January 1st , 2015

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Expiry

January

January

January

January

Spot

63.0300

76.2410

98.1940

52.6600

Call

OI

16706

63120

111222

266819

168722

Open

63.6900

77.4650

99.0100

53.3550

High

63.7400

77.5150

99.2125

53.4550

Low

63.4250

77.0600

98.8125

53.0900

Strike Price

Close

63.4675

77.1300

98.9550

53.1925

% chg

-0.43%

-0.46%

0.01%

-0.16%

Trade Sheet:

OI

% Chg in OI

Sell 63.5 PE & 64.5 CE (JAN) at 0.53, SL

1339257

-1.3%

0.70, TGT 0.10

41157

2.4%

Sell 64.5 Call at 0.22, Sl 0.33, TGT 0.01

27300

-11.4%

Sell GBPINR at 99.16, SL 99.48, TGT 98.15

13065

Put

OI

39309

79792

96481

92334

33853

11.0%

Option Monitor

IV

5.99

5.56

5.68

6.16

6.67

% Chg in OI

1.15%

40.92%

20.54%

-4.21%

-0.59%

Volume

1063

28566

91075

123508

61178

Premium

1.0225

0.6300

0.3575

0.2025

0.1150

Premium

0.0825

0.2025

0.4300

0.7525

1.1850

Volume

16115

63743

82444

34487

1493

% Chg in OI

4.87%

6.02%

-6.65%

-6.44%

-1.15%

63.8

63.6

63.4

63.2

63.50

63.00

62.50

India

US (RHS)

FII Activity

IV

5.42

5.40

5.58

5.71

6.58

Action

BUY

SELL

NET

Days to Expriy

Rs. (Crs)

2348.86

1867.78

481.08

$ (Mil)

367.38

292.14

75.25

27

62.50

63.00

63.50

64.00

64.50

10 Yr Bonds Yields

8.8

8.6

8.4

8.2

8

7.8

7.6

7.4

7.2

7

2.7

2.5

2.3

2.1

1.9

1.7

1.5

64.50

64.00

Open Interest Distribution

Put

Call

Correlation Between Nifty v/s USDINR

8300

8280

8260

8240

8220

8200

8180

8160

8140

63

62.8

62.6

Source: Reuters

0

100000

200000

300000

Source: Reuters

USDINR

Nifty (RHS)

Market Snapshot

India's benchmark bond yield ended down 1 BSP at 7.86%, posting its biggest yearly fall since 2008, on expectation of rate cuts in 2015, while INR ended stronger at 63.03/04 against the dollar, on corporate dollar selling and in

absence of RBI intervention. The rupee to trade in a narrow band in 2015 with positives such as government reforms and foreign buying to be offset by a highly anticipated U.S. rate hike

Euro held steady against the dollar in subdued trade yesterday closing at 1.2098, hovering close to two-year lows as expectations for a US rate hike in 2015 continued to lend broad support to the dollar. investors remained

cautious after Greek Prime Minister Antonis Samaras said on Monday that he will recommend parliamentary elections are held on January 25, almost 18 months before his coalition's term was due to end.

Pound edged higher against the dollar yesterday closing at 1.5578, but gains were expected to remain limited as demand for the dollar continued to be underpinned and concerns over political instability in Greece still weighed on

market sentiment. YoY, U.K. house prices rose 7.2% in December, below expectations for a 7.5% gain, after an increase of 8.5% the previous month.

Dollar dropped against the yen yesterday closing at 119.69, pulling away from close to three-week highs as traders locked in profits from the dollar's recent rally most other major currencies. The dollar remained broadly supported

after final data last week showed that US GDP rose 5.0% in the Q3, exceeding expectations for a growth rate of 4.3% and up from 3.9% in the three months to June.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Currency

Dollar Index

Euro

Pound

Yen

Support - Resistance for the day

Pivot

63.54

77.24

98.99

53.25

Open

90.2600

1.2098

1.5575

119.6700

Previous

280K

-1.10%

50.30

-

S1

63.35

76.96

98.77

53.04

High

90.3040

1.2101

1.5579

119.6700

Period

1- Month

3-Month

6-Month

1-Year

S2

63.23

76.78

98.59

52.88

Low

89.8630

1.2096

1.5574

119.6700

Forward

63.4425

64.2575

65.3275

67.3350

R1

63.66

77.41

99.17

53.40

Close

90.2760

1.2096

1.5579

119.6700

Future

63.4675

64.2050

65.2775

67.1900

R2

63.86

77.69

99.39

53.61

% chg

-0.01%

0.01%

-0.04%

0.01%

NDF

63.4150

64.0900

65.0400

66.8800

International Pairs

Economic Data

Today

Currency

Initial Jobless Claims

USD

Pending Home Sales (MoM) (Nov)

USD

CNY

Manufacturing PMI (Dec)

-

-

Expected

-

0.70%

-

-

Previous

Yesterday

Currency

USD

280K

Initial Jobless Claims

-1.10% Pending Home Sales (MoM) USD

(Nov)

50.30

Manufacturing PMI (Dec) CNY

-

-

-

Actual

-

0.70%

-

-

Forward Market (OTC/ Interbank)

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