August 11, 2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
August
August
August
August
Spot
66.7752
74.6210
86.9210
6594.4300
Call
OI
189655
227822
243900
159317
212681
Open
66.9375
74.5975
87.3125
65.9525
High
66.9800
74.8750
87.6000
66.1800
Low
66.8525
74.5600
87.2700
65.9225
Strike Price
Trade Sheet:
Close
66.8775
74.8425
87.5275
66.0800
% chg
-0.29%
0.61%
0.49%
0.65%
OI
% Chg in OI
1908934
9.7%
48184
-5.5%
49035
-14.1%
50278
4.6%
Put
OI
435682
322488
212282
52773
85179
POSITIONAL OPTION STRATEGY: SELL USDINR 16AUG
68CE; SELL USDINR 16AUG 66.5PE @ CMP 0.1650, TGT
0.02, SL 0.245. Positional Spread BUY USDINR AUG/SELL
JPYINR at 1.49, SL 0.86, TGT 2.52, Sl triggered. Positional
BUY USDINR16AUG67.25CE NSECD 0.22 SL 0.12 TGT 0.39,
Sl triggered
Option Monitor
IV
3.53
4.02
4.45
5.15
6.18
% Chg in OI
130.27%
-20.36%
-7.58%
-27.28%
-21.50%
Volume
130324
286597
162510
196196
119336
Premium
0.4950
0.2125
0.0775
0.0325
0.0200
Premium
0.1025
0.3200
0.6850
1.1350
1.6600
Volume
242280
204713
21074
8313
280
% Chg in OI
1.88%
10.09%
0.48%
0.14%
-0.03%
66.84
66.82
66.8
66.78
66.76
66.74
66.72
66.7
IV
4.36
4.70
5.37
6.45
9.23
Action
BUY
SELL
NET
FII Activity
Rs. (Crs)
4219.07
3806.51
412.56
$ (Mil)
626.35
565.10
61.25
18
66.50
67.00
67.50
68.00
68.50
Days to Expriy
10 Yr Bonds Yields
7.6
7.5
7.4
7.3
7.2
7.1
7
2.4
2.2
2
1.8
1.6
1.4
1.2
68.50
68.00
67.50
67.00
66.50
Source: Reuters
Open Interest Distribution
Put
Call
Correlation Between Nifty v/s USDINR
8750
8700
8650
8600
8550
8500
India
US (RHS)
0
100000 200000 300000 400000 500000
Source: Reuters
USDINR
Nifty (RHS)

Market Snapshot
Rupee traded sideways after appreciating sharply, but could weaken, as risk appetite waned after a slump in crude prices weighed on global energy
shares and stalled a recent equity rally. A pause in the rally in equities will keep the rupee under pressure. Mid-month dollar demand ahead of
holiday-truncated week will further weigh on the rupee.
Sensex ended 1.1% lower, with FIIs buying Rs.4.13 billion worth local shares. Indian money markets will remain closed on Aug. 15 and Aug. 17 for
local holidays.
Global oil prices fell 2% overnight after data showed an unexpected increase in U.S. government stockpiles, also weighing on regional sentiment.
The benchmark Brent crude price was last down 0.6% at $43.80 per barrel.
China is set to release industrial production, fixed asset investment and retail sales data tomorrow.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
66.90
74.76
87.47
66.06
Open
95.58
1.1173
1.3005
101.27
Previous
-0.50%
5.51M
S1
66.83
74.64
87.33
65.94
High
95.68
1.1192
1.3027
101.29
Period
6-Month
1-Year
S2
66.78
74.44
87.14
65.80
Low
95.51
1.1169
1.3002
101.00
Forward
68.8177
70.8277
R1
66.95
74.96
87.66
66.20
Close
95.61
1.1175
1.3017
101.23
Future
68.4700
70.7425
R2
67.03
75.07
87.80
66.32
% chg
0.04%
-0.01%
-0.06%
0.04%
NDF
68.6149
70.4223
International Pairs
Economic Data
Today
French CPI (MoM) (Jul)
Initial Jobless Claims
Currency
EUR
USD
Expected
-0.40%
265K
Previous
Yesterday
Currency
French Industrial Production (MoM) (Jun)
0.10%
EUR
JOLTs Job Openings (Jun)
269K
USD
Actual
-0.80%
5.62M
Forward Market (OTC/ Interbank)
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