December 22, 2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
December
December
December
December
Spot
67.8275
70.7910
83.8410
5768.1200
Call
OI
52107
189517
422519
275543
242444
Open
67.9500
70.9050
84.2050
57.8525
High
67.9950
70.9050
84.2450
57.9225
Low
67.8575
70.6250
83.7625
57.7125
Strike Price
Trade Sheet :
Close
67.9350
70.7600
84.0075
57.8850
% chg
-0.21%
0.02%
-0.18%
0.16%
OI
% Chg in OI
2026879
0.4%
28568
3.8%
25285
-3.2%
37414
-0.5%
Option Monitor
IV
1.41
6.67
3.60
5.18
6.69
% Chg in OI
-7.04%
0.00%
0.00%
0.00%
0.00%
Volume
4807
31004
199976
103467
45169
Premium
0.9475
0.4650
0.1300
0.0375
0.0150
Premium
0.0075
0.0200
0.1875
0.6000
1.0725
Put
OI
150079
111902
415554
162905
84874
% Chg in OI
0.00%
0.00%
0.00%
0.00%
-0.53%
67.92
67.9
67.88
67.86
67.84
67.82
67.8
67.78
IV
5.88
4.25
4.99
7.50
10.09
Action
BUY
SELL
NET
FII Activity
Rs. (Crs)
3610.69
4788.77
-1178.08
$ (Mil)
534.40
708.76
-174.36
6
67.00
67.50
68.00
68.50
69.00
8603
63846
143188
34118
1026
Days to Expriy
10 Yr Bonds Yields
7.4
7.2
7
6.8
6.6
6.4
6.2
6
2.4
2.2
2
1.8
1.6
1.4
1.2
69.00
68.50
68.00
67.50
67.00
Source: Reuters
Open Interest Distribution
Put
Call
Correlation Between Nifty v/s USDINR
8160
8140
8120
8100
8080
8060
8040
8020
India
US (RHS)
0
100000 200000 300000 400000 500000
Source: Reuters
USDINR
Nifty (RHS)

Market Snapshot
Rupee has been traded sideways over the last few session and is likely to trade with a positive bias, as profit-taking dragged the dollar away from 14-
year highs ahead of the upcoming holidays. However, month-end dollar demand and weakness in equities will possibly limit gains. Sensex fell for a
sixth session yesterday to close 0.3% lower, where FII’s sold Rs.11.78 billion in local stocks.
US existing home sales rise to near 10-year high at 5.61m vs. 5.5m forecast. Euro zone consumer sentiment rises to -5.1 in December from -6.1 in
November. DXY declined 0.3% overnight, the Index rose 1.3% last week after the U.S. Fed raised rates for the first time in a year and signaled
three hikes in 2017. U.S. markets will remain shut on Dec. 26 and Jan. 2, observed for Christmas and New Year’s Day.
Sweden's central bank, kept interest rates on hold at -0.50% and extended its QE, or bond purchase, program after a split board forced Governor
Stefan Ingves to use his casting vote for the first time since 2008.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
67.93
70.76
84.01
57.84
Open
103.05
1.0421
1.2349
117.55
Previous
5.60M
-2.563M
S1
67.86
70.62
83.77
57.76
High
103.05
1.0447
1.2378
117.71
Period
6-Month
1-Year
S2
67.79
70.48
83.52
57.63
Low
102.86
1.0419
1.2342
117.38
Forward
69.3225
70.8075
R1
68.00
70.90
84.25
57.97
Close
102.95
1.0435
1.2360
117.56
Future
69.0200
70.2475
R2
68.07
71.04
84.49
58.05
% chg
0.07%
-0.12%
-0.06%
-0.02%
NDF
69.2938
70.9175
International Pairs
Economic Data
Today
Currency
Expected
GDP (QoQ) (Q3)
GBP
-
Core Durable Goods Orders (MoM) (Nov) 0.20%
USD
Previous
0.50%
0.80%
Yesterday
Currency
Existing Home Sales (Nov)
USD
Crude Oil Inventories
USD
Actual
5.61M
2.256M
Forward Market (OTC/ Interbank)
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