Modupe Gbadeyanka
By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot increased by N0.13 or 0.04% ending the day at a rate of N315.25 against the previous day’s rate of N315.175
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.05%, (1.88) from 3,724.5134 to 3,7246.39 arising from additional notional purchases. This has been the smallest daily training volume in November
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N205.25 billion, an increase of 0.26%, (N0.538 billion) over previous day’s Mark to Market value of N204.71 billion. The increase in MTM is mostly due to the change in NIFEX rate which contributed +N0.445 billion to the change while the effect of additional national purchases gave rise to +N0.93 billion change in MTM
Maturities
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $403.22 million and maturity date of November 23, 2016. If this was to mature today, the short position holder will pay N11.56 billion.
