FII Derivative Trade Statistics 26-Mar
(Rs Cr) Buy
Index Futures 2954.32 4964.45 23391.79
Index Options 90229.86 90071.96 73362.84
Stock Futures 16320.86 16560.30 75065.74
Stock Options 7134.78 7033.16 7917.14
Total 116639.82 118629.87 179737.51
Put Call Ratio (OI) 1.15 1.04 0.10
Indian Debt Market
Put Call Ratio(Vol) 0.87 0.81 0.06
26-Mar Wk. Ago Mth. Ago
Call Rate 5.98% 5.91% 5.97% 5.88%
CBLO 5.80% 5.96% 5.91% 5.80%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 5.75%
91 Day T-Bill 6.12% 6.13% 6.28% 5.82%
364 Day T-Bill 6.47% 6.50% 6.62% 6.00%
10 Year Gilt 7.62% 7.61% 7.69% 6.83%
G-Sec Vol. (Rs.Cr) 16519 34854 22590 21016
Currency Market Update
1 Month CP Rate 7.75% 7.69% 6.88% 6.63%
3 Month CP Rate 7.39% 7.24% 7.90% 6.65%
5 Year Corp Bond 7.91% 7.95% 8.00% 7.53%
1 Month CD Rate 7.21% 6.83% 6.25% 6.27%
3 Month CD Rate 7.07% 6.79% 7.26% 6.30%
1 Year CD Rate 7.38% 7.26% 7.53% 6.75%
Commodity Market Update
Currency 26-Mar Prev_Day
USD/INR 64.91 65.13 -0.23
GBP/INR 91.87 91.96 -0.09
EURO/INR 80.26 80.34 -0.08
JPY/INR 0.62 0.62 0.00
Commodity 26-Mar Wk Ago Mth. Ago
NYMEX Crude($/bl) 65.48 62.00 63.80 47.25
Brent Crude($/bl) 68.40 64.36 68.30 49.91
Gold( $/oz) 1353 1317 1333 1244
Gold(Rs./10 gm) 30756 30154 30573 28787
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Bond yields rose before the release of the details of government’s half
borrowing calendar. Rise in crude oil prices and sluggish demand in the
state development auction also lowered the appetite for bonds.
• Post market hours, RBI announced that the government will borrow
Rs. 2.88 lakh crore as per the calendar for marketable dated securities
for Apr - Sep 2018. Apart from the normal maturity range (5-9 years, 10-
14 years, 15-19 year and 20 years & above) government will also issue,
maturity papers in the range of 1 to 4 years.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 6 bps to
close at 7.62% from the previous close of 7.56%. During the session,
bond yields traded in the range of 7.56% and 7.63%.
• According to data from the Commerce Department, new home sales in
U.S. declined 0.6% to an annual rate of 618,000 in Feb 2018 from an
upwardly revised 622,000 in Jan 2018. The decrease in new home sales
was due to a sharp decline in sales in the West by 17.6% and 3.7%
decline in Midwest. However, new home sales in the South and
Northeast rose 9.0% and 19.4%, respectively.
• According to data from the Commerce Department, U.S. manufactured
durable goods rose more than expected by 3.1% in Feb 2018 from 3.5%
decline in Jan 2018. The more than expected growth in durable goods
orders was partly due to a significant rebound in orders for
• Nifty Mar 2018 Futures were at 10146.2 points, a premium of 15.55
points, above the spot closing of 10,130.65. The turnover on NSE’s
Futures and Options segment went up from Rs. 7,84,703.84 crore on Mar
23 to Rs. 9,32,469.84 crore on Mar 26.
• The Put-Call ratio, stood at 0.82 against previous session’s close of 0.77.
• The Nifty Put-Call ratio stood at 1.15 against the previous session’s
close at 1.04.
• India VIX moved down 2.25% to 15.1950 from 15.5450 in the previous
• Open interest on Nifty Futures stood at 28.26 million as against the
previous session’s close of 28.76 million.
• The Indian rupee gained against the U.S dollar for the third consecutive
session following drop in greenback globally amid trade war fears in the
wake of likely protectionist policies by the U.S., which can negatively
impact global growth. The rupee rose 0.22% to close at 64.87 per dollar
from the previous close of 65.01.
• Euro was trading higher for the second straight session against the U.S
dollar as investors remained wary about the greenback's outlook against
the backdrop of concerns over a possible trade war. Euro was trading at
$1.2401 compared with the previous close of $1.2351.
• Gold prices inched up on weaker dollar against the euro. However,
upside was limited on news that U.S. and China might negotiate over the
probable U.S. tariff plans on Chinese exports.
• Brent crude prices gained on expectations that the OPEC and Russia
could extend the production cut into 2019.