By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot increased by N0.20 or 0.06 percent ending the day at a rate of N315.125 against the previous day’s rate of N314.925.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.18%, (6.91) from 3,837.78 to 3,844.69 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N209.33 billion, an increase of 0.37 percent, (N0.77 billion) over previous day’s Mark to Market value of N208.56 billion. Change in MTM is mostly attributed almost equally to the change in NIFEX rate which contributed +N0.432 billion to the change and the effect of additional national purchases gave rise to +N0.334 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 N11.78 billion.
