Naira Settled Currency Futures Open Interest Report @ November 25, 2016
By Quantitative Financial Analytics
The FMDQ NIFEX Spot gained increased by 0.36% or N1.13 to end the day at N314.875 against the previous day’s close of N313.75.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.31% from 3,614.72 to 3,625.9 following additional notional purchases of $11.18 million involving just two currency futures, NGUS DEC 21 2016($3.68m) and NGUS NOV 29 2017 ($7.5m).
Mark to Market Analysis and Attribution
Mark to Market increased by N4.52 billion or 2.23% as the estimated Mark to Market (MTM) of open interest now stands at N207.47 billion, against previous day’s Mark to Market value of N202.95 billion. The Change in MTM is attributed mostly to the increase in rate which accounted for +N4.07 billion while the new positions contributed +N0.451.
The next futures in line on the maturity continuum is the NGUS DEC 21 2016 with current notional of $468.05 million and maturity date of December 21,2016. If this were to mature today, the short position holder will pay N15.306 billion.