Modupe Gbadeyanka
By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot regained some movement after three days of being flat as it ended the day at 313.75 against the previous rate of N315.125. This change represents a decrease of N1.375 or 0.44% coming as the CBN clamps down on black market forex traders.
Open Interest and Volume Analysis
Open interest in currency futures increased by $8.72 or .24% from 3,606 to 3,614.72 due largely to additional notional purchases of the newly introduced NGUS NOV 29 2017 currency futures which is now the cheapest at N262/$. Since being introduced, the new future has been recording daily activity.
Mark to Market Analysis and Attribution
Mark to Market decreased by N4.5 billion or 2.17% as the estimated Mark to Market (MTM) of open interest now stands at N202.95 billion, against previous day’s Mark to Market value of N207.54 billion. The Change in MTM is attributed mostly to the decrease in rate which accounted for -N4.96 billion while the new positions contributed +N0.455.
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 N14.7 billion.
