Currency Report– Detailed Report

February 27, 2017

January 12, 2017

December 27, 2016

Currency Futures (NSE)

Currency

USDINR

EURINR

GBPINR

JPYINR

Call

2.73

3.46

4.02

4.80

5.35

Expiry

March

Spot

66.6200

70.3710

82.7220

5935.5000

Open

67.2475

71.0025

83.8000

59.5600

High

67.2475

71.1100

83.8175

59.5600

Low

67.0300

70.8000

83.4925

59.2700

Strike Price

Trade Sheet :

67.0875

70.8625

83.6725

59.3600

Put

Premium

0.2600

0.5700

0.9875

1.4675

1.9500

% chg

-0.22%

0.10%

-0.17%

-0.35%

% Chg in OI

1622884

20.1%

74860

14.7%

37943

32.7%

12924

42.1%

POSITIONAL SPREAD BUY EURINR16DECFUT NSECDSL

SELL USDINR17JANFUT NSECD 68.245 /SELL

68.61 TGT 67.65

USDINR16DECFUT NSECD CMP 3.21 SL 2.74 TGT 3.98

SELL USDINR17JAN 67.5 PE / SELL USDINR17JAN 69.25 CE

TGT 0.02 SL 0.27 CMP 0.18

Option Monitor

% Chg in OI

8109.86%

1185.68%

633.15%

637.48%

3300.41%

87435

135884

231784

134051

99904

Volume

100657

122530

130591

54397

92694

Premium

0.3400

0.1600

0.0750

0.0450

0.0250

237843

160540

235309

6510

8886

% Chg in OI

165.62%

434.94%

1399.07%

-12.12%

0.00%

68.2

66.9

66.95

66.8

68.1

66.9

66.7

66.85

66.6

67.9

66.8

66.5

67.8

66.75

66.4

66.7

67.7

50000 100000 150000 200000 250000

100000

200000

300000

Source: Reuters

FII Activity

4.35

5.01

6.08

7.62

9.00

Action

BUY

SELL

NET

Days to Expriy

Rs. (Crs)

9571.26

9178.93

392.33

$ (Mil)

1424.08

1365.71

58.37

67.00

67.50

68.00

68.50

69.00

148002

69867

60766

1725

131

10 Yr Bonds Yields

6.9

6.8

6.7

6.6

6.5

6.4

6.3

6.2

6.1

2.7

2.5

2.3

2.1

1.9

1.7

1.5

69.00

68.50

68.00

67.50

67.00

Open Interest Distribution

Put

Call

Correlation Between Nifty v/s USDINR

8960

8950

9070

8940

8970

8940

8930

8870

8920

8770

8910

8900

8670

8900

8890

8880

8570

8880

8470

8860

8870

8370

8860

8840

8270

8850

8840

8170

USDINR

Nifty (RHS)

Source: Reuters

India

US (RHS)

Market Snapshot

Rupee has been trading firm and is likely to appreciate against the dollar, helped by bunched-up inflows after a long weekend. Bunched-up dollar

inflows are expected to lift the rupee in early trade. However, month-end dollar demand and weak risk-appetite will limit further gains. Slight gains in

the dollar as markets await details of Trump’s tax plans in his upcoming speech will also add pressure on the rupee.

President Trump will make his first major policy address to Congress tomorrow, which is expected to include some details of his infrastructure

spending and tax plans.

Treasury Secretary Mnuchin said that Trump will use the event to preview some elements of his sweeping plans to cut taxes for the middle class,

simplify the tax system and make American companies more globally competitive.

A looming election in France that poses a key political risk for markets has weighed on investors’ appetite for risk assets in recent sessions. The Times

of London reported that UK PM May is preparing for Scotland to potentially call for an independence referendum in March.

Technical Chart

Currency

USDINR

EURINR

GBPINR

JPYINR

Currency

Dollar Index

Euro

Pound

Yen

Support - Resistance for the day

Pivot

67.12

70.92

83.66

59.40

Open

101.12

1.0560

1.2465

112.07

239K

67.00

70.74

83.50

59.23

High

101.27

1.0575

1.2484

112.33

Period

6-Month

66.90

70.61

83.34

59.11

Low

101.06

1.0549

1.2388

111.89

Forward

68.2850

69.7950

67.21

71.05

83.83

59.52

101.16

1.0562

1.2417

112.21

Future

68.0550

69.9375

67.34

71.23

83.99

59.69

% chg

-0.05%

-0.02%

0.39%

-0.03%

NDF

68.0305

69.5558

International Pairs

Economic Data

Today

Currency

Expected

Core Durable Goods Orders (MoM) (Jan)

0.5%

Durable Goods Orders (MoM) (Jan)

1.70%

0.5%

-0.50%

Yesterday

Currency

Initial Jobless Claims

FOMC Member Lockhart Speaks

Actual

244K

Forward Market (OTC/ Interbank)

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