FII Derivative Trade Statistics 27-Jun
(Rs Cr) Buy
Index Futures 6534.03 6652.47 26417.43
Index Options 86644.96 86452.56 75416.15
Stock Futures 29391.45 29090.22 82670.03
Stock Options 6392.52 6567.54 10172.72
Total 128962.96 128762.79 194676.33
Put Call Ratio (OI) 1.33 1.53 -0.20
Indian Debt Market
Put Call Ratio(Vol) 0.83 0.94 -0.11
27-Jun Wk. Ago Mth. Ago
Call Rate 6.14% 6.24% 5.93% 6.07%
CBLO 6.09% 6.28% 5.08% 6.19%
Repo 6.25% 6.25% 6.00% 6.25%
Reverse Repo 6.00% 6.00% 5.75% 6.00%
91 Day T-Bill 6.51% 6.44% 6.20% 6.25%
364 Day T-Bill 7.10% 7.07% 6.25% 6.34%
10 Year Gilt 7.87% 7.83% 7.79% 6.46%
G-Sec Vol. (Rs.Cr) 23103 27777 30646 31722
Currency Market Update
FBIL MIBOR 6.28% 6.30% 6.02% 6.25%
3 Month CP Rate 7.55% 7.55% 8.35% 6.70%
5 Year Corp Bond 8.76% 8.71% 8.65% 7.48%
1 Month CD Rate 6.92% 6.86% 6.79% 6.34%
3 Month CD Rate 6.99% 6.89% 7.83% 6.34%
1 Year CD Rate 8.12% 8.10% 8.22% 6.69%
Commodity Market Update
Currency 27-Jun Prev_Day
USD/INR 68.52 68.17 0.36
GBP/INR 90.60 90.47 0.13
EURO/INR 79.87 79.74 0.12
JPY/INR 0.62 0.62 0.00
Commodity 27-Jun Wk Ago Mth. Ago
NYMEX Crude($/bl) 76.16 65.92 67.87 44.20
Brent Crude($/bl) 75.58 73.59 77.14 46.16
Gold( $/oz) 1252 1268 1301 1247
Gold(Rs./10 gm) 30536 30589 31171 28738
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose for the fourth consecutive day following rally in the
global crude oil prices and weakening domestic currency that raised
worries about faster pace of consumer inflation growth rate going
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 4 bps to
close at 7.87% as against its previous close of 7.83%. During the session,
bond yields traded in the range of 7.85% and 7.88%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 3,841 crore (gross) on Jun 27, compared with
Rs. 4,841 crore (gross) borrowed on Jun 26. Sale of securities under the
Reserve Bank of India’s (RBI) reverse repo window stood at Rs. 33,226
crore on Jun 26.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on Jun 26 compared with Rs. 10 crore borrowed on Jun 25.
• S&P Global Ratings has affirmed its 'AA+' sovereign credit ratings and
'stable' outlook on the U.S. According to the rating agency, the rating
reflects flexibility and diversity of the economy, institutional strength,
extensive flexibility of economic policy.
• According to a report from the National Bureau of Statistics, China’s
industrial profits surged 21.1% YoY in May 2018 as against an increase of
21.9% in Apr 2018. Industrial profits grew 16.5% on an annual basis in
first five months of 2018 as against an increase of 15% in the first four
• Nifty Jun 2018 Futures were at 10,673.45 points, a premium of 2.05
points, above the spot closing of 10,671.40. The turnover on NSE’s
Futures and Options segment went up to Rs. 12,64,849.26 crore on Jun
27 from Rs. 9,31,576.17 crore on Jun 26.
• The Put-Call ratio stood at 0.85 against previous session’s close of 0.87.
• The Nifty Put-Call ratio stood at 1.33 against the previous session’s
close of 1.53.
• India VIX moved up 6.48% to 13.6275 from 12.7975 in the previous
• Open interest on Nifty Futures stood at 28.69 million as against the
previous session’s close at 27.81 million.
• The rupee fell against the greenback following losses in the domestic
equity market. Persistent concerns over a trade war between U.S. and
China weighed on market sentiment. However, greenback sales by
several state-run banks and private banks restricted further losses.
• The euro fell against the greenback as escalating concerns of a trade
conflict between U.S. and China dampened investor risk sentiment.
• Gold prices fell as dollar strengthened against the euro and on
expectations over a faster rate hike by the U.S. Federal Reserve (Fed).
• Brent crude prices surged on reports that U.S. has urged other nations
to stop crude imports from Iran effectively from Nov 2018.