FII Derivative Trade Statistics 24-May
(Rs Cr) Buy
Index Futures 2181.34 3921.34 22383.16
Index Options 97626.28 97787.23 73702.70
Stock Futures 11379.95 11220.98 84191.18
Stock Options 10004.41 10006.21 10357.74
Total 121191.98 122935.76 190634.78
Put Call Ratio (OI) 1.29 1.18 0.11
Indian Debt Market
Put Call Ratio(Vol) 0.96 0.79 0.17
24-May Wk. Ago Mth. Ago
Call Rate 5.92% 5.92% 5.82% 6.07%
CBLO 5.95% 5.93% 5.95% 6.11%
Repo 6.00% 6.00% 6.00% 6.25%
Reverse Repo 5.75% 5.75% 5.75% 6.00%
91 Day T-Bill 6.20% 6.25% 6.15% 6.27%
364 Day T-Bill 6.80% 6.82% 6.45% 6.46%
10 Year Gilt 7.87% 7.88% 7.68% 6.68%
G-Sec Vol. (Rs.Cr) 17063 14113 42160 30687
Currency Market Update
FBIL MIBOR 6.10% 6.05% 6.02% 6.25%
3 Month CP Rate 8.40% 8.20% 7.25% 6.73%
5 Year Corp Bond 8.72% 8.61% 8.36% 7.45%
1 Month CD Rate 6.81% 6.78% 6.70% 6.24%
3 Month CD Rate 7.83% 7.46% 6.67% 6.41%
1 Year CD Rate 8.19% 8.09% 7.50% 6.86%
Commodity Market Update
Currency 24-May Prev_Day
USD/INR 68.39 68.21 0.17
GBP/INR 91.44 91.43 0.01
EURO/INR 80.14 80.24 -0.10
JPY/INR 0.62 0.62 0.01
Commodity 24-May Wk Ago Mth. Ago
NYMEX Crude($/bl) 70.72 71.42 67.64 50.94
Brent Crude($/bl) 79.89 81.08 76.60 52.93
Gold( $/oz) 1304 1290 1330 1258
Gold(Rs./10 gm) 31164 30826 31131 28701
Source: Thomson Reuters Eikon
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Derivative Statistics- Nifty Options
• Nifty May 2018 Futures were at 10,505.2 points, a discount of 8.65
points, below the spot closing of 10,513.85. The turnover on NSE’s
Futures and Options segment went up to Rs. 15,16,746.20 crore on May
24 from Rs. 8,83,831.89 crore on May 23.
• The Put-Call ratio stood at 0.84 against previous session’s close of 0.83.
• The Nifty Put-Call ratio stood at 1.29 against the previous session’s
close of 1.18.
• Open interest on Nifty Futures stood at 24.46 million as against the
previous session’s close at 24.78 million.
• Bond yields rose following subdued chances of open market purchase
of notes by the central bank. Fall in demand ahead of fresh supply of
bonds on May 25 also dampened investor sentiment.
• Yield on the 10-year benchmark paper (7.17% GS 2028) rose 2 bps to
close at 7.87% from the previous close of 7.85%. During the session,
bond yields traded in the range of 7.83% and 7.88%.
• Banks’ borrowings under the repo window of the Liquidity Adjustment
Facility (LAF) stood at Rs. 4,943 crore (gross) on May 24 compared with
Rs. 14,767 crore (gross) on May 23. Sale of securities under RBI’s reverse
repo window stood at Rs. 11,705 crore on May 23.
• Banks did not borrow under the central bank’s Marginal Standing
Facility on May 23 as against borrowing of Rs. 150 crore on May 22.
• The Indian rupee gained against the greenback after minutes of U.S.
Federal Reserve’s latest policy meeting indicated that rate hike might
occur moving forward, but not at aggressive pace. Gains in the domestic
market also supported rupee. The rupee rose 0.11% to close at 68.34
per dollar from the previous close of 68.42.
• Euro rose against the greenback after minutes of the last U.S. Federal
Reserve meeting indicated rate hike in future, but not aggressively. Euro
was last seen trading at $1.1732, up 0.31% compared with the previous
close of $1.1696.
• Gold prices gained ahead of some key economic data releases in the
U.S. and on persistent concerns over U.S.-China trade war.
• Brent crude prices eased after the U.S. oil inventories rose 5.8 million
barrels in the week to May 18.
• According to a report from the Commerce Department, U.S. new
home sales fell 1.5% to an annual rate of 662,000 in Apr 2018 as against
a gain of 2% to a revised rate of 672,000 (694,000 originally reported) in
Mar 2018. New home sales witnessed steep fall in West. However, it
grew in Northeast and South.
• According to the minutes of European Central Bank's rate-setting
session on Apr 25-26, policymakers have agreed that the underlying
growth momentum in the eurozone remained intact. However,
uncertainty regarding the outlook has increased.
• A report from the Destatis showed that Germany’s gross domestic
product grew 0.3% sequentially in the first quarter 2018, down from
0.6% expansion witnessed in the previous quarter. This marked the
lowest growth in more than a year period.