August 27th, 2014

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Expiry

September

September

September

September

Spot

60.4300

79.5620

99.9940

58.0800

Call

OI

9014

13605

70694

42435

54686

Open

61.0000

80.5350

101.1375

58.7825

High

61.0050

80.5875

101.1525

58.7825

Low

60.8900

80.3225

100.8350

58.6100

Strike Price

Close

60.9075

80.3850

100.8800

58.6400

% chg

-0.16%

-0.14%

-0.27%

-0.13%

Trade Sheet:

OI

% Chg in OI

Buy GBPINR at 101.20 SL 100.65, TGT

1591685

4.3%

102.05

39680

37360

7336

Put

OI

16502

25237

36155

29073

27951

-8.6%

19.7%

49.6%

Option Monitor

IV

5.61

5.82

6.18

6.30

6.62

% Chg in OI

18.28%

5.24%

3.04%

7.54%

2.61%

Volume

2723

1856

20636

14649

10681

Premium

1.0900

0.7200

0.4500

0.2525

0.1400

Premium

0.1200

0.2400

0.4500

0.7500

1.1375

Volume

4479

7609

12659

8396

5258

% Chg in OI

4.17%

12.52%

3.50%

20.75%

0.03%

60.7

60.65

60.6

60.55

60.5

60.45

60.4

60.35

60.3

IV

6.46

6.32

6.40

6.56

7.02

Action

BUY

SELL

NET

FII Activity

Rs. (Crs)

3212.56

2847.84

364.72

$ (Mil)

520.40

461.32

59.08

30

60.00

60.50

61.00

61.50

62.00

Days to Expriy

10 Yr Bonds Yields

9

8.8

8.6

8.4

8.2

8

2.7

2.65

2.6

2.55

2.5

2.45

2.4

2.35

2.3

62.00

61.50

61.00

60.50

60.00

India

US (RHS)

Open Interest Distribution

Put

Call

Correlation Between Nifty v/s USDINR

7915

7910

7905

7900

7895

7890

7885

7880

Source: Reuters

0

20000

40000

60000

80000

Source: Reuters

USDINR

Nifty (RHS)

Market Snapshot

Rupee traded in a very narrow range yesterday closing at 60.43 against the dollar. It is expected that INR will continues to trade in a narrow range. Geopolitical tensions and GDP numbers for US and India on Friday could give

ous further direction.

Euro hit its lowest level against the dollar in a year yesterday closing at 1.3168 and euro zone government bond yields fell to record lows on expectations the ECB might ease monetary policy as soon as next week. ECB’s

comments last week that he was ready to use all available tools if euro zone inflation fell further. Draghi also called for fiscal policy to play a greater role in reviving the economy.

Pound continues to five months low against the dollar yesterday closing at 1.6547, after weak UK mortgage data and amid ongoing concerns over tensions in Ukraine. Industry data showed that UK mortgage approvals rose by

42,800 last month, less than the expected increase of 44,200, after a revised 43,200 rise in June.

A mixed bag of US economic indicators coupled with mounting tensions in Ukraine kept the dollar flat against the yen yesterday closing at 104.09. Russian President Vladimir Putin was set to meet his Ukrainian counterpart,

Petro Poroshenko, yesterday amid growing tensions in the region. Ukraine said an armored column including 10 tanks entered from Russia as the government in Moscow unveiled plans to send a second convoy with

humanitarian aid.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Currency

Dollar Index

Euro

Pound

Yen

Support - Resistance for the day

Pivot

60.93

80.43

100.96

58.68

Open

82.6680

1.3167

1.6540

104.0700

Previous

1.90%

1.70%

90.90

-

S1

60.86

80.28

100.76

58.57

High

82.7270

1.3175

1.6549

104.1600

Period

1- Month

3-Month

6-Month

1-Year

S2

60.82

80.17

100.64

58.51

Low

82.6500

1.3151

1.6534

103.9800

Forward

60.8950

61.7150

62.9800

65.4000

R1

60.98

80.54

101.08

58.75

Close

82.6500

1.3166

1.6547

104.0300

Future

60.4960

61.3025

62.4600

65.2500

R2

61.05

80.70

101.27

58.85

% chg

0.00%

0.01%

-0.05%

0.02%

NDF

60.7850

61.3200

62.3300

64.3500

International Pairs

Economic Data

Today

Currency

GfK German Consumer Climate

EUR

-

-

-

-

-

-

Expected

9.00

-

-

-

Previous

9.00

-

-

-

Yesterday

Currency

Core Durable Goods OrdersUSD

(MoM)

USD

Durable Goods Orders (MoM)

CB Consumer Confidence USD

-

-

Actual

-0.80%

22.60%

92.40

-

Forward Market (OTC/ Interbank)

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