-Monthly Market Review

October 2017
October 2017 CONTENTS
S. No. Particulars Page No.

1. Key Highlights 1

2. Important Circulars 1

3. International News 2

4. Regulatory News 2

5. Performance of Global Indices 3

6. Primary Market Statistics 3

a. Capital Raised 3

b. New Listings 3

7. Equity & Equity Derivatives 4

a. Index Watch 4

b. Trade Statistics & Growth 5

c. Instrument wise Turnover 6

d. Participant wise Turnover 6

e. Participant wise Open Interest 7

f. Internet Based Trading Turnover 8

8. NIFTY Futures Spreads 8

9. Indices Correlation Matrix 8

10. Most Active Securities based on Turnover 9

a. Top 5 Stocks in Cash Market 9

b. Top 5 Contracts in Stock Futures 9

c. Top 5 Contracts in Stock Options 9

11. Index Derivatives 9

12. Currency Derivatives 10

a. Turnover & Open Interest 10

b. Spread between Reference Rate & Exchange Rate 10

13. NSE Bond Futures II 11

14. INDIA VIX 11

15. Record Statistics 11

16. Global Perspective 12

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1. Key Highlights

1. The benchmark index NIFTY 50 appreciated by 5.59% in the current month and
closed at 10335.30 experiencing a high of 10384.50 and a low of 9831.05

2. During the month the volatility index India VIX depreciated by 0.36% and closed at
12.44 experiencing a high of 12.94 and a low of 10.03

3. The average equity volume was seen at Rs 30373 Cr vs Rs 20272 Cr; up by 49.8% on
YoY basis.

4. The average equity derivative volume was seen at Rs 83411 Cr vs Rs 68252 cr; up by
22.2% on YoY basis.

2. Important Circulars

1. Sovereign Gold Bond 2017-18 - Issuance and Subscription - Series III

Download Ref No: NSE/CMTR/36061 Date: October 09, 2017

2. Discontinuation of Advance collection of service charges

Download Ref No: NSE/MSD/36031 Date: October 05, 2017

https://www.nseindia.com/content/circulars/MSD36031.pdf

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1
3. International News

World Bank publishes the Doing Business 2018 Report (October 31, 2017)
Doing Business 2018 is the 15th in a series of annual reports by World Bank investigating the regulations that enhance
business activity and those that constrain it. The report publishes the ranking for ease of doing business for 190 countries
using 11 parameters. According to the report, 264 reforms were recorded in 119 economies during 2016-17 making it
easier to do business with parameters such as starting a business and getting credit receiving the highest number of
reforms.
The key findings of the 2018 report are:
1. The top 5 performers in ease of doing business are New Zealand, Singapore, Denmark, the Republic of Korea and
Hong Kong SAR, China.
2. India climbed 30 notches in its overall ease of doing business ranking to 100 and has the highest ranking within
South Asia region for protecting minority investors.
3. East Asia and the Pacific region had the highest number of economies with the greatest number of reforms in 2016-
17.
4. Out of the 190 economies covered by the report, 65 can complete at least one business incorporation procedure
online as compared to 9 (out of 145 economies) measured in 2004 report.
5. In Europe and Central Asia, 79% of economies have implemented at least one business regulatory reforms easing
the process of doing business.
6. Sub-Saharan Africa was the region with the highest total number of reforms for the second consecutive year, with 83
reforms recorded across all areas in 2016-17.
For more details see:
http://www.doingbusiness.org/reports/global-reports/doing-business-2018

4. Regulatory News

SEBI revises guidelines for Block Deal Window Mechanism with effect from January 1, 2018 (October 26, 2017)
SEBI revised the framework for block deals by providing two separate trading windows of 15 minutes each.
1. Morning Block Deal Window: This window shall operate between 8:45am to 9:00am and the reference price for
execution of block deals shall be the previous day closing price of the stock.
2. Afternoon Block Deal Window: This window shall operate between 2:05pm to 2:20pm and the reference price for
execution of block deals shall be the volume weighted average price (VWAP) of the trades executed in the stock in
the cash segment between 1:45pm to 2:00pm. The stock exchanges shall calculate and disseminate the necessary
information regarding the applicable VWAP before the opening of afternoon window.
The traded price for trades executed in the block deal window should be within the 1% of the applicable reference price
in the respective windows as mentioned above. The minimum order size for block deals is hiked to Rs. 10 crore from Rs.
5 crore. Every trade executed in the block deal window should result in delivery and cannot be squared off or reversed.
The stock exchanges would disseminate the information on block deals such as the name of the scrip, name of the
client, quantity of shares bought or sold, traded price, among others, to the general public on the same day, after the
market hours.
The circular shall come in to effect from January 1, 2018. As per current framework block deals are allowed during a 35
minute window between 9:15am to 9:50am.
For more details see:
http://www.sebi.gov.in/legal/circulars/oct-2017/review-of-block-deal-window-mechanism_36338.html

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5. Performance of Global Indices
Change
Indices 17-Oct 17-Sep Oct-16
MOM YOY
NIFTY 50 10335.3 9788.6 8625.7 5.59% 19.82%
DJIA 23377.24 22405.09 18142.42 4.34% 28.85%
NIKKEI 22011.61 20356.28 17425.02 8.13% 26.32%
HANG SENG 28245.54 27554.3 22934.54 2.51% 23.16%
NASDAQ 6727.669 6495.959 5189.135 3.57% 29.65%

Performance of select global indices vis-a-vis Nifty50

(Rebased to 100-- March 31, 2016)

140
135
130
125
120
115
110
105
100
95

Jul-17
Nov-16

Jun-17
Apr-17

May-17
Dec-16

Jan-17

Feb-17

Mar-17

Aug-17

Sep-17
Oct-16

Oct-17
Nifty50 DJIA NIKKEI HANG SENG NASDAQ
6. Primary Market Statistics
a. Capital Raised
Capital Raised in Month Rs Mn USD Mn
Newly issued shares (IPOs)- 2,29,808.55 3,547.82
FPOs 0.00 0.00
Public issue of NCDs 1,892.69 29.22
Further Issues (FIs) 115,633.90 1,785.18
Total 3,47,335.14 5,362.22

b. New Listings
Sr. No. Symbol Name of the Company Series Date of Listing
1 INNOVATIVE Innovative Tyres and Tubes Limited SM 3-Oct-2017
2 AIROLAM Airo Lam limited SM 4-Oct-2017
3 RKEC RKEC Projects Limited SM 5-Oct-2017
4 GOLD STAR Goldstar Power Limited SM 6-Oct-2017
5 JASH Jash Engineering Limited SM 6-Oct-2017
6 CMMIPL CMM Infraprojects Limited SM 9-Oct-2017
7 RELIABLE Reliable Data Services Limited SM 9-Oct-2017
8 BETA Beta Drugs Limited SM 10-Oct-2017
9 FORGE Tirupati Forge Limited SM 10-Oct-2017
10 OMFURN Omfurn India Limited SM 10-Oct-2017
11 GODREJ AGRO Godrej Agrovet Limited EQ 12-Oct-2017
12 MILTON Milton Industries Limited SM 12-Oct-2017
13 DP ABHUSHAN D. P. Abhushan Limited SM 16-Oct-2017
14 MASFIN MAS Financial Services Limited EQ 16-Oct-2017
15 IEX Indian Energy Exchange Limited EQ 17-Oct-2017
16 GICRE General Insurance Corporation of India EQ 23-Oct-2017

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7. Equity & Equity Derivatives
a. Index Watch

Index Dashboard
October 31, 2017

Returns (%) Volatility (%) Beta Correlation R2 P/E P/B Dividend

Index Name 1M 3M 1 Yr 3 Yr 5 Yr 1 Yr 1 Yr 1 Yr 1 Yr Yield
Broad Market Indices
NIFTY 50 5.59 2.56 19.82 7.49 12.96 10.47 1.00 1.00 1.00 26.38 3.49 1.08
NIFTY Next 50 7.57 6.16 25.63 18.72 22.16 15.12 1.21 0.84 0.71 33.90 3.45 1.07
NIFTY 100 5.88 3.10 20.68 9.16 14.31 10.91 1.03 0.99 0.99 27.44 3.48 1.07
NIFTY 200 6.14 3.59 21.21 10.01 14.72 11.29 1.06 0.98 0.97 29.28 3.42 1.00
NIFTY 500 6.44 4.10 22.02 11.04 15.52 11.49 1.07 0.97 0.95 31.05 3.34 0.94
NIFTY Midcap 150 7.68 8.03 26.16 20.14 22.89 14.60 1.15 0.83 0.68 50.50 3.35 0.49
NIFTY Midcap 50 9.30 6.91 24.66 15.87 18.70 18.01 1.41 0.82 0.67 - 2.47 0.53
NIFTY Full Midcap 100 8.03 7.18 25.18 18.89 21.15 15.99 1.25 0.82 0.67 55.91 3.04 0.49
NIFTY Smallcap 250 9.91 7.37 28.77 18.21 22.01 16.89 1.27 0.79 0.62 - 2.32 0.43
NIFTY Smallcap 50 10.14 4.39 27.13 16.16 19.08 20.41 1.53 0.79 0.62 41.65 2.00 0.26
NIFTY Full Smallcap 100 10.56 5.92 29.89 16.26 20.00 18.90 1.42 0.79 0.62 56.13 2.22 0.39
NIFTY MidSmallcap 400 8.45 7.81 27.08 19.55 22.63 15.24 1.19 0.82 0.67 58.36 2.90 0.47
NIFTY Free Float Midcap 100 8.12 5.75 23.04 18.25 20.32 15.59 1.23 0.83 0.69 46.04 2.71 0.98
NIFTY Free Float Smallcap 100 12.73 9.60 31.54 18.44 20.18 18.75 1.36 0.76 0.57 - 1.80 0.55

Thematic Indices
NIFTY Commodities 9.28 12.22 29.84 12.09 11.06 15.03 1.19 0.83 0.69 19.66 2.16 2.65
NIFTY CPSE 8.86 14.50 13.94 1.33 8.09 15.75 0.95 0.63 0.40 13.40 2.13 3.95
NIFTY Energy 13.61 13.11 44.01 14.14 13.26 14.68 0.88 0.62 0.39 17.00 2.04 1.70
NIFTY India Consumption 6.97 4.68 21.98 12.29 17.24 12.33 1.00 0.85 0.72 51.63 5.55 0.86
NIFTY Infrastructure 10.36 5.31 25.12 3.00 7.58 13.81 1.04 0.79 0.63 45.25 2.34 1.10
NIFTY MNC 4.85 6.48 32.35 16.89 19.11 13.49 1.06 0.82 0.68 27.35 5.45 1.68
NIFTY PSE 9.04 11.22 17.97 5.25 9.14 14.83 0.97 0.69 0.47 15.38 2.04 3.64
NIFTY Services Sector 3.64 -0.09 21.73 8.89 14.98 10.92 0.97 0.93 0.86 26.25 3.29 0.76
NIFTY100 Liquid 15 5.84 4.79 22.89 6.84 12.42 17.09 1.40 0.86 0.74 21.09 2.19 1.48
NIFTY Midcap Liquid 15 8.90 4.70 22.18 12.29 17.27 18.41 1.40 0.80 0.63 32.76 2.39 0.44
NIFTY Aditya Birla Group 11.70 7.80 23.91 12.34 14.97 20.37 1.35 0.69 0.48 - 2.80 0.30
NIFTY Mahindra Group 6.05 4.29 8.61 0.30 12.38 16.18 0.99 0.64 0.41 23.18 3.24 1.34
NIFTY Tata Group 7.68 6.29 11.25 2.19 14.00 16.38 0.93 0.60 0.35 34.97 4.75 1.26
NIFTY Tata Group 25% Cap 7.95 7.47 13.18 3.79 13.19 17.41 1.28 0.77 0.59 51.89 3.63 0.93
NIFTY Shariah 25 5.90 6.58 20.49 10.93 17.47 11.23 0.95 0.88 0.78 31.69 4.65 1.35
NIFTY50 Shariah 6.10 7.60 27.00 10.53 15.86 11.55 0.92 0.84 0.70 26.48 3.74 1.74
NIFTY500 Shariah 6.50 7.64 25.76 13.79 18.53 11.24 0.95 0.89 0.79 31.06 4.42 1.14
Strategy Indices
NIFTY Alpha 50 10.24 11.04 36.85 20.93 25.16 19.78 1.52 0.81 0.65 43.96 3.41 0.83
NIFTY Alpha Low-Volatility 30 5.07 7.77 24.63 20.73 23.97 11.99 0.98 0.86 0.74 25.48 3.26 1.33
NIFTY Alpha Quality Low-Volatility 30 4.00 3.41 14.80 15.22 19.58 11.56 0.94 0.85 0.72 26.63 6.00 1.52
NIFTY Alpha Quality Value Low-Volatility 4.62 6.19 18.82 12.65 17.32 11.17 0.90 0.84 0.71 20.45 3.87 2.49
NIFTY Dividend Opportunities 50 6.17 6.06 19.83 6.28 9.92 11.68 0.98 0.88 0.78 19.17 3.21 2.58
NIFTY Growth Sectors 15 4.19 2.67 16.51 9.25 17.90 11.67 0.89 0.80 0.64 32.23 7.22 0.98
NIFTY High Beta 50 12.91 6.74 32.46 6.50 8.29 22.80 1.75 0.80 0.64 - 1.22 0.62
NIFTY Low Volatility 50 5.24 3.65 16.63 13.76 17.65 10.38 0.93 0.93 0.87 28.72 4.00 1.39
NIFTY Quality 30 4.70 3.44 9.89 5.90 13.99 10.44 0.88 0.88 0.77 26.36 5.91 1.70
NIFTY Quality Low-Volatility 30 3.19 1.61 10.28 8.90 16.53 9.52 0.80 0.88 0.77 27.31 6.58 1.36
NIFTY50 Equal Weight 6.11 4.97 18.88 7.01 12.12 11.36 1.03 0.95 0.90 26.56 3.38 1.40
NIFTY100 Equal Weight 7.44 5.83 21.16 11.69 16.48 12.46 1.09 0.91 0.83 29.41 3.17 1.43
NIFTY100 Low Volatility 30 4.02 3.42 16.23 10.21 15.10 9.74 0.87 0.93 0.87 24.58 4.09 1.52
NIFTY50 Value 20 8.98 4.63 22.76 5.41 12.71 11.50 0.94 0.85 0.73 21.49 2.59 1.42
NIFTY50 PR 1x Inverse -4.87 -1.29 -12.35 -2.41 -6.85 10.47 -1.00 -1.00 1.00 - - -
NIFTY50 TR 1x Inverse -4.93 -1.51 -13.43 -3.59 -7.99 10.47 -1.00 -1.00 1.00 - - -
NIFTY50 PR 2x Leverage 10.86 3.39 33.73 6.03 16.29 20.93 2.00 1.00 1.00 - - -
NIFTY50 TR 2x Leverage 11.03 3.88 37.12 8.65 19.20 20.96 2.00 1.00 1.00 - - -
NIFTY 50 Arbitrage 0.19 0.94 4.19 6.34 7.18 1.82 0.01 0.05 0.00 - - -
NIFTY 50 Futures 5.51 1.76 16.19 2.27 6.65 10.15 0.96 0.99 0.97 - - -
NIFTY50 USD 6.65 1.74 23.87 5.65 8.90 12.62 1.15 0.95 0.90 - - -

# Returns upto one year are absolute returns. Returns for greater than one year are CAGR returns.
-Volatility (Average daily standard deviation annualized), Beta, Correlation
2
& R for 1 year period.
-P/E, P/B & Dividend Yield as on October 31, 2017
-Returns of NIFTY50 Inverse, NIFTY50 Leverage and fixed income indices are not considered to identify the highest gainer and

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 b. Trade Statistics & Growth

Cash Market

Turnover (INR Crore) NIFTY50 Index

45000 10200
40000
10100
35000
Turnover (INR Crore)

10000
30000
Rs. 30373 Crore

NIFTY50 Index
25000 9900

20000 9800 Average Daily Turnover

15000
10000
9700 for Oct 2017
9600
5000
0 9500

Instrument Oct-17 Oct-16 YOY Change Instrument Oct-17 Sep-17 MOM Change
Daily Average T/O Rs Cr. 30373 20272 49.8% Daily Average T/O Rs Cr. 30373 28576 6.3%

Equity Derivatives Market

NM Futures Turnover in Lacs NIFTY50 Index Nifty Near Month

1800000 10500

1600000
10400
Turnover Rs lacs

1400000
10300
Index value

1200000

1000000

800000
10200
Rs. 83411 Crore
Average Daily Turnover
10100

600000

400000
10000
for Oct 2017
9900
200000

0 9800

Daily Average Turnover Rs. Crs Daily Average Turnover Rs. Crs
Instrument Instrument
Oct-17 Oct-16 % Change Oct-17 Sep-17 % Change
Index Futures 17915 16535 8.3% Index Futures 17915 17614 1.7%
Stock Futures 63065 50009 26.1% Stock Futures 63065 60971 3.4%
Index Options Premium 1809 1301 39.0% Index Options Premium 1809 1750 3.3%
Stock Options Premium 622 406 53.1% Stock Options Premium 622 550 13.1%
Total 83411 68252 22.2% Total 83411 80885 3.1%

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c. Instrument wise Turnover

STK OPT
0.7%
STK OPT
0.7%

IDX OPT
IDX FUT
2.2%
IDX OPT
21.5%
IDX FUT
2.2%

Index derivatives contributed

21.5%

23.65% of total
equity derivatives turnover.
STK FUT
75.6%
STK FUT
75.6%

d. Participant wise Turnover

Cash Markets
Cash Market Equity Derivatives
EQUITY DERIVATIVES

RETAIL RETAIL
55.89% 54.52%
Client Proprietary Other
PRO
82.51% 26.08% 73.92%
17.49%

FII DII FII

16.22% 10.40% 15.23%
DII
4.17%

IndexFUTIDX
Futures StockFUTSTK
Futures

RETAIL RETAIL
53.6% 55.2%
Proprietary Proprietary Other
30.2% Other, 69.8% 24.2% 75.8%

FII DII FII

15.4% DII
14.9% 1.3%
5.1%

Index Options
OPTIDX Stock Options
OPTSTK

RETAIL RETAIL
42.2% 47.7%
Proprietary Other,
45.1% DII Proprietary Other
54.9%
0.2% 40.0% 60.0%

FII FII DII

12.5% 12.3% 0.0%

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 Currency Derivatives
CURRENCY DERIVATIVES

RETAIL
PRO DII
Other 22.82%
73.06% 1.87%
26.94%

FII
2.24%

e. Participant wise Open interest - as on Oct 25, 2017, i.e. one day prior to equity derivatives expiry

Participant wise OI - Index Futures Participant wise OI - Stock Futures

60.0% 70.0%
50.0% 50.0% 60.5%
50.0% 60.0%

39.5% 50.0%
40.0% 35.5% 44.6%

40.0%
30.0%
30.0% 27.0% 27.2%
20.0% 21.6%
20.0%
9.9% 10.5%
10.0% 4.5% 6.2% 6.6%
4.3% 10.0%
2.0%
0.0% 0.0%
Client DII FII Pro Client DII FII Pro

Future Index Long Future Index Short Future Stock Long Future Stock Short

Participant wise OI - Index Calls Participant wise OI - Index Puts

70.0%
70.0%
61.3% 60.4% 60.3%
60.0% 60.0%

50.0% 50.0%
39.7%
40.0% 40.0%
32.7%
30.0% 30.0% 24.8%
21.5% 22.9%
20.0% 17.2% 16.5% 20.0% 14.8%
11.2% 12.8%
10.0% 10.0%
0.0% 3.9%
0.0%
0.0%
0.0%
Client DII FII Pro
Client DII FII Pro
Option Index Call Long Option Index Call Short
Option Index Put Long Option Index Put Short

Participant wise OI - Stock Calls Participant wise OI - Stock Puts

80.0% 70.0% 64.0%
71.3%
70.0% 60.0% 54.4%
58.2%
60.0%
50.0%
50.0%
40.0% 35.1%
40.0% 33.6%
30.0% 24.4%
30.0%
20.4%
20.0%
20.0% 11.6% 10.4%
8.3% 8.2% 10.0%
10.0%
0.0% 0.0% 0.0% 0.0%
0.0% 0.0%
Client DII FII Pro Client DII FII Pro

Option Stock Call Long Option Stock Call Short Option Stock Put Long Option Stock Put Short

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 f. Internet Based Trading Turnover

Cash Market Equity Derivatives

1800000 480000
5000000 15500
Number of Trades Traded Value (INR Cr) 1600000 Number of Trades Traded Value (INR Cr) 430000
4500000
13500 1400000 380000
4000000
1200000 330000

Traded value (INR Cr)

3500000 11500

Number of Trades
Traded Value (INR Cr)
3000000 1000000 280000
Number of Trades

9500
2500000
800000 230000
7500
2000000
600000 180000
1500000 5500
400000 130000
1000000
3500
500000 200000 80000

0 1500 0 30000

Peak Turnover (Rs Cr.) 14023.00 Peak Turnover (Rs Cr.) 453643.00
Average Traded value (Rs Cr.) 9008.60 Average Traded Value (Rs Cr.) 192952.80

8. NIFTY Futures Spreads

NIFTY Futures spread in points NIFTY Futures spread in %

120
Spread Spot Vs NM Spread NM Vs MM Spread NM Vs FM
100 1.5%

80
1.0%
Spread Points

% Futures Spread Vs Spot

60

40 0.5%

20
0.0%
0

OCT NOV DEC

-20
-0.5%

9. Indices Correlation Matrix

INDEX NIFTY50 NIFTY BANK NIFTY IT NIFTY INFRA NIFTY PSE NIFTY MIDCAP 50 INDIA VIX
NIFTY50 100% 72% 53% 68% 62% 72% -53%
NIFTY BANK 72% 100% 30% 81% 38% 66% -21%
NIFTY IT 53% 30% 100% 30% 8% 28% -9%
NIFTY INFRA 68% 81% 30% 100% 57% 59% -15%
NIFTY PSE 62% 38% 8% 57% 100% 52% -48%
NIFTY MIDCAP 50 72% 66% 28% 59% 52% 100% -51%
INDIA VIX -53% -21% -9% -15% -48% -51% 100%

Correlation based on daily closing returns of the respective index

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10. Most Active Securities based on Turnover

a. Top 5 stocks in Cash market

Sr. No. Symbol Gross Traded Quantity (Lacs) Gross Traded Value (Cr) % Contribution
1 INFY 6350 18867 3.11%
2 HDFC 2868 13986 2.31%
3 RELIANCE 4841 13797 2.28%
4 SBIN 1498 13207 2.18%
5 YESBANK 1748 10089 1.66%

b. Top 5 Contracts in Stock Futures

Sr. No. Symbol No of Contracts Turnover (Rs Cr) % Contribution

1 SBIN 474496 41554 3.29%
2 RELIANCE 424978 38096 3.02%
3 TATASTEEL 290846 35516 2.82%
4 ICICIBANK 407268 32001 2.54%
5 HDFCBANK 334501 30409 2.41%

c. Top 5 Contracts in Stock Options

Sr. No. Symbol No of Contracts Premium Turnover (Rs Cr) % Contribution

1 RELIANCE 719686 850 8.37%
2 SBIN 640846 1020 7.25%
3 TATASTEEL 341662 537 5.46%
4 MARUTI 307764 248 4.06%
5 AXISBANK 491534 434 3.83%

11. Index Derivatives

Index Futures Index Options
NIFTYIT
0.1%

NIFTY
37.9%

BANKNIFTY
NIFTY
40.1% BANKNIFTY
59.8%
62.1%

NIFTY Futures expiry wise trading volume NIFTY Options expiry wise trading volume
Dec Others
1.54% Nov 0.08%
Nov 13.88%
Dec
26.84%
1.47%

Oct
71.62% Oct
84.57%

* No. of contracts traded

between 28 Sep 2017 to 26 Oct 2017

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12. Currency Derivatives

a) Turnover & Open Interest

Currency Options Turnover vs OI

Currency Futures Turnover vs OI
80 Premium Turnover in Rs Crs Open Interest (Contracts lacs) 50
Premium Turnover in Rs Crs Open Interest (Contracts lacs)
18,000 40 45
70

Notional Turnovwer Rs Cr.

16,000 40
14,000 32 60
35

OI contracts Lacs

OI Contracts lacs
Notional Turnover Rs Cr

12,000 50
24 30
10,000
40 25
8,000
16 20
6,000 30
15
4,000 8 20
2,000
10
10 5
- -
0 0

Daily Average Turnover Rs. Crs Daily Average Premium Turnover Rs. Crs
Instrument Instrument
Oct-17 Oct-16 YOY Change Oct-17 Oct-16 YOY Change
9982.28 8223.86 21.38% 35.29 19.54 80.63%
Currency Currency
Oct-17 Sep-17 MOM Change Oct-17 Sep-17 MOM Change
Futures Options
9,982.28 13213.61 -24.45% 35.29 44.86 -21.33%
Currency pair wise open interest
(NUMBER OF CONTRACTS )
Currency pair wise Open Interest Currency
Currency pairturnover
pair wise wise Turnover
(Rs. Crs)

EURINR
EURINR 5.51%
USDINR
3.07%
USDINR 86.63%
94.77%
GBPINR
1.32% GBPINR
JPYINR 6.54%
0.85%
JPYINR
1.33%

b) Spread between Reference Rate & Exchange Rate

USDINR Rate Movement GBPINR Rate Movement
66.0 0.40 89.0 0.8
0.30 88.0 0.6
65.5
0.20 87.0 0.4
GBPINR
USDINR RATE

65.0
SPREAD

0.10 86.0 0.2

SPREAD

85.0 0.0
64.5 0.00
84.0 -0.2
-0.10
64.0 83.0 -0.4
-0.20
82.0 -0.6
63.5 -0.30

DSP Ref. Rate Spread

DSP Ref. Rate Spread

EURINR Rate Movement JPYINR Rate Movement

59.5 0.5
77.5 0.6
0.4
0.5 0.3
77.0 0.4 58.5 0.2
JPYINR RATE
EURINR RATE

SPREAD

0.3 0.1
SPREAD

76.5 0.2 0.0

57.5 -0.1
0.1
-0.2
76.0 0.0
-0.3
-0.1 56.5 -0.4
75.5 -0.2

DSP Ref. Rate Spread

DSP Ref. Rate Spread

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13. NSE Bond Futures II

Turnover Rs. Crs Open Interest

3500
185000
3000
Turnover Rs. Crs

165000
2500

OI Contracts
145000
2000 125000 Rs. 1252 Crore
105000
1500
85000
Average Daily Turnover
1000
65000 for Oct 2017
500 45000
0 25000

14. INDIA VIX

India VIX moving average

12.75

12.50 HIGH 12.94

12.46
12.25
LOW 10.03
12.00 12.09

11.75
11.89
11.95 CLOSE 12.44
11.50
10 day 30 day 60 day 90 day

15. Record Statistics

Instrument Turnover Rs. Crs Date

Index Futures 58105.67 29, September, 2016
Stock Futures 190916.83 26, October, 2017
Index Options Premium 4423.88 09, November, 2016
Stock Options Premium 1297.90 25, October, 2017
Equity Turnover 45012.36 29, September, 2016

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16. Global Perspective

a. NSE’s Global Ranking b. Top 3 Exchanges in Stock futures Contracts

Instruments Ranking Rank Name of the Exchange No. of Contracts

Index Options 1 1 Korea Exchange 188864566
Index Futures 12 2 Moscow Exchange 152126864
Stock Options 9 3 National Stock Exchange of India 148306033
Stock Futures 3
Currency Options 1 c. Top 3 Exchanges in Index options
Currency Futures 2 Rank Name of the Exchange No. of Contracts
Equity Shares (no of trades) 3 1 National Stock Exchange of India 982996824
2 Korea Exchange 411981254
*Ranking in no. of contracts traded till YTD basis
Source:WFE data as on Sep 2017 3 Chicago Board Options Exchange 366685699

d. NSE’s contribution to Global Trade

Stock Option Stock Future
Stock Option Stock Future

EMEA
9.92%
Rest of Asia- Pacific
6.13% EMEA Asia - Pacific Rest of Asia-
Asia- Pacific
Americas 47.42% 52.40% Pacific
9.54%
80.54% NSE 32.21%
NSE 20.19%
3.41%
Americas
0.18%

Index Option Index Future

Index Option Index Future
EMEA
32.61%
EMEA
NSE
14.98%
39.79%
Rest of Asia- Pacific
Asia - Pacific 26.65%
Rest of Asia- Asia - Pacific
Americas 64.35% 28.92%
Pacific
20.66% 24.56%
Americas
38.47%
NSE
2.27%

Currency Option Currency Future

Currency Option Currency Future
Rest of Asia-
Pacific
NSE EMEA 17.27%
46.69% 42.57%
EMEA
9.66% Asia - Pacific
Rest of Asia - Pacific NSE
Americas 86.69%
Asia- 34.73% 17.46%
3.65%
Pacific
40.00%
Americas
22.70%

Disclaimer:
“The National Stock Exchange of India Limited is proposing, subject to receipt of requisite approvals, market conditions and other considerations, an initial public offer of its equity shares and has filed a Draft Red Herring Prospectus
dated December 28, 2016 (“DRHP”) with the Securities and Exchange Board of India (“SEBI”). The DRHP is available on the websites of SEBI and the BSE Limited at www.sebi.gov.in and www.bseindia.com, respectively and of the
Managers, Citigroup Global Markets India Private Limited at http://www.online.citibank.co.in/rhtm/citigroupglobalscreen1.htm, JM Financial Institutional Securities Limited at www.jmfl.com, Kotak Mahindra Capital Company Limited
at http://www.investmentbank.kotak.com, Morgan Stanley India Company Private Limited at http://www.morganstanley.com/about-us/global-offices/india/, HDFC Bank Limited at www.hdfcbank.com, ICICI Securities Limited at www.
icicisecurities.com, IDFC Bank Limited at www.idfcbank.com and IIFL Holdings Limited at www.iiflcap.com. Investors should not rely on the DRHP for making any investment decision, and should note that investment in equity shares
involves a high degree of risk, and for details see the section titled “Risk Factors” in the red herring prospectus, when available.
Any securities referred to herein have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States absent registration or an exemption
from registration under the Securities Act. There is no intention to register any securities referred to herein in the United States or to make a public offering of the securities in the United States.”

Incase you have any feedback on this reports please feel free to drop a mail to [email protected].
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