FII Derivative Trade Statistics 08-Jun
(Rs Cr) Buy
Index Futures 3058.97 2958.27 17323.14
Index Options 147012.56 139682.66 60386.73
Stock Futures 10354.53 9660.53 82090.18
Stock Options 5610.40 5683.40 6821.47
Total 166036.46 157984.86 166621.52
Put Call Ratio (OI) 1.49 1.49 0.00
Indian Debt Market
Put Call Ratio(Vol) 1.00 0.97 0.03
08-Jun Wk. Ago Mth. Ago
Call Rate 6.02% 5.98% 5.86% 6.13%
CBLO 5.07% 5.98% 6.00% 6.21%
Repo 6.25% 6.00% 6.00% 6.25%
Reverse Repo 6.00% 5.75% 5.75% 6.00%
91 Day T-Bill 6.45% 6.43% 6.13% 6.26%
364 Day T-Bill 6.99% 6.86% 6.45% 6.35%
10 Year Gilt 7.95% 7.85% 7.58% 6.53%
G-Sec Vol. (Rs.Cr) 36801 15457 46041 79106
Currency Market Update
FBIL MIBOR 6.05% 6.05% 6.04% 6.30%
3 Month CP Rate 7.80% 8.05% 7.75% 6.68%
5 Year Corp Bond 8.73% 8.62% 8.39% 7.58%
1 Month CD Rate 7.12% 6.59% 6.67% 6.26%
3 Month CD Rate 7.09% 7.58% 7.25% 6.38%
1 Year CD Rate 8.39% 8.25% 7.72% 6.81%
Commodity Market Update
Currency 08-Jun Prev_Day
USD/INR 67.52 67.02 0.50
GBP/INR 90.60 90.05 0.56
EURO/INR 79.58 79.10 0.48
JPY/INR 0.62 0.61 0.01
Commodity 08-Jun Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.77 65.81 68.78 45.63
Brent Crude($/bl) 74.20 74.48 75.15 45.94
Gold( $/oz) 1298 1293 1314 1279
Gold(Rs./10 gm) 31027 30764 31082 29161
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty Jun 2018 Futures were at 10,748.1 points, a discount of 19.55
points, below the spot closing of 10,767.65. The turnover on NSE’s
Futures and Options segment went down to Rs. 4,89,425.90 crore on Jun
8 from Rs. 18,18,786.62 crore on Jun 7.
• The Put-Call ratio stood at 0.85 against previous session’s close of 0.87.
• The Nifty Put-Call ratio remained unchanged from the previous
session’s close of 1.49.
• India VIX moved down 0.93% to 12.6575 from 12.7775 in the previous
• Open interest on Nifty Futures stood at 23.25 million as against the
previous session’s close at 22.73 million.
• Bond yields fell after rising for two consecutive days due to short
covering by investors and demand for domestic bonds in the weekly
• Yield on the 10-year benchmark paper (7.17% GS 2028) fell 4 bps to
close at 7.95% from the previous close of 7.99%. During the session,
bond yields traded in the range of 7.91% and 8.03%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,630 crore (gross) on Jun 8 compared with Rs.
3,243 crore (gross) on Jun 7. Sale of securities under Reserve Bank of
India’s (RBI) reverse repo window stood at Rs. 38,712 crore on Jun 7.
• Banks borrowed Rs. 250 crore under the central bank’s Marginal
Standing Facility on Jun 6 as compared with borrowing of Rs. 150 crore
on Jun 5.
• The rupee weakened against the greenback on concerns of foreign
fund outflow from the Indian economy and worries following increase in
global crude oil prices. Greenback demand from foreign and state-run
banks, likely on behalf of oil importers also boosted the greenback.
• The euro weakened against the greenback as market participants
remained cautious ahead of a G7 meeting in Canada.
• Gold prices traded higher in yet another instance of trade war as U.S.
President plans to bail out from the upcoming G-7 summit.
• Brent Crude prices traded higher ahead of the Organization of the
Petroleum Exporting Countries (OPEC) meeting in Vienna on June 22.
• A report from the Labor Department showed that U.S. initial jobs
claims came in at 222,000 for the week ended Jun 2, 2018, down 1,000
from the previous week's revised level of 223,000 (221,000 originally
reported). Continuing claims grew by 21,000 to 1.741 million in the week
ended May 26, 2018.
• A report from the General Administration of Customs showed that
China’s exports grew 12.6% YoY in May 2018 as against market
expectations of a growth of 11.1%. Meanwhile, imports surged 26% YoY
in May as against an expectation of 18.2% gain. The trade surplus came
in at $24.92 billion in May that came in below market expectations of