By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot increased by N2.8 or 0.69% ending the day at a rate of N318 against the previous day’s rate of N315.8188 as the Naira ends its gaining streak on the Dollar.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.1%, (3.66) from 3,566.47 to 3,570.13 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N207.2 billion, an increase of 4%, (N7.97 billion) over previous day’s Mark to Market value of N199.22 billion. The increase in MTM is mostly due to the rate change which contributed +N0.196 billion to the change while the additional purchases gave rise to +N3.7 billion change in MTM
Maturities
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $394.6 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.5 billion.
