May 14th, 2018
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Spot
67.36
80.59
91.42
61.63
Expiry
April
May
May
May
Open
67.30
80.24
91.07
61.48
High
67.50
80.62
91.62
61.78
Low
67.22
80.17
90.99
61.46
Option Monitor
Call
IV
6.64
5.94
5.88
6.00
6.01
6.69
% Chg in OI
0%
2%
5%
14%
18%
9%
OI
104251
69890
189930
85671
29879
29679
Volume
4164
14702
118945
49178
52549
19568
Premium
0.99
0.77
0.58
0.44
0.21
0.07
Strike
66.50
66.75
67.00
67.25
67.75
68.50
Premium
0.06
0.09
0.16
0.25
0.55
1.18
Volume
154834
41564
188046
84533
35546
60
Put
OI
142401
85120
155380
47099
12328
2543
% Chg in OI
-8%
3%
16%
18%
165%
-2%
Close
67.44
80.58
91.59
61.75
% chg
0.00%
0.43%
0.25%
0.33%
OI
2439814
94923
50451
23152
% Chg in OI
-0.3%
-2.3%
4.4%
1.6%
Trade Sheet
Sell USDJPY May
Buy EURUSD May
USDINR May Sell 66.75PE / Sell 68.50 CE
FII Activity
Action
IV
5.53
5.26
5.28
5.33
5.81
6.97
BUY
SELL
NET
Rs. (Crs)
3911.49
4236.93
-325.44
$ (Mil)
585.90
634.65
-48.75
-203.16
-25.4
-1891.64
15
Daily Debt($) Flows
Daily Equity($) Flows
MTD Flows($ mln)
Days to Expriy
10 Yr Bonds Yields
Open Interest Distribution
Put
68.50
67.75
67.25
67.00
Call
Correlation Between USDINR v/s USDINR 1 year FWD
USINR V/S USD INR 1yr FWD
67.4
67.2
67
66.8
66.6
274
272
270
268
266
264
262
260
258
256
254
8
7.8
7.6
7.4
7.2
7
6.8
3
2.9
2.8
2.7
2.6
2.5
2.4
2.3
2.2
2.1
2
66.75
66.50
0
Source: Reuters
66.4
Source: Reuters
India
US (RHS)
50000
100000
150000
200000
Source: Reuters
USDINR
USDINR 1yr FWD

Market Snapshot
Rupee consolidated in a range of 67.10 and 67.50(Spot) for the fourth consecutive sessions despite gains in global crude oil prices and fund outflows by FIIs in equity and debt segment. In this
month, fund outflows by FIIs now stand at $1.9billion including both equity and debt segment. Since the start of April, fund outflows now stands at $4.2billion suggesting that FIIs have been
consistently pulling out funds out of India. On Friday, India’s FX reserves for the week ended May,4 stood at $418.94billion lower by $1.42billion suggesting that the central bank has been
intervening to curb the volatility for the rupee. India’s IIP for March grew 4.4% compared to growth of 7% in the previous month casting doubts on strength of upturn in the Indian economy. For
the day, market participants will be keeping an eye on inflation; expectation is that price rise could be seen at 4.42% compared to rise of 4.28% in the previous month. The USDINR pair is
expected to quote in the range of 67.10 and 67.60.
Dollar came under pressure against its major crosses after preliminary consumer sentiment number for May came in line with expectation. The index remained unchanged at 98.8 compared to
the previouis month. For the day, from the US, no major economic data is expected to be released and that could keep the volatility for the greenback.
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Pivot
67.39
80.46
91.40
61.66
Support - Resistance for the day
S1
67.28
80.29
91.18
61.55
S2
67.11
80.00
90.77
61.34
R1
67.55
80.74
91.81
61.87
R2
67.66
80.91
92.03
61.99
International Pairs
Currency
Dollar Index
Euro
Pound
Yen
Economic Data
5/14/2018
Particulars
WPI Inflation (YoY) (Apr)
OPEC Monthly Report
Gaurang Somaiya
Research Analyst(Currency)
Currency
IN
US
Expected
2.86%
-
Previous
2.47%
-
Premium
Outright Rate
USDINR
3- Month
68
68.0
Open
92.55
1.2207
1.3545
109.38
High
92.56
1.2219
1.3573
109.41
Low
92.38
1.2183
1.3536
109.19
Close
92.42
1.1959
1.3565
109.32
% chg
0.13%
-0.14%
-0.18%
0.05%
Forward Premiums
Forward Market (OTC/ Interbank)
6- Month
136.00
68.7
1 year
271.50
70.1
Period
6-Month
1 -Year
Forward
68.72
70.08
Future
67.40
69.68
NDF
68.85
70.23