May 18th, 2018
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Spot
67.74
80.11
91.85
61.48
Expiry
April
May
May
May
Open
67.81
80.32
91.81
61.56
High
67.87
80.32
92.00
61.60
Low
67.75
80.16
91.66
61.52
Option Monitor
Call
IV
6.49
5.87
5.17
5.41
4.96
5.55
% Chg in OI
0%
-1%
-2%
-1%
35%
-6%
OI
101973
66744
158161
61555
39818
61852
Volume
3708
1130
16330
16785
93611
98136
Premium
1.27
1.03
0.79
0.59
0.24
0.05
Strike
66.50
66.75
67.00
67.25
67.75
68.50
Premium
0.01
0.02
0.03
0.07
0.24
0.80
Volume
144384
13071
118561
64672
78208
10436
Put
OI
119963
89054
169319
54475
45172
10019
% Chg in OI
-1%
0%
12%
-4%
-8%
-35%
Close
67.81
80.24
91.94
61.58
% chg
-0.11%
0.15%
0.42%
-0.15%
OI
2891596
77293
53050
23190
% Chg in OI
-3.3%
-0.9%
3.2%
0.1%
Trade Sheet
Sell GBPUSD May
USDINR May Sell 66.75PE / Sell 68.50 CE
Sell EURINR May
FII Activity
Action
IV
5.71
5.16
5.00
4.96
4.94
5.54
BUY
SELL
NET
Rs. (Crs)
4914.44
5613.66
-699.22
$ (Mil)
731.40
835.46
-104.06
-54.31
-27.25
#N/A
11
Daily Debt($) Flows
Daily Equity($) Flows
MTD Flows($ mln)
Days to Expriy
10 Yr Bonds Yields
Open Interest Distribution
Put
68.50
3
2.8
2.6
2.4
2.2
2
66.75
66.50
0
Source: Reuters
Correlation Between USDINR v/s USDINR 1 year FWD
Call
USINR V/S USD INR 1yr FWD
68.2
68
67.8
67.6
67.4
67.2
67
66.8
272
271.5
271
270.5
270
269.5
269
268.5
8
7.8
7.6
7.4
7.2
7
6.8
6.6
3.2
67.75
67.25
67.00
Source: Reuters
India
US (RHS)
50000
100000
150000
200000
Source: Reuters
USDINR
USDINR 1yr FWD

Market Snapshot
Rupee continued to consolidate in a narrow range for the second successive sessions but traded with a slight negative bias following broad strength in the dollar and as US 10-year yield
continued to rise. On the domestic front, FIIs continued to remain net sellers in the equity and debt segment and yesterday sold another $258million. In the last one month, FIIs have sold funds
worth $2.5billion and the cumulative sell figure for this financial year stands at $4.9billion. The economic calendar on the domestic front is muted and that could keep the volatility for the rupee
confined to a narrow range. For the day, rupee is expected to quote in the range of 67.60 and 68.20.
Dollar rose against its major crosses following uptick in US 10-year yield that rose to the highest level since 2011. The greenback was also supported on lower levels on reports that talks
between US and Chinese officials moved ahead. It is rumored that China has offered U.S. President Donald Trump a package of proposed purchases of American goods and other measures
aimed at reducing the U.S. trade deficit. The offer came during the first of two days of U.S.-China trade talks in Washington aimed at resolving tariff threats between the world’s two largest
economies. For the day, no major economic data is expected to be released from the US but higher yield could keep the momentum positive for the greenback.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Pivot
67.81
80.24
91.87
61.57
Support - Resistance for the day
S1
67.75
80.16
91.73
61.53
S2
67.69
80.08
91.53
61.49
R1
67.87
80.32
92.07
61.61
R2
67.93
80.40
92.20
61.65
International Pairs
Currency
Dollar Index
Euro
Pound
Yen
Economic Data
5/18/2018
Particulars
FX Reserves, USD
U.S. Baker Hughes Oil Rig Count
Gaurang Somaiya
Research Analyst(Currency)
Currency
IN
US
Expected
-
-
Previous
418.94B
844.00
Premium
Outright Rate
USDINR
3- Month
66.5
68.4
Open
93.26
1.2207
1.3487
110.38
High
93.33
1.2219
1.3569
110.39
Low
93.12
1.2183
1.3480
110.05
Close
93.16
1.1826
1.3559
110.17
% chg
0.25%
-0.16%
-0.55%
0.19%
Forward Premiums
Forward Market (OTC/ Interbank)
6- Month
132.75
69.1
1 year
269.50
70.4
Period
6-Month
1 -Year
Forward
69.10
70.44
Future
67.40
69.90
NDF
69.23
70.68