01/07/15
January 7th , 2015
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
January
January
January
January
Spot
63.5700
75.4830
96.2260
53.3500
Call
OI
16640
62526
143811
311627
197033
Open
63.7900
76.0825
97.2475
53.3600
High
63.9300
76.2000
97.3175
53.8325
Low
63.6050
75.8625
96.8100
53.3600
Strike Price
Close
63.8850
76.0825
97.0925
53.6875
% chg
0.30%
0.23%
-0.10%
1.36%
Trade Sheet:
OI
% Chg in OI
Sell 63.5 PE & 64.5 CE (JAN) at 0.53, SL
1278575
0.3%
0.70, TGT 0.10
43878
-4.5%
Sell 64.5 Call at 0.22, Sl 0.33, TGT 0.01
29003
15526
Put
OI
43586
119941
111898
120837
33836
6.2%
18.9%
Option Monitor
IV
7.71
6.27
6.50
6.85
7.52
% Chg in OI
-0.04%
-7.56%
6.22%
8.28%
10.68%
Volume
209
8759
35474
162723
80988
Premium
1.4325
0.9600
0.6100
0.3600
0.2200
Premium
0.0300
0.0900
0.2225
0.4700
0.8300
Volume
11656
64646
50809
61566
7936
% Chg in OI
2.62%
-4.30%
0.54%
28.45%
0.07%
63.7
63.6
63.5
63.4
63.3
63.2
63.1
63
62.9
62.8
62.7
IV
6.05
6.04
6.10
6.47
7.15
Action
BUY
SELL
NET
FII Activity
Rs. (Crs)
3138.11
4708.87
-1570.76
$ (Mil)
491.17
737.03
-245.85
21
62.50
63.00
63.50
64.00
64.50
Days to Expriy
10 Yr Bonds Yields
8.8
8.6
8.4
8.2
8
7.8
7.6
7.4
7.2
7
2.7
2.5
2.3
2.1
1.9
1.7
1.5
62.50
India
US (RHS)
Open Interest Distribution
64.50
64.00
63.50
63.00
Put
Call
Correlation Between Nifty v/s USDINR
8450
8400
8350
8300
8250
8200
8150
8100
8050
8000
7950
Source: Reuters
0
100000
200000
300000
400000
Source: Reuters
USDINR
Nifty (RHS)

01/07/15
Market Snapshot
Indian rupee erased all its morning gains and closed lower against the dollar yesterday closing at 63.58, tracking losses in the local equity markets. Economic data coming in from the US is looking strong, which means that the
interest rate hike by the Fed may come in earlier than expected. Thus, the US equity markets are expected to open lower and in such a case, the dollar usually strengthens against other currencies. The yield on India’s 10-year
benchmark bond closed at 7.9% v/s 7.892%.
Euro struggled near nine-year lows against the dollar yesterday closing at 1.1875, despite upbeat service sector data from Germany and France but gains were capped by mounting expectations for fresh easing by the ECB,
coupled with concerns over a potential Greek exit from the euro zone. The Markit composite PMI, which measures activity in the manufacturing and services sectors in the euro area, was revised down to 51.4 in December from
the preliminary estimate of 51.7. The figure was still higher than November’s reading of 51.1.
Pound fell to fresh 17-month lows against the dollar yesterday closing at 1.5139, after data showed that UK service sector activity expanded at the slowest rate in 19 months in December. Data showed that the Markit/CIPS
Services PMI decreased to 55.8 last month from a reading of 58.6 in November. Analysts had expected the index to dip to 58.5 in December.
The dollar slipped against the firmer yen yesterday closing at 119.10 as heightened risk aversion supported safe haven demand. Ongoing uncertainty over Greece’s future in the euro zone if far-left anti-austerity party Syriza won
elections due to be held later this month. The safe haven yen was also boosted by declines in global equity markets, as falling oil prices.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
63.81
76.05
97.07
53.63
Open
91.7530
1.1889
1.5150
118.4000
Previous
49.10
49.80
51.40
51.40
S1
63.68
75.90
96.83
53.42
High
91.8100
1.1892
1.5151
119.1700
Period
1- Month
3-Month
6-Month
1-Year
S2
63.48
75.71
96.57
53.15
Low
91.7050
1.1853
1.5115
118.3500
Forward
64.0038
64.7650
65.8975
67.9275
R1
64.01
76.23
97.34
53.89
Close
91.7520
1.1874
1.5137
119.1400
Future
63.8850
64.6475
65.7100
68.0625
R2
64.13
76.39
97.58
54.10
% chg
-0.28%
0.12%
0.09%
-0.63%
NDF
63.9600
64.6420
65.6450
67.5650
International Pairs
Economic Data
Today
Currency
German Unemployment Rate (Dec)
EUR
CPI (YoY) (Dec)
EUR
EUR
Unemployment Rate (Nov)
ADP Nonfarm Employment Change (Dec)
USD
Expected
6.60%
-0.10%
0.12
231K
Previous
6.60%
0.30%
0.12
208K
Yesterday
Currency
EUR
French Markit Comp. PMI (Dec)
French Services PMI (Dec) EUR
EUR
German Composite PMI (Dec)
German Services PMI (Dec) EUR
Actual
49.70
50.60
52.00
52.10
Forward Market (OTC/ Interbank)
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