Naira Settled Currency Futures Open Interest Report @November 9, 2016
By Quantitative Financial Analytics
The FMDQ NIFEX Spot decreased by N1.5 or 0.47 percent ending the day at a rate of N317.75 against the previous day’s rate of N319 even as the Naira weaken at the spot market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.71 percent, (26.04) from 3,667.3 to 3,693.34 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N212.79 billion, a decrease of 2.0 percent, (N4.3 billion) over previous day’s Mark to Market value of N217.15 billion. The decrease in MTM is mostly due to the change in NIFEX rate which contributed -N5.7 billion to the change while the effect of additional national purchases gave rise to +N1.3 billion change in MTM
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $401.84 million and maturity date of November 23, 2016. If this was to mature today, the short position holder will pay N12.5 billion.