676.42 34263.28
Index Options 151864.57 151949.34 67556.53
Stock Futures 32306.16 32578.21 90480.81
Stock Options 7071.84 7080.18 8995.63
Total 205164.25 206284.15 201296.25
Put Call Ratio (OI) 1.35 1.39 -0.04
Indian Debt Market
Put Call Ratio(Vol) 0.95 0.91 0.04
27-Dec Wk. Ago Mth. Ago
Call Rate 6.58% 6.44% 6.37% 5.96%
T-Repo 6.60% 6.44% 6.40% --
Repo 6.50% 6.50% 6.50% 6.00%
Reverse Repo 6.25% 6.25% 6.25% 5.75%
91 Day T-Bill 6.66% 6.59% 6.73% 6.18%
364 Day T-Bill 6.92% 6.96% 7.20% 6.39%
10 Year Gilt 7.28% 7.27% 7.73% 7.22%
G-Sec Vol. (Rs.Cr) 31874 45131 33537 45535
Currency Market Update
FBIL MIBOR* 6.65% 6.60% 6.58% 6.05%
3 Month CP Rate 7.25% 7.20% 7.80% 7.01%
5 Year Corp Bond 8.26% 8.23% 8.53% 7.91%
1 Month CD Rate 7.07% 6.90% 6.80% 6.40%
3 Month CD Rate 7.07% 6.90% 7.35% 6.40%
1 Year CD Rate 8.06% 8.16% 8.51% 6.96%
Commodity Market Update
Currency 27-Dec Prev_Day
USD/INR 70.33 69.99 0.34
GBP/INR 88.98 88.96 0.02
EURO/INR 80.02 79.82 0.20
JPY/INR 0.63 0.63 0.00
Commodity 27-Dec Wk Ago Mth. Ago
NYMEX Crude($/bl) 44.43 45.59 51.26 59.62
Brent Crude($/bl) 51.43 52.78 59.17 66.37
Gold( $/oz) 1275 1260 1214 1287
Gold(Rs./10 gm) 31513 31040 30673 29092
Source: Thomson Reuters Eikon
*As on 26-Dec-18
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Derivative Statistics- Nifty Options
• Nifty Dec 2018 Futures settled at spot closing of 10,779.80. Nifty Jan
2019 settled at 10,809.85, a premium of 30.05 points over the spot
closing. The turnover on NSE’s Futures and Options segment rose to Rs.
21,62,816.58 crore on Dec 27 compared with Rs. 15,22,811.79 crore on
• The Put-Call ratio stood at 0.86 against the previous day’s close of 0.85.
• The Nifty Put-Call ratio stood at 1.35 compared with the previous
session’s close of 1.39.
• India VIX rose 0.47% to 15.9950 compared with 15.9200 at the
previous trading session.
• Bond yields inched up following the fall in rupee. Yield on the 10-year
benchmark paper (7.17% GS 2028) rose 2 bps to close at 7.28% as
compared with 7.26% in the previous session after trading in the range
of 7.23% to 7.30%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 20,537 crore (gross) on Dec 27 compared with
a borrowing of Rs. 22,786 crore (gross) on Dec 26. Sale of securities
under RBI's reverse repo window stood at Rs. 10,820 crore on Dec 26.
• Banks borrowed Rs. 15,810 crore under the central bank’s Marginal
Standing Facility on Dec 26 compared with no borrowing on Dec 24.
• RBI conducted auction of 7 day variable rate repo for notified amount
of Rs. 20,000 crore for which Rs. 20,001 crore was allotted at cut-off rate
• The Indian rupee declined due to the month end dollar demand from
importers. The rupee closed at 70.35 a dollar compared with the
previous close of 70.07.
• The euro gained against the greenback with the Italian senate giving its
approval to the 2019 Roman budget. In addition, the rising friction
between the U.S. president and the Federal Reserve over interest rate
policy kept dollar under pressure, while strengthening euro.
• Gold prices extended gains from the previous session on account of the
rising uncertainty on global economic growth and the U.S. political
• Brent crude prices edged lower on oversupply concerns and an
expected fall in energy demand owing to global economic slowdown.
• IHS Markit survey data showed Austria's manufacturing growth slowed
in Dec 2018 on the back of a drop in export orders. The headline
UniCredit Bank Austria Manufacturing purchasing managers' index (PMI)
fell to 53.9 from 54.8 in Nov 2018. A reading above 50 suggests growth in
the sector. This is the lowest reading in over two years.
• INE data showed Spain retail sales grew at a slower pace in Nov 2018.
Retail sales increased an adjusted 1.4% YoY in Nov after rising 2.1% in
Oct 2018. On an unadjusted basis, retail sales grew 1.5% after a 4.7%
increase in the previous month. Sequentially, retail sales increased 0.4%
after a 1.1% rise. Food products sales fell 0.1% and non-food product
sales increased 0.2%.