February 8, 2017
January 12,2017
December 27, 2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Call
IV
2.22
3.48
4.10
4.80
5.76
Expiry
February
February
February
February
Spot
67.3300
71.9420
84.2100
6004.6400
Open
67.4450
72.3400
84.0000
60.2125
High
67.5850
72.4000
84.2275
60.4200
Low
67.4075
72.0750
83.4875
60.0725
Strike Price
Trade Sheet :
Trade Sheet :
Close
67.5400
72.1175
83.5650
60.1125
Put
Premium
0.0400
0.1925
0.5325
0.9700
1.5000
% chg
0.28%
-0.41%
-0.60%
0.35%
OI
% Chg in OI
1498949
-1.4%
59753
4.9%
54853
15.1%
21574
5.6%
OPTION STRATEGY: SELL USDINR 17 FEB 67.5CE, 67.5PE @0.46 SL
POSITIONAL SPREAD BUY EURINR16DECFUT NSECDSL
SELL USDINR17JANFUT NSECD 68.245 /SELL
0.62 TGT 0.20
68.61 TGT 67.65
USDINR16DECFUT NSECD CMP 3.21 SL 2.74 TGT 3.98
SELL USDINR17JAN 67.5 PE / SELL USDINR17JAN 69.25 CE
TGT 0.02 SL 0.27 CMP 0.18
Option Monitor
% Chg in OI
0.00%
0.00%
0.00%
0.00%
0.00%
OI
109636
196413
140929
140062
258295
Volume
50470
224816
149068
103080
133444
Premium
0.5825
0.2500
0.0850
0.0300
0.0150
OI
228530
244379
169277
125242
65478
% Chg in OI
0.00%
0.00%
0.00%
0.00%
-0.16%
67.45
68.2
67.4
67.35
68.1
67.3
67.25
68
67.2
67.15
67.9
67.1
67.8
67.05
67.7
0
0
100000
100000
200000
200000
300000
300000
Source: Reuters
Source: Reuters
FII Activity
IV
3.96
4.25
5.15
6.25
9.42
Action
BUY
SELL
NET
Days to Expriy
Rs. (Crs)
4363.17
4162.04
201.13
$ (Mil)
637.73
608.33
29.40
15
67.00
67.50
68.00
68.50
69.00
264585
220637
60762
5059
1014
10 Yr Bonds Yields
7
6.9
6.8
6.7
6.6
6.5
6.4
6.3
6.2
6.1
6
2.7
2.5
2.3
2.1
1.9
1.7
1.5
69.00
69.00
68.50
68.50
68.00
68.00
67.50
67.50
67.00
67.00
Open Interest Distribution
Put
Put
Call
Call
Correlation Between Nifty v/s USDINR
8820
8870
8800
8770
8780
8670
8760
8570
8740
8470
8720
8370
8700
8270
8170
USDINR
USDINR
Nifty (RHS)
Nifty (RHS)
Source: Reuters
India
US (RHS)

Market Snapshot
The INR is expected to open slightly weaker owing to broader dollar strength and activity could remain muted ahead of the RBI policy decions today in
the afternoon. The Reserve Bank of India’s two-day meeting concludes today and bets are pretty much divided on whether the six-member MPC will
cut rates by 25 basis points. A cut would help domestic sentiment and boost the INR but global political uncertainty will continue to underpin all
currencies.
The dollar index is trading above 100.0 as better US data and rate hike comments helped. US exports hit more than 1.5-yr high and the trade deficit
fell to -$44.3b in December. Federal Reserve Bank of Philadelphia President Patrick Harker hinted that the meeting in March is a live option for a rate
hike. The euro meanwhile fell on uncertainty ahead of the French elections.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
67.51
72.20
83.76
60.20
Open
100.44
1.0681
1.2505
112.35
Previous
-45.70B
5.505M
S1
67.44
72.00
83.29
59.98
High
100.53
1.0690
1.2514
112.54
Period
6-Month
1-Year
S2
67.33
71.87
83.02
59.85
Low
100.30
1.0664
1.2475
112.00
Forward
68.8850
70.3125
R1
67.61
72.32
84.03
60.33
Close
100.34
1.0685
1.2508
112.10
Future
68.7125
70.0125
R2
67.69
72.52
84.50
60.55
% chg
-0.08%
-0.05%
0.02%
0.24%
NDF
68.7153
70.2505
International Pairs
Economic Data
Today
Interest Rate Decision
Crude Oil Inventories
Currency
IN
US
Expected
6.0%
2.529M
Previous
6.3%
6.466M
Yesterday
Currency
Trade Balance (Dec)
US
JOLTs Job Openings (Dec)
US
Actual
-44.30B
5.501M
Forward Market (OTC/ Interbank)
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