FII Derivative Trade Statistics 27-Feb
(Rs Cr) Buy
Index Futures 2233.37 1196.93 13555.41
Index Options 45227.82 43810.56 55526.72
Stock Futures 8149.02 7804.93 71718.02
Stock Options 4863.81 4833.82 2767.86
Total 60474.02 57646.24 143568.01
Put Call Ratio (OI) 1.42 1.46 -0.04
Indian Debt Market
Put Call Ratio(Vol) 1.03 1.01 0.03
27-Feb Wk. Ago Mth. Ago
Call Rate 5.93% 5.96% 5.91% 5.93%
CBLO 5.89% 5.98% 5.90% 5.73%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.26% 6.31% 6.40% 6.05%
364 Day T-Bill 6.50% 6.55% 6.51% 6.20%
10 Year Gilt 7.67% 7.67% 7.31% 6.88%
G-Sec Vol. (Rs.Cr) 24462 17498 39866 30630
Currency Market Update
1 Month CP Rate 6.89% 6.91% 6.93% 6.58%
3 Month CP Rate 7.90% 7.88% 7.75% 6.84%
5 Year Corp Bond 8.00% 7.89% 7.78% 7.45%
1 Month CD Rate 6.24% 6.24% 6.24% 5.98%
3 Month CD Rate 7.25% 7.23% 7.21% 6.32%
1 Year CD Rate 7.56% 7.48% 7.45% 6.63%
Commodity Market Update
Currency 27-Feb Prev_Day
USD/INR 64.85 64.66 0.19
GBP/INR 90.58 90.65 -0.07
EURO/INR 79.97 79.70 0.27
JPY/INR 0.61 0.61 0.00
Commodity 27-Feb Wk Ago Mth. Ago
NYMEX Crude($/bl) 62.93 61.89 66.26 53.99
Brent Crude($/bl) 68.23 63.92 69.92 54.36
Gold( $/oz) 1318 1329 1350 1253
Gold(Rs./10 gm) 30496 30567 30489 29661
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Bond yields rose on expectations of slower than expected India’s Gross
Domestic Product (GDP) growth for the quarter ended Dec 2017, which
may influence Monetary Policy Committee (MPC) to restrict interest rate
rise immediately. GDP data is scheduled to be released on Feb 28.
However, fresh supply due to state development auction and following
rise in international crude oil prices, weighed on sentiment.
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 2 bps to
close at 7.67% as against previous session’s close of 7.69%. During the
session, bond yields traded in the range of 7.65% and 7.72%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,585 crore (gross) on Feb 27 compared with
Rs. 3,615 crore on Feb 26. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 9,165 crore on Feb 26.
• A report from the Commerce Department showed that U.S. new home
sales surprisingly fell 7.8% to an annual rate of 593,000 in Jan 2018 as
against a decline of 7.6% to upwardly revised 643,000 (625,000 originally
reported) in Dec 2017. The downside reflects decline in sales in South
and North East, by 14.2% and 33.3%, respectively. However, the decline
was offset by 15.4% and 1% gain in Midwest and West, respectively.
• A report from the European Central Bank showed that broad monetary
aggregate M3 came in line with market expectations and grew 4.6% YoY
in Jan 2018 and remained unchanged against Dec 2017. Growth in credit
to the private sector grew 3.1% as against an increase of 2.9% in Dec.
Loans to private sector gained 3.3% in Jan as against a gain of 2.9% in
• Nifty Mar 2018 Futures were at 10564.05 points, a premium of 9.75
points, over the spot closing of 10,554.30. The turnover on NSE’s Futures
and Options segment went up from Rs. 4,29,229.27 crore on Feb 26 to
Rs. 5,55,470.88 crore on Feb 27.
• The Put-Call ratio stood at 0.90 against previous session’s close of 0.88.
• The Nifty Put-Call ratio stood at 1.42 against previous session’s close of
• India VIX moved up 1.66% to 13.9225 from 13.6950 in the previous
• Open interest on Nifty Futures stood at 22.47 million as against the
previous session’s close of 21.50 million.
• The Indian rupee weakened against the dollar following losses in the
domestic equity market. Month end dollar demand from oil importers
also weighed on the domestic currency.
• The euro inched down against the greenback as market participants
remained on the sidelines ahead of a testimony from the new U.S.
Federal Reserve chief which may determine as to what stance the U.S.
Federal Reserve may adopt moving forward.
• Gold prices traded lower amid cautious stance ahead of the
congressional testimony of the new Federal Reserve Chairman.
• Brent Crude prices were hurt amid concerns over supply glut after the
IEA predicted that the United States will surpass Russia as the world’s
biggest oil producer by 2019, if not sooner.