March 29th,2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
May
May
May
May
Spot
66.4875
75.6960
97.3580
6198.1400
Call
OI
2746
49009
41716
251661
175597
Open
66.8450
76.0000
97.7000
62.1250
High
66.8450
76.1025
97.8625
62.2300
Low
66.8000
76.0000
97.7000
62.1250
Strike Price
Trade Sheet:
Close
66.8325
76.0825
97.8200
62.2025
% chg
-0.08%
0.25%
0.56%
0.62%
OI
% Chg in OI
Positional Option Spread: Buy USDINR (May)
1748305
0.1%
67CE At 0.31, SL 0.16, TGT 0.57
47633
1.5%
38664
3.3%
25798
4.1%
Option Monitor
IV
2.95
4.40
4.86
5.26
5.55
% Chg in OI
76.48%
-2.38%
-71.26%
34.45%
5.06%
Volume
361
10859
28362
227706
67599
Premium
1.3550
0.9450
0.5900
0.3425
0.1825
Premium
0.0275
0.0775
0.2175
0.4625
0.8150
Volume
7018
88778
76220
119826
8290
Put
OI
23650
146612
79266
187419
70907
% Chg in OI
-19.59%
-6.34%
-48.66%
50.74%
-14.14%
66.7
66.6
66.5
67.00
66.4
66.50
66.00
65.50
Source: Reuters
FII Activity
IV
5.01
4.86
5.13
5.46
6.03
Action
BUY
SELL
NET
Days to Expriy
Rs. (Crs)
9061.04
8940.41
120.63
$ (Mil)
1350.48
1332.50
17.98
28
65.50
66.00
66.50
67.00
67.50
10 Yr Bonds Yields
8
7.8
7.6
7.4
7.2
7
2.7
2.5
2.3
2.1
1.9
1.7
1.5
67.50
Open Interest Distribution
Put
Call
Correlation Between Nifty v/s USDINR
8000
7950
7900
7850
7800
7750
66.3
66.2
66.1
India
US (RHS)
0
100000
200000
300000
Source: Reuters
USDINR
Nifty (RHS)

Market Snapshot
INR has been trading flat to weak for the last few sessions, amidst a mix of data points from the US, Japan and EU. Broad strength in the Japanese yen and
disappointing first-quarter U.S. growth data weighed on the dollar. However, an on-going global equity rout will likely limit the local currency’s gains.
Sensex slipped 1.8% yesterday, and FII’s bought local shares worth Rs.1.21 billion in the previous session.
Yen climbed to an 18-month high after the BOJ’s surprise decision to refrain from adding to record monetary stimulus.Most Asian shares indices were
lower, tracking an overnight fall in global markets after the BoJ unexpectedly stood pat on interest rates and held off on further monetary stimulus.
US GDP rose at an annual pace of 0.5%, the slowest since the first quarter of 2014, and lower than fourth-quarter growth of 1.4%, while jobless claims for
the latest week climbed from a 42-1/2-year low.
Oil prices have surged nearly 80% since hitting 12-year lows of around $27 a barrel for Brent in late January and about $26 for U.S. crude in mid-February.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
66.83
76.06
97.79
62.19
Open
93.80
1.1352
1.4607
108.09
S1
66.81
76.02
97.73
62.14
High
93.75
1.1388
1.4652
108.19
S2
66.78
75.96
97.63
62.08
Low
93.42
1.1333
1.4593
107.05
Forward
66.8825
67.6175
68.6725
70.5825
R1
66.85
76.12
97.89
62.25
Close
93.44
1.1385
1.4643
107.24
Future
66.8350
67.5375
68.6500
70.6200
R2
66.87
76.16
97.96
62.29
% chg
0.35%
-0.30%
-0.24%
0.78%
NDF
66.8575
67.4775
68.4675
70.4375
International Pairs
Economic Data
Today
Japan - Showa Day
CPI (YoY) (Apr)
GDP (QoQ) (Q1)
GDP (YoY) (Q1)
Currency
JPY
EUR
EUR
EUR
Expected
-
-0.1%
0.4%
1.4%
Previous
-
0.0%
0.3%
1.6%
Yesterday
Currency
Construction Orders (YoY) (Mar)
JPY
Housing Starts (YoY) (Mar)
JPY
German Unemployment Rate (Apr)
EUR
Business Climate (Apr)
EUR
Actual
19.8%
8.4%
6.2%
0.1
Forward Market (OTC/ Interbank)
Previous
Period
-12.4%
1- Month
7.8%
3-Month
6.2%
6-Month
0.1
1-Year
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