31-08-2016 by 
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Naira Settled Currency Futures Open Interest Report @August 30 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N11.28 or 3.44% ending the day at N338.9625 against the previous day’s close of N327.6875. The Naira FX rate however decreased by 0.22% to close at N318.14 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest decreased on August 30, 2016 for the first time since the introduction of currency futures in Nigeria. Currency futures investors were net sellers as open interest decreased by 0.08% from $2,754.53 to $2,752.2 million due largely to a sale of $6.9 million in notional futures contract of NGUS MAR 22 2017. A fall in open interest is usually an indication that investors are bearish on the underlying, we do not think that this bearish posture will last.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N210.09 billion, an increase of 17.20%, (N30.816 billion) over previous day’s Mark to Market value. The increase was due to the increase in NIFEX rate.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.297 billion.

 

Settled Currency Futures Open Interest Report @August 29, 2016

NIFEX Spot
The FMDQ NIFEX Spot increased by N12.44 or 3.95% ending the day at N327.6875 against the previous day’s close of N315.25. The Naira FX rate also increased by 1.23% to close at N318.83 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 10.98% from $2,481.95 to $2,754.53 million due to $272.58 million additional notional futures contract amounts purchased. The NGUS JUL 19 2017 attracted the highest additional new purchases in notional terms as it had $270 million of purchases. The NGUS JUL 19 2017 has witnessed many trading activities since the CBN reduced the rate from N250/$ to N231/$. Prior to that change, the Futures had $36.16 million in open interest which has more than quadrupled since the change to $365.75 million.
The NGUS AUG 16 2017 which replaced the NGUS AUG 24 2016 that matured recently is yet to witness any trades.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N179.2 billion, an increase of 46.74%, (N57.07 billion) over previous day’s Mark to Market value. The increase was due to the increase in NIFEX rate and the big increase in open interest.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N2.21 billion.

Naira Settled Currency Futures Open Interest Report @August 24 2016

NIFEX Spot
The FMDQ NIFEX Spot increased by N6.8 or 2.03% ending the day at N341.2 against the previous day’s close of N335.25. The Naira FX rate also went up by 3.52% to close at N315.93 to the Dollar at the official market.

Open Interest and Volume Analysis
Open interest in currency futures decreased by 1.81% from $2,452.97 to $2,408.6 million due to the maturity of the NGUS AUG 24 2016. The maturity resulted in market activity reflecting a net sell situation. Excluding the maturity, currency futures investors bought $108.11 million dollars of additional notional futures contract amounts. The NGUS NOV 23 2016 attracted the highest addition of $32.83 new purchases.

Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N182.89 billion, an increase of 12.26%, (N23.8 billion) over previous day’s Mark to Market value.

Maturities
NGUS AUG 24 2016 matured on August 24, 2016 and was replaced with NGUS AUG 16 2017 @ N241/$. There were no trades yet on the new futures. Though, it is not yet revealed how much the CBN paid for the second matured futures but we had estimated that the short position holders, possibly the CBN is expected to pay an estimated N4.886 billion on a notional of $152.48 million and settlement date close of N341.2. That brings the payments so far made on matured futures to about N5.4 billion
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016.

 

NIFEX Spot
The FMDQ NIFEX Spot increased by N5.75 or 1.75% ending the day at N335.25 against the previous day’s close of N329.5. This comes as a surprise given that Naira FX rate decreased by 1.15% to N305.18 to the Dollar at the official market.
Open Interest and Volume Analysis
Be that as it may, open interest in currency futures increased by 6.26% from $2,308.44 to $2,452.97 million. Currency Futures investors were net buyers as $144.53 million dollars of futures contracts were purchased, marking the highest number of deals in a single day this month.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N162.925 billion, an increase of 14.93%, (N21.159 billion) over previous day’s Mark to Market value of N141.76. The Naira Settled currency futures have gained in open interest by 9,077% from inception to date.
Maturities
NGUS AUG 24 2016 matures on August 24, 2016 and the short position holders, possibly the CBN is expected to pay an estimated N3.85 billion on a notional of $152.48 million.

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