Modupe Gbadeyanka
By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot increased by N0.30 or 0.10% ending the day at a rate of N314.925 against the previous day’s rate of N314.625.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.14%, (5.5) from 3,832.28 to 3,837.78 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N208.56 billion, an increase of 0.68 percent, (N1.41 billion) over previous day’s Mark to Market value of N207.15 billion. Change in MTM is mostly attributed to the change in NIFEX rate which contributed +N1.1 billion to the change while the effect of additional national purchases gave rise to +N0.31 billion change in MTM
Maturities
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $422 million and maturity date of November 23, 2016. If this was to mature today, the short position holder will pay N11.7 billion.
