FII Derivative Trade Statistics 15-Jan
(Rs Cr) Buy
Index Futures 2108.23 2054.57 18278.92
Index Options 63404.32 62376.56 74251.51
Stock Futures 11083.80 9997.42 73233.24
Stock Options 7844.63 7893.19 8239.33
Total 84440.98 82321.74 174003.00
Put Call Ratio (OI) 1.78 1.74 0.04
Indian Debt Market
Put Call Ratio(Vol) 1.38 1.46 -0.08
15-Jan Wk. Ago Mth. Ago
Call Rate 5.91% 5.88% 5.99% 6.04%
CBLO 5.92% 5.81% 6.15% 6.10%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.32% 6.00% 6.16% 6.15%
364 Day T-Bill 5.75% 6.43% 6.32% 6.23%
10 Year Gilt 7.44% 7.34% 7.14% 6.42%
G-Sec Vol. (Rs.Cr) 26753 43017 41341 56197
Currency Market Update
1 Month CP Rate 6.88% 6.87% 6.70% 6.65%
3 Month CP Rate 7.39% 7.34% 6.84% 6.95%
5 Year Corp Bond 7.74% 7.67% 7.52% 7.07%
1 Month CD Rate 6.23% 6.23% 6.23% 6.24%
3 Month CD Rate 6.89% 6.70% 6.30% 6.38%
1 Year CD Rate 7.15% 7.07% 6.77% 6.57%
Commodity Market Update
Currency 15-Jan Prev_Day
USD/INR 63.41 63.53 -0.11
GBP/INR 87.18 86.05 1.13
EURO/INR 77.45 76.53 0.92
JPY/INR 0.57 0.57 0.00
Commodity 15-Jan Wk Ago Mth. Ago
NYMEX Crude($/bl) Closed 61.68 57.24 52.31
Brent Crude($/bl) 71.13 69.12 64.55 54.06
Gold( $/oz) 1340 1320 1255 1197
Gold(Rs./10 gm) 29838 29492 28585 28809
Source: ICRON Research
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Derivative Statistics- Nifty Options
• Bond yields fell as investors resorted to value buying, after sharp rise
in yields last week, even though wholesale price index rose to 17-month
high in Dec 2017.
• Yield on the existing 10-year benchmark paper (6.79% GS 2027) fell 2
bps to close at 7.44% as against previous session close of 7.46%.
• Yield on the new 10-year benchmark paper (7.17% GS 2028) fell 1 bps
to close at 7.27% as against previous session close of 7.28%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 8,470 crore (gross) on Jan 15 as compared with
Rs. 3,255 on Jan 12. Sale of securities under Reserve Bank of India’s (RBI)
reverse repo window stood at Rs. 6,894 crore on Jan 12.
• Banks borrowed Rs. 50 crore under the central bank’s Marginal
Standing Facility on Jan 12, same as that of Jan 11.
• A report from the Commerce Department showed that U.S. business
inventories slightly surpassed market expectations and grew 0.4% in Nov
2017 as against a decline of 0.1% in Oct 2017. The upside partially
reflects rebound in wholesale inventories that grew 0.8% in Nov as
against a decline of 0.4% in Oct. Manufacturing inventories grew 0.4%
and retail inventories slightly grew 0.1% in Nov.
• A report from the Eurostat showed that eurozone’s trade surplus grew
EUR 22.5 billion (seasonally adjusted) in Nov from EUR 19 billion in Oct.
Exports surged 3.4% MoM to EUR 187.1 billion and imports surged 1.6%
to EUR 164.6 billion.
• Nifty Jan 2018 Futures were at 10743.3, a premium of 1.75 points above
the spot closing of 10,741.55. The turnover on NSE’s Futures and Options
segment went up from Rs. 5,62,613.13 crore on Jan 12 to Rs. 5,79,639.73
crore on Jan 15.
• The Put-Call ratio closed at 1.00 against the previous session’s close of
• The Nifty Put-Call ratio stood at 1.78 against previous close of 1.74.
• India VIX moved up 4.17% to 14.3050 from 13.7325 in the previous
• Open interest on Nifty Futures stood at 31.49 million as against the
previous close of 30.22 million.
• The Indian rupee rose against the U.S. dollar following gains in the
domestic equity market. Market sentiment improved further after India’s
industrial output rose in Nov 2017 from a year earlier and registered the
fastest pace of expansion since Oct 2015.
• The euro continued to surge against the greenback on growing
economic optimism in the euro zone and expectations that the European
Central Bank will tighten monetary policy.
• Gold prices remained strong on weaker dollar against major currencies.
• Brent crude prices inched up amid optimism that the Organization of
the Petroleum Exporting Countries (OPEC’s) effort to curb excess supplies
would balance the rising U.S. oil production.