Naira Settled Currency Futures Open Interest Report @October 28, 2016

By Quantitative Financial Analytics

NIFEX Spot

The FMDQ NIFEX Spot decreased by N0.63 or 0.2% ending the day at a rate of N317 against the previous day’s rate of N318.125.

Open Interest and Volume Analysis

Open interest in currency futures increased by 0.9%, (31.1) from 3,440.26 to 3,471.36 arising from additional notional purchases of  $31.1 Source: Quantitative Financial Analytics

Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N199.567 billion, a decrease of 0.4%, (N0.79 billion) over previous day’s Mark to Market value of N200.36 billion. The decrease in MTM is due to the rate increase which contributed -N2.55 billion to the change while the additional purchases gave rise to +N1.76 change in MTM

Maturities

Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $382 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.313 billion.