By Quantitative Financial Analytics
The FMDQ NIFEX Spot decreased by N1.42 or 0.45% ending the day at a rate of N315.8188 against the previous day’s rate of N317.25 as the Naira continues its gaining streak on the Dollar .
Open Interest and Volume Analysis
Open interest in currency futures increased by 1.63%, (57.29) from 3,512.88 to 3,5166.47 arising from additional notional purchases. The first few days of November has been active for the futures market as more futures has been bought than the first two weeks of October.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N199.22 billion, a decrease of 0.93%, (N1.875 billion) over previous day’s Mark to Market value of N201.1 billion. The decrease in MTM is mostly due to the rate change which contributed -N5.6 billion to the change while the additional purchases gave rise to +N3.7 billion change in MTM
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 N11.65 billion.
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