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Naira Settled Currency Futures Open Interest Report @October 31, 2016


By Quantitative Financial Analytics


The FMDQ NIFEX Spot increased by N1.75 or 0.55% ending the day at a rate of N319.25. against the previous day’s rate of N317.5.

Open Interest and Volume Analysis

Open interest in currency futures increased by 0.32%, (11.1) from 3,471.26 to 3,482.36 arising from additional notional purchases of $11.1.

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Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N206.32 billion, an increase of 3.38%, (N6.76 billion) over previous day’s Mark to Market value of N199.567 billion. The increase in MTM is mostly due to the rate increase which contributed +N5.94 billion to the change while the additional purchases gave rise to +N0.811 billion change in MTM.

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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 N13.02 billion.

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Dipo Olowookere is a journalist based in Nigeria that has passion for reporting business news stories. At his leisure time, he watches football and supports 3SC of Ibadan.

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