March 22nd,2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
April
April
April
April
Spot
66.5300
75.1860
95.4370
608.0800
Call
OI
3034
86189
142757
210505
155918
Open
66.5000
75.3375
95.4075
60.5525
High
66.5675
75.3375
95.4850
60.8450
Low
66.4850
75.1750
95.3750
60.5525
Strike Price
Trade Sheet:
Close
66.5650
75.2650
95.4850
60.8450
% chg
0.21%
0.09%
0.00%
0.55%
OI
% Chg in OI
1777873
-0.2%
61967
0.2%
20477
0.4%
16234
-5.3%
Put
OI
30050
166698
158058
137375
84284
Sell USDINR (APR) 67.25CE & 66PE At 0.2025,
SL 0.32, Tgt 0.02
Positional Sell JPYINR (Apr) At 60.40, SL 60.92,
Tgt 59.55
Option Monitor
IV
6.04
3.42
3.54
5.00
6.54
% Chg in OI
-0.16%
-4.31%
5.41%
0.52%
-4.75%
Volume
200
71108
243154
110378
30127
Premium
0.7500
0.4550
0.1075
0.0225
0.0075
Premium
0.0075
0.0275
0.1800
0.6075
1.0800
Volume
15523
97914
103582
14998
817
% Chg in OI
-4.29%
-2.21%
13.86%
-3.64%
0.00%
66.6
66.5
66.4
66.3
66.2
66.1
66
65.9
IV
6.36
4.96
4.90
7.79
10.35
Action
BUY
SELL
NET
FII Activity
Rs. (Crs)
5625.66
4820.24
805.42
$ (Mil)
844.79
723.84
120.95
5
65.50
66.00
66.50
67.00
67.50
Days to Expriy
10 Yr Bonds Yields
8
7.8
7.6
7.4
7.2
7
2.7
2.5
2.3
2.1
1.9
1.7
1.5
65.50
Source: Reuters
Open Interest Distribution
Put
67.50
67.00
66.50
66.00
Call
Correlation Between Nifty v/s USDINR
7920
7900
7880
7860
7840
7820
7800
India
US (RHS)
0
50000 100000 150000 200000 250000
Source: Reuters
USDINR
Nifty (RHS)

Market Snapshot
Rupee traded choppy within a range and is likely to trade weaker against the dollar, as disappointing U.S. corporate earnings and an overnight slump in
crude oil prices took a toll on sentiment. Movement in domestic stocks and intraday flows will set the trend for the rupee.
Most Asian shares were lower, tracking overnight losses on Wall Street after a clutch of major North American corporates disappointed with their
quarterly earnings.
The euro fell slightly against the greenback overnight after ECB President Draghi held monetary policy steady, but suggested further stimulus was a
possibility. He added that the ECB's policy of printing money and keeping borrowing costs low was working, and said interest rates would stay at current
record lows for a long time. Risk aversion and weakness in the euro is expected drive the rupee sharply lower.
Disappointing preliminary manufacturing data out of Japan also weighed on risk appetite. Nikkei-Markit’s flash manufacturing PMI slipped to 48 in April,
down from March's final reading of 49.1.
Data released yesterday showed U.S. weekly jobless claims fell 6,000 to 247,000 for the week ended Apr. 16, the lowest since November 1973. The
Philadelphia Fed’s business conditions index fell to -1.6 this month from a reading of 12.4 in March.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
66.54
75.26
95.45
60.75
Open
94.63
1.1287
1.4321
109.45
S1
66.51
75.18
95.41
60.65
High
94.63
1.1308
1.4356
109.50
S2
66.46
75.10
95.34
60.46
Low
94.47
1.1275
1.4310
109.24
Forward
66.9350
67.7100
68.8150
70.7925
R1
66.59
75.34
95.52
60.94
Close
94.52
1.1301
1.4345
109.36
Future
66.5650
67.3400
68.4100
70.2300
R2
66.62
75.42
95.56
61.04
% chg
0.08%
-0.13%
-0.17%
0.07%
NDF
66.8500
67.4700
68.4600
70.4300
International Pairs
Economic Data
Today
Currency
French Manufacturing PMI (Apr) EUR
French Services PMI (Apr)
EUR
German Manufacturing PMI (Apr)
EUR
German Services PMI (Apr)
EUR
Expected
49.8
50.2
51.0
55.2
Previous
49.6
49.9
50.7
55.1
Yesterday
Currency
Retail Sales (MoM) (Mar)
GBP
Retail Sales (YoY) (Mar)
GBP
Interest Rate Decision (Apr) EUR
Initial Jobless Claims
USD
Actual
-1.30%
2.70%
0.00%
247K
Forward Market (OTC/ Interbank)
Previous
Period
-0.50%
1- Month
3.60%
3-Month
0.00%
6-Month
253K
1-Year
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