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
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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:
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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
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