Naira Settled Currency Futures Open Interest Report @November 22, 2016

By Quantitative Financial Analytics

NIFEX Spot

The FMDQ NIFEX Spot remained unchanged at N315.125 for the second day in a row at the end of business on November 22, 2016.

Open Interest and Volume Analysis

Open interest in currency futures increased by 1.47%, (57.19) from 3,880.14 to 3,937.33 as investors rush to beat possible price increase by the CBN, a process that has come to characterize the currency futures market at each pre expiration  date.

Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N214.57 billion, an increase of 1.51%, (N3.19 billion) over previous day’s Mark to Market value of N211.38 billion. Change in MTM is attributed only to the effect of additional national purchases.

Maturities

The next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $421.72 million and maturity date of November 23, 2016. At maturity, the short position holder will pay N11.784 billion.