October 23rd, 2013
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
OCT
OCT
OCT
OCT
Call
Open
61.7000
84.5900
99.5950
62.7700
Currency Futures (NSE)
High
Low
61.9450
61.6275
84.6450
84.2750
99.8500
99.3950
62.9700
62.6200
Option Monitor
Premium
1.7250
0.7750
0.2275
0.0550
0.0225
Previous
0.44
8.25
14.27
8.83
Strike Price
60.00
61.00
62.00
63.00
64.00
Close
61.6825
84.3650
99.5325
62.7025
% chg
0.11%
0.13%
-0.07%
-0.11%
Put
OI
452281
37187
16330
7834
Pivot
61.75
84.43
99.59
62.76
S1
Support - Resistance for the day
S2
R1
61.56
61.43
61.88
84.21
84.06
84.58
99.34
99.14
99.79
62.56
62.41
62.91
OPEN INTEREST Distribution
R2
62.07
84.80
100.05
63.11
IV
10.44
7.25
9.80
11.91
14.91
OI
2666
26992
50838
52365
28089
Volume
605
7714
56683
12194
5094
Current
0.41
8.25
15.70
9.20
Premium
0.0300
0.1275
0.5550
1.3725
2.3000
7
PCR
30 Day Volatility
Call Implied Vol
Put Implied Vol
Days to
expiry
42077
37714
41279
61232
7006
FII Activity
Action
Rs. (Crs)
BUY
2835
SELL
1834
NET
1002
Market Snapshot
Volume
8095
29678
14343
787
34
OI
IV
13.54
11.76
12.52
15.97
19.09
$ (Mil)
472
305
167
64.00
63.00
62.00
61.00
60.00
0
20000
40000
60000
Put
Call
80000
USDINR:
INR weakened by 11 paise against the USD to 61.63, on sustained demand from importers amid its strengthening against other currencies. Non-farm payrolls rose by 148,000 in September, below expectations of an increase of
180,000. The rupee is likely to strengthen during the week on the back of lower-than-expected US payroll data, which is likely to delay the easing of the Federal Reserve’s bond-buying programme. Given that the US will postpone its quantitative
easing programme and the RBI will turn off oil marketing companies' dollar swap window, the upside for the rupee becomes restricted hereon. When they taper off or when those swaps are stopped, what we are going to have are two different
changes in the demand-supply equation in the currency market. . Short term bias looks to be in the range of 61.10 – 62, breach on either side will give clear direction for short term. Immediate resistance is at 61.60 – 61.95. Prices sustained
breach below 61.10 – 61 will turn bias negative
EURINR:
The dollar held near an almost two-year low against the euro before U.S data that may add to the case for the Federal Reserve to maintain stimulus for longer. With the labor department report showing fewer jobs addition, the market is
turning to the quantitative easing trade as tapering gets pushed back to possibly March next year, with the dollar is coming under some selling pressure. A poll last month forecast the first reduction would be in December. The Fed’s next two
policy meetings are scheduled for Oct. 29-30 and Dec. 17-18. Consumer sentiment in Europe probably rose to minus 14.5 this month, the least negative since July 2011. On the domestic front, immediate support is at 84.25, sustained breach
below could test 84 – 83.75. Resistance is at 84.90 and break above will confirm bullish move towards 85.25 – 85.40
GBPINR:
The pound traded close to a three-week high against the dollar before the BOE releases minutes today from its Oct. 9-10 meeting. The BOE’s Monetary Policy Committee held its target for asset purchases at 375 billion pounds ($609
billion) and kept its key interest rate at a record-low 0.5%. Earlier in the day, data showed that the U.K. public sector deficit narrowed to GBP11.1 billion in September from GBP12.1 billion in September 2012. Resistance is at 99.85, till holds
below looks sideways to down. Support is at 99.25 – 98.90
JPYINR:
The dollar traded lower against the Japanese yen during Wednesday’s as disappointing U.S. employment data spurred safe-haven buying in the yen. The yen has traded higher over the past few months against the greenback as
several macro issues, including the recent government shutdown in the U.S. buoyed the yen as a safe-haven alternative. However, that does not mean the short yen trade has evaporate. Immediate resistance against the INR is at 63 whereas
strong resistance is at 63.20. Selling is advisable with strict stop loss above 63. Support is at 62.40 – 62.22. Sustained breach above 63.20 will confirm bullish move .
Economic Data
Technical Chart

Yesterday
Non-Farm payrolls
Unemployment rate
Currency
USD
USD
Actual
148K
7.2%
Prior
193K
7.3%
Impact
HIGH
HIGH
Today
MPC meeting minutes
House price index
Consumer Confidence
Currency
GBP
USD
EUR
Expected
-
0.8%
-14.4
Prior
-
1.0%
-14.9
Impact
HIGH
MILD
MILD
Debt Market
Forward
LIBOR 1-Mth
LIBOR 3-Mth
MIBOR 1-Mth
MIBOR 3-Mth
US 5Yr Yield
US 10Yr Yield
IND 10Yr Yield
Call Money rate
Last
0.17
0.24
9.44
10.02
100.47
99.97
90.70
9.00
1 Day ago
% Chg
0.17
0.00%
0.24
0.10%
9.40
-0.43%
9.55
-4.92%
100.45
-0.02%
99.92
-0.05%
90.74
0.04%
9.05
0.55%
Currency
EUR
GBP
JPY
CAD
CHF
AUD
NZD
CNY
Currency Crosses
Close
1.3790
1.6249
97.8950
1.0284
0.8944
0.9739
0.8474
6.0864
MTD %
1.92%
0.25%
-0.59%
-0.42%
-1.19%
4.36%
2.16%
-0.54%
YTD %
4.52%
-0.02%
12.89%
3.67%
-2.27%
-6.27%
2.36%
-2.30%
Forward
1-Mth Frd
3-Mth Frd
6-Mth Frd
1-Yr Frd
1-Mth NDF
3-Mth NDF
6-Mth NDF
1-Yr NDF
Last
Forward Markets
60.6225
61.5338
62.7700
64.8900
60.6500
61.6520
63.1000
65.5400
1 Day ago
% Chg
60.6375
61.5313
62.7525
64.8500
60.6250
61.6480
63.0330
65.3850
-0.02%
0.00%
0.03%
0.06%
0.04%
0.01%
0.11%
0.24%
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