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06 01 2010 Fx Report
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06 01 2010 Fx Report

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  • 1. USD-INR Currency Futures at NSE January 2010 VOLUMES There has been a consistent month on month increase in the number of contracts traded in Currency Futures segment at NSE. The number of contracts traded in the last five days is as follows: Trade Date Total Contracts Total Value (Rs. Cr) RBI Reference Rate 06-Jan-10 3122643 14,404.19 46.12 05-Jan-10 2789552 12,904.65 46.20 04-Jan-10 3004576 13,968.32 46.51 01-Jan-10 998024 4,662.09 46.65 31-Dec-09 1444150 6,745.33 46.68 Average Daily Volumes: Dec’09 USD 1952.59 Mio Nov’09 USD 1689.75 Mio Oct’09 USD 1613.40 Mio Sep’09 USD 1171.15 Mio Aug’09 USD 933.63 Mio Jul’ 09 USD 864.70 Mio Jun’09 USD 714.75 Mio May 09 USD 684.12 Mio Apr’09 USD 490.72 Mio Mar’09 USD 521.43 Mio Price Watch As On 06-01-2010 @ 5:00 Pm No. of Contract Best Bid Best Ask Spread LTP Volume Value(crores) OI Trades USDINR 270110 626 45.93 45.938 2 0.0075 45.9 3017139 13916.03 360267 48677 USDINR 240210 20 46.003 46.025 31 0.0225 46 71904 332.08 67771 1434 USDINR 290310 200 46.023 46.14 199 0.1175 46.1 13926 64.5 50035 222 USDINR 280410 1 46.153 46.25 100 0.0975 46.2 16389 76.21 42286 111 USDINR 270510 51 46.193 46.5 50 0.3075 46.4 1891 8.81 2847 25 USDINR 280610 1 46.01 46.76 9 0.75 46.7 826 3.85 2421 13 USDINR 280710 37 46 46.795 9 0.795 46.8 71 0.33 977 2 USDINR 270810 1 46.01 46.85 1 0.84 46.5 90 0.42 449 5 USDINR 280910 1 46.03 46.99 2 0.96 46.7 187 0.87 600 4 USDINR 271010 49 46.15 47.178 9 1.0275 47 130 0.61 168 2 USDINR 261110 1 46.51 46.99 1 0.48 46.8 53 0.24 237 2 USDINR 291210 9 46.033 47 2 0.9675 47 37 0.17 37 2 Total 3122643 14404.12 528095 50499 1
  • 2. CLIENT/ MEMBER LEVEL POSITION LIMITS As per the RBI – SEBI Standing Technical Committee guidelines the Client / Member position limit has been defined as (Circular No. NSE/CD/2009/12170 March 24, 2009) At Client level - 6% of OI or USD 10 million whichever is higher At Member level -15% of OI or USD 50 million whichever is higher At Bank level -15% of OI or USD 100 million whichever is higher The client level position limit for 07.01.10 is USD 31.83 Mio The member level position limit for 07.01.10 is USD 79.58 Mio The Bank level position limit for 07.01.10 is USD 100.00 Mio Client/Member level position limit for last five days are given below: 30 Day Moving Client position Member position Average of Trade Open limit for the next limit for the next Currency Futures Date Interest trading day trading day (million USD) ( million USD) ( million USD) 06-Jan-10 530557 1999.37 31.83 79.58 05-Jan-10 514323 1939.84 30.86 77.15 04-Jan-10 493837 1909.09 29.63 74.08 01-Jan-10 425183 1860.64 25.51 63.78 31-Dec-09 406200 1872.33 24.37 60.93 The snapshot of volumes along with open interest since inception is given below: 2
  • 3. The snapshot of S&P NIFTY along with Currency Futures is given below: S&P NIFTY as on 06-01-2010 Currency Futures as on 06-01-2010 Daily volatility of underlying with annualized future volatility is given below: UNDERLYING ANNUALISED FUTURES ANNUALISED VOLATILITY VOLATILITY ANNUALISED (USD-INR) ( USD-INR) VOLATILITY (NIFTY) 06-Jan-10 8.08 8.00 21.61 For more information please log on to: http://www.nseindia.com/marketinfo/fxTracker/fxTracker.jsp# ******** 3

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