July 8th, 2016
Currency Futures (NSE)
Currency
USDINR
EURINR
GBPINR
JPYINR
Expiry
July
July
July
July
Spot
67.5053
74.7430
87.3870
6702.3400
Call
OI
6007
32438
198076
169599
314400
Open
67.7575
75.1500
88.6425
66.8500
High
67.9025
75.1500
88.6425
67.1575
Low
67.5175
74.7800
87.5850
66.6650
Strike Price
Trade Sheet:
Close
67.5900
74.8925
88.2075
66.7675
% chg
-0.16%
-0.82%
-1.05%
0.45%
OI
% Chg in OI
1253740
3.3%
38483
-19.3%
62171
-3.5%
54427
10.9%
Put
OI
92620
171355
144965
172839
51827
Positional Spread: Buy EURINR (Jul) / Sell
USDINR (Jul) - At 7.42, SL Trailed to 7.15, Tgt 8.45
Theta Strategy: Sell USDINR 67PE/Sell USDINR
68.50CE - At 0.185, SL 0.27, Tgt 0.03
Option Monitor
IV
3.58
3.82
4.52
4.94
5.57
% Chg in OI
-0.08%
7.01%
1.19%
-2.02%
5.37%
Volume
22
13438
65005
126203
123905
Premium
1.2125
0.7600
0.4225
0.2075
0.1050
Premium
0.0275
0.0800
0.2400
0.5200
0.9175
Volume
40581
73670
60129
24473
1806
% Chg in OI
14.26%
-4.49%
6.76%
-3.17%
-0.92%
67.55
67.5
67.45
67.4
67.35
67.3
67.25
67.2
67.15
67.1
IV
5.12
4.85
5.15
5.53
6.37
Action
BUY
SELL
NET
FII Activity
Rs. (Crs)
4306.44
4605.95
-299.51
$ (Mil)
630.96
674.84
-43.88
19
66.50
67.00
67.50
68.00
68.50
Days to Expriy
10 Yr Bonds Yields
7.7
7.6
7.5
7.4
7.3
7.2
7.1
7
2.7
2.5
2.3
2.1
1.9
1.7
1.5
66.50
Source: Reuters
Open Interest Distribution
Put
68.50
68.00
67.50
67.00
Call
Correlation Between Nifty v/s USDINR
8380
8370
8360
8350
8340
8330
8320
8310
8300
India
US (RHS)
0
100000
200000
300000
400000
Source: Reuters
USDINR
Nifty (RHS)

Market Snapshot
Indian rupee is poised to open lower against dollar amid expectations of weaker shares as tepid risk appetite weighs on regional indices. However,
caution ahead of U.S. employment data will likely keep traders on the sidelines.
Most Asian shares indices were lower. Oil prices slipped to two-month lows yesterday after data showed crude stockpiles fell 2.2 million barrels for
the week to Jul. 1.
US Private payrolls increased more than expected in June as small businesses ramped up hiring, and fewer Americans applied for unemployment
benefits last week. Investors awaited US jobs data today to see if the labor market is stronger than previous surveys indicated.
China's foreign exchange reserves rose $20 billion in June to $3.21 trillion, recovering from a five-year low in May. Japan released current account
data with negative numbers at ¥1.41 trillion MoM vs ¥1.52 trillion MoM expected
Technical Chart
Currency
USDINR
EURINR
GBPINR
JPYINR
Currency
Dollar Index
Euro
Pound
Yen
Support - Resistance for the day
Pivot
67.67
74.94
88.15
66.86
Open
96.28
1.1060
1.2907
100.76
Previous
0.50%
2.10%
S1
67.44
74.73
87.65
66.57
High
96.28
1.1078
1.2957
100.95
Period
6-Month
1-Year
S2
67.29
74.57
87.09
66.37
Low
96.13
1.1053
1.2876
100.62
Forward
69.5603
71.5203
R1
67.82
75.10
88.71
67.06
Close
96.16
1.1072
1.2945
100.69
Future
69.2900
71.5400
R2
68.06
75.31
89.20
67.36
% chg
0.18%
-0.12%
-0.29%
0.06%
NDF
69.5053
71.4753
International Pairs
Economic Data
Today
Currency
German Trade Balance (May) EUR
Trade Balance (May)
GBP
Expected
23.8B
-10.65B
Previous
24.0B
-10.53B
Yesterday
Currency
German IP (MoM) (May)
EUR
Industrial Production (MoM) (May)
GBP
Actual
-1.30%
-0.50%
Forward Market (OTC/ Interbank)
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