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Naira Settled Currency Futures Open Interest Report @November 1, 2016


By Quantitative Financial Analytics


The FMDQ NIFEX Spot decreased by N2.00 or 0.63% ending the day at a rate of N317.25. against the previous day’s rate of N319.25.

Open Interest and Volume Analysis

Open interest in currency futures increased by 0.88%, (30.52) from 3,482.36 to 3,512.88 arising from additional notional purchases that includes the new Futures that replaced the one that matured recently

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Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N201.1 billion, a decrease of 2.53%, (N5.22 billion) over previous day’s Mark to Market value of N206.32 billion. The decrease in MTM is mostly due to the rate change which contributed -N7.3 billion to the change while the additional purchases gave rise to +N2.07 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 $394 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.22 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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