May 10th, 2016

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Expiry

May

May

May

May

Spot

66.6958

75.8860

96.0220

6139.7200

Call

OI

3305

81344

220590

289062

442580

Open

66.7575

76.1575

96.3075

62.2500

High

66.8250

76.1575

96.5675

62.3000

Low

66.6150

75.9400

95.9525

61.6600

Strike Price

Close

66.7925

76.0650

96.4975

61.7300

% chg

-0.03%

-0.38%

-0.41%

-1.15%

Positional Option: Buy 67CE - At 0.31, SL 0.16,

OI

% Chg in OI

Tgt 0.57

1383261

-3.8%

Theta Strategy: Sell 66.75 CE & PE At 0.66, SL

59073

6.8%

0.87, Tgt 0.29

30011

3.2%

Spread: Buy USDINR (May) / Sell JPYINR (May)

27750

-13.0%

At 4.95, SL 4.32, Tgt 6.03

Option Monitor

IV

3.87

4.69

4.80

5.29

5.93

% Chg in OI

0.06%

0.45%

8.45%

-3.24%

-1.56%

Volume

12

7557

60176

95392

145215

Premium

1.2800

0.8500

0.4650

0.2275

0.1100

Premium

0.0125

0.0500

0.1525

0.4125

0.7950

Volume

10879

58188

84105

30036

4403

Put

OI

28334

176072

132250

212151

69265

% Chg in OI

-5.62%

7.08%

10.29%

-2.83%

-1.62%

66.8

66.75

66.7

66.65

66.6

66.55

66.5

66.45

IV

5.14

4.99

4.78

5.25

5.92

Action

BUY

SELL

NET

FII Activity

Rs. (Crs)

3900.44

3676.04

224.40

$ (Mil)

583.18

549.63

33.55

17

65.50

66.00

66.50

67.00

67.50

Days to Expriy

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

65.50

Source: Reuters

Open Interest Distribution

Put

67.50

67.00

66.50

66.00

Call

Correlation Between Nifty v/s USDINR

7900

7850

7800

7750

7700

7650

7600

India

US (RHS)

0

100000 200000 300000 400000 500000

Source: Reuters

USDINR

Nifty (RHS)

Market Snapshot

The INR is likely to see selling pressure today as the dollar rebounded against majors and other emerging currencies. The sentiment turned sour largely as

commodities saw a big selloff following weaker than expected data from China over the weekend. After some respite in March, most economic data out of

China in April was disappointing which has renewed slowdown concerns and led to a dollar rally across the board.

On the domestic front, India’s provisional indirect tax revenue rose 41% y/y in April to 643.94 billion rupees, customs tax revenue rose 22% to 179.45

billion rupees and central excise tax revenue jumped 70% on year to 282.52 billion rupees pointing to strong economic momentum. In terms of flows,

equity and debt combined flows have totalled $35 million so far this month. The short term weakness in the INR may continue and market focus will be on

India's April inflation data and industrial output data for March, due for release later this week.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Currency

Dollar Index

Euro

Pound

Yen

Support - Resistance for the day

Pivot

66.74

76.05

96.34

61.90

Open

94.13

1.1381

1.4406

108.33

S1

66.66

75.95

96.11

61.49

High

94.26

1.1392

1.4422

108.81

S2

66.53

75.84

95.72

61.26

Low

94.08

1.1369

1.4392

108.24

Forward

67.0958

67.7933

68.9083

70.7958

R1

66.87

76.17

96.73

62.13

Close

94.20

1.1378

1.4397

108.60

Future

66.7925

67.5025

68.6575

70.4950

R2

66.95

76.27

96.95

62.54

% chg

-0.08%

0.03%

0.06%

-0.27%

NDF

67.0558

67.6658

68.6758

70.6358

International Pairs

Economic Data

Today

Currency

German IP (MoM) (Mar)

EUR

German Trade Balance (Mar) EUR

FOMC Member Dudley Speaks USD

Trade Balance (Mar)

GBP

Expected

-0.2%

20.5B

-

-11.30B

Previous

-0.5%

19.8B

-

-11.96B

Yesterday

Currency

German Factory Orders (MoM) EUR

-

-

-

-

-

-

Actual

1.9%

-

-

-

Forward Market (OTC/ Interbank)

Previous

Period

-0.8%

1- Month

-

3-Month

-

6-Month

-

1-Year

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