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Naira Settled Currency Futures Open Interest Report @ November 28, 2016

naira-futures-open15

By Quantitative Financial Analytics

NIFEX Spot

The FMDQ NIFEX Spot gained increased by 0.08% or N0.25 to end the day at N315.125 against the previous day’s close of N314.875 as the Naira continues to struggle against the Dollar.

Open Interest and Volume Analysis

Open interest in currency futures increased by 1.01% from 3,625.9 to 3,662.43 following additional notional purchases of $36.53 million involving 5 of the 12 currency futures.

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Mark to Market Analysis and Attribution

Mark to Market increased by N2.52 billion or 1.22% as the estimated Mark to Market (MTM) of open interest now stands at N209.99 billion, against previous day’s Mark to Market value of N207.47 billion. The Change in MTM is attributed mostly to the new positions which contributed+N1.62 billion while rate change effect accounted +N0.91 billion

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Maturities

The next futures in line on the maturity continuum is the NGUS DEC 21 2016 with current notional of $475.57 million and maturity date of December 21, 2016. If this were to mature today, the short position holders would have paid a cumulative total of N15.53 billion.

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