Currency Report– Detailed Report

20th , April 2017

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Spot

64.63

69.25

82.62

59.30

Expiry

April

Open

64.6800

69.3475

82.9100

59.5475

High

64.6975

69.4125

83.1250

59.5825

Low

64.5575

69.2525

82.7800

59.3150

64.6375

69.3600

83.0775

59.3425

% chg

-0.07%

0.41%

1.35%

-0.12%

1138038

57533

31627

18060

% Chg in OI

-0.7%

-10.1%

-27.0%

-4.5%

Trade Sheet :

SELL NSECD USDINR17APR 64.75PE / SELL USDINR

17APR 64.75 CE CMP 0.5550 SL 0.76 TGT 0.15

SELL 64.25PE, 65.25CE @0.1225, SL 0.21, TGT 0.01

SPREAD BUY GBPINR APR /SELL EURINR APR RECO

13.68 SL 13.08 TGT 14.70

Option Monitor

Call

3.63

4.88

5.38

6.72

7.77

10.09

% Chg in OI

179%

343%

271%

812%

5427%

264182

231037

198607

188348

281933

141465

Volume

25851

82419

113880

93088

24993

3959

Premium

0.65

0.26

0.07

0.02

0.01

Strike

64.00

64.50

65.00

65.50

66.00

66.50

Premium

0.02

0.12

0.44

0.86

1.33

1.86

Volume

56428

83670

22928

3129

395

Put

204434

188189

199903

82414

158598

160424

% Chg in OI

156%

642%

1132%

1360%

5.09

5.34

6.20

6.45

6.36

11.68

Action

BUY

SELL

NET

FII Activity

Rs. (Crs)

3778.12

4451.50

-673.38

$ (Mil)

579.02

682.22

-103.20

39.22

-125.79

2905.12

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

2.3

2.2

64.50

2.1

64.00

Source: Reuters

Open Interest Distribution

Put

66.00

2.5

2.4

65.50

65.00

Call

Correlation Between USDINR v/s USDINR 1 year FWD

2.6

USINR V/S USD INR 1yr FWD

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

Source: Reuters

India

US (RHS)

50000

100000 150000 200000 250000 300000

Source: Reuters

USDINR

USDINR 1yr FWD

Source: Reuters

Market Snapshot

The rupee closed marginally higher against the US dollar but for the session consolidated within a narrow range. The USDINR pair faces important resistance at 64.75 levels in the near term and break above this

level could trigger further upward momentum, but until this holds bias for the pair remains sideways to negative. Domestic equities have also some under pressure following weakness in US as well in most Asian

markets. The dollar strengthened in yesterday’s session that weighed on major currencies.

The greenback strengthened after Federal Reserve said that the US economy had expanded at a modest pace between mid-February and March but inflation pressure remained in check.

The Fed said that modest wage pressure broadened during the most recent survey period. Today from the US, market participants will be keeping an eye on the Philly Fed manufacturing index and weekly jobless

claims number to gauge a view for the greenback. Today BoE governor will participate at the International Finance Policy summit and is due to speak at the conference. BoE governor’s comments on snap elections

in UK and his stance on Brexit will be important to determine further trend for the pound.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Pivot

64.63

69.34

82.99

59.41

Support - Resistance for the day

64.56

69.27

82.86

59.24

64.49

69.18

82.65

59.15

64.70

69.43

83.21

59.51

64.77

69.50

83.34

59.68

International Pairs

Currency

Dollar Index

Euro

Pound

Yen

Economic Data

4/20/2017

Particulars

Initial Jobless Claims

Currency

Expected

242K

234K

Premium

USDINR

3- Month

82.75

Open

99.78

1.0708

1.2777

108.84

High

99.85

1.0718

1.2790

109.06

Low

99.77

1.0706

1.2770

108.77

99.79

1.0714

1.2784

108.94

% chg

-0.05%

-0.08%

Forward Premiums

Forward Market (OTC/ Interbank)

6- Month

165.75

1 year

326.25

Period

6-Month

Forward

66.30

Future

65.95

NDF

66.05

Philadelphia MFG Index

Outright Rate

25.00

32.80

65.5

66.3

67.9

6-Month

67.90

67.42

67.55

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