By Quantitative Financial Analytics
The FMDQ NIFEX Spot decreased by N2.50 or 0.78% ending the day at a rate of N317.5 against the previous day’s rate of N320 as Naira strengthens against the dollar. Source: Quantitative Financial Analytics
Open Interest and Volume Analysis
Open interest in currency futures decreased by 7.3%, (270.3) from 3,697.58 to 3,426.95 due to the maturity of the NGUS OCT 26 2016. There were no purchases of any futures contracts on October 26th but as anticipated, the CBN reset the prices of existing futures mostly upwards.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N197.4 billion, a decrease of 4.16%, (N8.6 billion) over previous day’s Mark to Market value of N205.98 billion. The decrease in MTM is all attributed to the decrease in NIFEX rate since no additional trades were done.
The NGUS OCT 26 2016 matured and has been replaced with NGUS OCT 25 2017. The next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $382 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.11 billion.
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