Currency Report– Detailed Report

18th , April 2017

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Spot

64.46

68.66

81.00

59.13

Expiry

April

Open

64.5775

68.6500

80.9900

59.5800

High

64.6050

68.7700

81.1000

59.6450

Low

64.3750

68.4250

80.7575

59.4450

64.5750

68.7200

81.0575

59.6175

% chg

0.12%

0.03%

0.14%

0.70%

1227260

66046

42842

20106

% Chg in OI

-3.7%

-7.0%

-7.6%

1.4%

Trade Sheet :

OPTION STRATEGY: SELL NSECD USDINR17APR

64.75PE / SELL USDINR 17APR 64.75 CE CMP 0.5550 SL

0.76 TGT 0.15

Option Monitor

Call

3.80

5.44

5.86

6.77

7.97

9.51

% Chg in OI

355%

377%

348%

701%

5022%

253925

262986

198714

173944

271535

141640

Volume

42338

174023

124542

119305

30899

14492

Premium

0.62

0.28

0.09

0.03

0.02

0.01

Strike

64.00

64.50

65.00

65.50

66.00

66.50

Premium

0.04

0.18

0.51

0.94

1.42

1.98

Volume

167314

150636

22892

4898

2983

Put

199128

182818

196956

82331

159302

160444

% Chg in OI

179%

589%

989%

1258%

5.36

5.74

6.68

7.70

9.52

15.73

Action

BUY

SELL

NET

FII Activity

Rs. (Crs)

1954.86

2205.40

-250.54

$ (Mil)

300.93

339.50

-38.57

274.81

-48.55

2772.34

Daily Debt($) Flows

Daily Equity($) Flows

MTD Flows($ mln)

Days to Expriy

10 Yr Bonds Yields

6.9

6.8

6.7

6.6

6.5

6.4

6.3

6.2

Open Interest Distribution

Put

66.00

65.50

65.00

64.50

64.00

Source: Reuters

Correlation Between USDINR v/s USDINR 1 year FWD

Call

USINR V/S USD INR 1yr FWD

64.75

64.7

64.65

64.6

64.55

64.5

64.45

64.4

64.35

64.3

460

440

420

400

380

360

340

320

300

2.6

2.55

2.5

2.45

2.4

2.35

2.3

2.25

2.2

Source: Reuters

India

US (RHS)

50000

100000 150000 200000 250000 300000

Source: Reuters

USDINR

USDINR 1yr FWD

Source: Reuters

Market Snapshot

The rupee closed at 64.57(April contract) marginally lower against the US dollar but for the last five successive sessions consolidated within a narrow range of 64.30 and 64.85. India’s WPI for March showed inflation

eased to 5.7% compared to rise of 6.55% in the previous month. Market participants are expecting that warmer summer and uncertainty over delayed or lower-than-expected monsoon could further add pressure on

inflation. Geopolitical tensions are keeping investors on the edge as they continue to take shelter under safe haven assets like gold and Japanese Yen. On the domestic front, no major economic data is expected to

be released and we expect volatility of the USDINR pair to be confined to a narrow range.

The dollar rose against its major crosses after comments from US treasury secretary despite escalating tensions in North Korea. The US treasury secretary said that a stronger dollar is good over a long period of

time and that comments of US president Donald Trump on the dollar getting too strong were about the short term. Today market participants will be keeping an eye on the housing and industrial production number to

gauge a view for the greenback.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Pivot

64.52

68.64

80.97

59.57

Support - Resistance for the day

64.43

68.51

80.84

59.49

64.29

68.29

80.63

59.37

64.66

68.85

81.19

59.69

64.75

68.98

81.31

59.77

International Pairs

Currency

Dollar Index

Euro

Pound

Yen

Economic Data

4/18/2017

Particulars

Building Permits (Mar)

Currency

Expected

1.250M

1.216M

Premium

USDINR

3- Month

83.5

Open

100.34

1.0642

1.2564

108.89

High

100.40

1.0653

1.2575

109.21

Low

100.25

1.0635

1.2547

108.86

100.27

1.0650

1.2566

108.96

% chg

0.02%

-0.09%

-0.04%

-0.06%

Forward Premiums

Forward Market (OTC/ Interbank)

6- Month

169.50

1 year

327.50

Period

6-Month

Forward

66.17

Future

65.90

NDF

65.94

Housing Starts (MoM) (Mar)

Outright Rate

3.0%

65.3

66.2

67.7

6-Month

67.75

67.26

67.43

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