Naira Settled Currency Futures Open Interest Report At November 7, 2016
By Quantitative Financial Analytics
The FMDQ NIFEX Spot increased by N0.5 or 0.16% ending the day at a rate of N318 against the previous day’s rate of N317.5 as the Naira weakens further against the Dollar.
Open Interest and Volume Analysis
Open interest in currency futures increased by 1.29%, (46.68) from 3,610.88 to 3,657.56 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N212.3 billion, an increase of 2.22%, (N4.61 billion) over previous day’s Mark to Market value of N207.7 billion. The increase in MTM is mostly due to the additional national purchases which contributed +N3.18 billion to the change while the effect of rate change gave rise to +N1.43 billion change in MTM
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $395.27 million and maturity date of November 23, 2016. If this was to mature today, the short position holder will pay N12.5 billion.