Currency Report– Detailed Report

12th , April 2017

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Spot

64.55

68.42

80.61

58.93

Expiry

April

Open

64.8400

68.6925

80.5850

58.5950

High

64.8400

68.7500

80.6275

58.6475

Low

64.5550

68.5000

80.2175

58.3725

64.6325

68.6800

80.3900

58.4975

% chg

-0.12%

0.22%

0.07%

0.50%

1318623

64814

45220

19456

% Chg in OI

-7.0%

-2.6%

-2.4%

1.9%

Trade Sheet :

OPTION STRATEGY: SELL NSECD USDINR17APR

64.75PE / SELL USDINR 17APR 64.75 CE CMP 0.5550 SL

0.76 TGT 0.15

Option Monitor

Call

4.18

5.00

5.41

5.89

6.83

7.74

% Chg in OI

206224%

-15%

-18%

90%

-39%

162996

210577

175861

145197

265577

143598

Volume

64558

179806

111104

91746

135252

10170

Premium

0.69

0.35

0.15

0.06

0.03

0.02

Strike

64.00

64.50

65.00

65.50

66.00

66.50

Premium

0.06

0.21

0.50

0.91

1.39

1.88

Volume

163475

168908

47601

23751

2711

983

Put

180977

155489

217749

75983

138772

160556

% Chg in OI

381%

34%

-65%

87%

15%

5.14

5.37

5.73

6.42

7.92

9.80

Action

BUY

SELL

NET

FII Activity

Rs. (Crs)

4659.06

5409.58

-750.52

$ (Mil)

713.02

827.88

-114.86

106.59

-98.66

2546.95

Daily Debt($) Flows

Daily Equity($) Flows

MTD Flows($ mln)

Days to Expriy

10 Yr Bonds Yields

6.9

6.8

6.7

6.6

6.5

6.4

6.3

6.2

Open Interest Distribution

Put

66.00

65.50

65.00

64.50

64.00

Source: Reuters

Correlation Between USDINR v/s USDINR 1 year FWD

Call

USINR V/S USD INR 1yr FWD

64.9

64.8

64.7

64.6

64.5

64.4

64.3

64.2

64.1

500

450

400

350

300

250

200

2.6

2.55

2.5

2.45

2.4

2.35

2.3

Source: Reuters

India

US (RHS)

50000

100000 150000 200000 250000 300000

Source: Reuters

USDINR

USDINR 1yr FWD

Source: Reuters

Market Snapshot

The rupee consolidated in a narrow range against the US dollar after appreciating in the past few sessions. On the domestic front, India’s inflation will be an important number to watch for; expectation is that inflation

for March could rise compared to previous month and that could marginally weigh on the rupee. But geopolitical tension is expected to keep most market participants on the edge and volatility could remain high. Late

evening yesterday North Korea warned of a nuclear attack on the US at any sign of American aggression. The dollar fell against its major crosses as market participants rushed to take cover under safe haven assets

like yen and gold; the yen rose to the highest level in 5-months against the US dollar.

Asian equities are trading lower on heightened geopolitical tensions and inflation China rose at a slower pace in March compared to the previous month. For the day, market participants will be keeping an eye on the

UK employment figure to gauge a view for the pound. From the US, no major economic data is expected to be released but any statement from the US president could increase the volatility for the greenback.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Pivot

64.68

68.64

80.41

58.51

Support - Resistance for the day

64.51

68.54

80.20

58.36

64.39

68.39

80.00

58.23

64.80

68.79

80.61

58.64

64.96

68.89

80.82

58.78

International Pairs

Currency

Dollar Index

Euro

Pound

Yen

Economic Data

4/12/2017

Particulars

Average Earnings Index

Currency

Expected

2.20%

Premium

USDINR

3- Month

Open

100.73

1.0604

1.2489

109.60

High

100.74

1.0615

1.2495

109.75

Low

100.64

1.0598

1.2478

109.33

100.71

1.0599

1.2488

109.49

% chg

0.00%

0.03%

0.00%

0.10%

Forward Premiums

Forward Market (OTC/ Interbank)

6- Month

166.75

1 year

327.00

Period

6-Month

Forward

66.23

Future

65.93

NDF

65.96

BoE Gov Carney Speaks

Outright Rate

65.4

66.2

67.8

6-Month

67.83

67.32

67.45

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