Naira Settled Currency Futures Open Interest Report @ November 23, 2016

By Quantitative Financial Analytics 

NIFEX Spot

The FMDQ NIFEX Spot remained unchanged at N315.125 for the third day in a row at the end of business on November 23, 2016.

Open Interest and Volume Analysis

Open interest in currency futures decreased by 331.33 from 3,937.33 to 3,606 due largely to the NGUS NOV 23 2016 which matured today. As expected, the CBN reset the prices of futures upward.

Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N207.54 billion, against previous day’s Mark to Market value of N214.57 billion. Change in MTM is attributed mostly to the matured futures.

Maturities

The next futures in line on the maturity continuum is the NGUS DEC 21 2016 with current notional of $464.37 million and maturity date of December 21, 2016. If this were to mature today, the short position holder will pay N15.367 billion.