Currency Daily Report– Detailed Report

November 27th, 2014

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Expiry

December

Spot

61.7250

77.1750

97.4580

52.5000

Call

15909

117443

121122

87917

116024

Open

62.2450

77.5000

97.5925

52.8225

High

62.3000

77.7550

97.9700

53.0500

Low

62.1950

77.4500

97.5575

52.7925

Strike Price

62.2525

77.4975

97.8750

52.9350

% chg

-0.02%

0.12%

0.34%

0.41%

Trade Sheet:

% Chg in OI

BUY USDINR DEC at 62.29, SL 61.80, TGT

2107951

6.0%

63.05

47427

20.2%

BUY GBPINR at 97.66, SL 97.13, TGT 98.6

35292

18145

Put

40999

61700

93388

25231

127

10.6%

56.5%

Option Monitor

4.61

4.42

4.75

5.11

5.24

% Chg in OI

66.85%

10.19%

17.75%

13.91%

-0.22%

Volume

13345

32464

50754

31071

12081

Premium

0.8650

0.4900

0.2575

0.1275

0.0525

Premium

0.0825

0.2300

0.5025

0.8700

1.2975

Volume

49191

59587

19972

2967

104

% Chg in OI

98.83%

27.82%

12.18%

10.84%

452.17%

61.9

61.85

61.8

61.75

61.7

61.65

61.50

India

US (RHS)

FII Activity

4.60

4.79

5.22

5.71

6.26

Action

BUY

SELL

NET

Days to Expriy

Rs. (Crs)

3517.53

3336.07

181.46

$ (Mil)

566.36

537.14

29.22

61.50

62.00

62.50

63.00

63.50

10 Yr Bonds Yields

8.8

8.6

8.4

8.2

2.6

2.4

2.2

1.8

63.50

63.00

62.50

62.00

Open Interest Distribution

Put

Call

Correlation Between Nifty v/s USDINR

8540

8520

8500

8480

8460

8440

8420

Source: Reuters

50000

100000

150000

Source: Reuters

USDINR

Nifty (RHS)

Market Snapshot

Rupee closed marginally stronger against the dollar yesterday closing at 61.8450, after being held in a tight range as dollar inflows into the domestic share markets were offset by demand for the greenback from importers looking

to meet month-end commitments. India’s economic growth probably slowed to 5.1% in the July-September quarter from a year ago, but economists polled doubted whether that would be enough to persuade the central bank to cut

interest rates just yet.

Euro was firm against the dollar yesterday closing at 1.2506, after a mixed bag of US data left investors questioning the strength of US recovery and the timing of Fed rate hikes next year. the Commerce Department reported that

U.S. personal spending rose 0.2% in October, below forecasts for an increase 0.4%. Personal income rose also rose 0.2%, falling short of forecasts of 0.4%, which took its toll on the dollar.

Pound rose to two-week highs against the dollar yesterday closing at 1.5790, after data confirmed that UK Q3 growth was in line with the preliminary estimates released last month. The UK economy expanded 3.0% on a yoy

basis, also unchanged from the preliminary estimate. Service sector growth was revised up to 0.8% from 0.7% the ONS said, but industrial output was revised down to 0.2% from the initial estimate of 0.5%.

A tepid mix of US economic indicators sent the dollar weakening against the yen yesterday closing at 117.55 , leaving investors questioning the strength of US recovery and the timing of Fed rate hikes next year. The Labor

Department reported that the number of individuals filing new applications for unemployment benefits rose to 313,000 last week, a gain of 21,000. It was the highest level since early September, confounding market calls for a

decrease of 5,000.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Currency

Dollar Index

Euro

Pound

Yen

Support - Resistance for the day

Pivot

62.25

77.57

97.80

52.93

Open

87.6760

1.2505

1.5791

117.7200

3.00%

0.70%

-0.01

467K

62.20

77.38

97.63

52.80

High

87.7150

1.2510

1.5800

117.7500

Period

1- Month

3-Month

6-Month

1-Year

62.14

77.26

97.39

52.67

Low

87.6250

1.2494

1.5776

117.4700

Forward

62.1600

62.9200

64.0850

66.3000

62.30

77.69

98.04

53.06

87.6800

1.2503

1.5790

117.5500

Future

61.8658

62.6175

63.6650

66.2050

62.35

77.87

98.21

53.18

% chg

-0.08%

0.02%

0.00%

0.14%

NDF

62.0350

62.5770

63.4950

65.3830

International Pairs

Economic Data

Today

Currency

German Unemployment Rate (Nov)

EUR

German Unemployment (Nov) EUR

EUR

German CPI (MoM) (Nov)

German CPI (YoY) (Nov)

EUR

Expected

0.00%

0.01

0.07

2.887M

-0.30%

0.01

Yesterday

Currency

GDP (YoY) (Q3)

GBP

GDP (QoQ) (Q3)

GBP

Durable Goods Orders (MoM) (Oct)

USD

New Home Sales (Oct)

USD

Actual

3.00%

0.70%

0.00

471K

Forward Market (OTC/ Interbank)

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