Currency Futures & Options at NSE

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Highlights of Currency volumes:

The number of contracts traded in current week is as follows:

Trade Date

Volume
USDINR

Volume
EURINR

Volume
GBPINR

Volume
JPYINR

Total
Volume

Total Value
(Rs. Cr)

Total Open
Interest

19-Apr-12

2119563

16701

6916

8377

3366257

17604.29

4209427

18-Apr-12

1891216

14833

11381

13092

2789975

14542.35

4133277

17-Apr-12

1793994

16012

7742

10506

2564807

13348.01

3932208

16-Apr-12

1594138

10549

3241

12528

2122218

11064.51

3823867

13-Apr-12

1877389

10942

7093

5324

2387519

12393.92

3828514

Price Watch As On 19-04-2012 @ 5.00 PM

Contract

Best Bid

Best Ask

Spread

LTP

Volume
(Contracts)

Value
(crores)

OI

No. of
Trades

USDINR 260412

111

52.2275

52.2350

400

0.0075

52.2275

1898487

9,871.16

1,201,358

37187

USDINR 290512

71

52.5700

52.5750

48

0.0050

52.5700

183304

959.65

466,203

4940

USDINR 270612

297

52.8675

52.8925

90

0.0250

52.8875

25092

132.15

97,167

684

EURINR 260412

68.3500

68.3675

0.0175

68.3675

14234

97.10

18,693

2460

EURINR 290512

68.7900

68.8000

28

0.0100

68.7925

2229

15.30

8,297

431

EURINR 270612

69.1075

69.1775

0.0700

69.1000

238

1.64

1,432

35

GBPINR 260412

10

83.6925

83.7175

28

0.0250

83.6950

5316

44.30

9,177

1580

GBPINR 290512

84.0000

84.3900

0.3900

84.3975

1499

12.56

6,403

471

GBPINR 270612

84.5150

84.5775

0.0625

84.3900

77

.65

430

44

JPYINR 260412

63.9175

63.9200

0.0025

63.9100

7608

48.50

10,124

1419

JPYINR 290512

64.2475

64.2900

0.0425

64.2900

728

4.67

2,166

324

JPYINR 270612

64.5875

64.7000

0.1125

64.4500

41

.26

196

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Highlights of Currency Options in USDINR

The price watch of the Near Month Options is as followsCALL as on 19-04-2012 @ 5.00 PM

PUT as on 19-04-2012 @ 5.00 PM

Strike
Price

LTP

Implied
Volatility

Volume
(Contracts)

OI

Strike
Price

LTP

Implied
Volatility

Volume
(Contracts)

OI

52.00

0.3825

8.83

169,602

153,046

53.75

0.1550

8.90

126,300

133,963

52.25

0.2500

9.09

136,524

95,527

53.50

0.0500

9.58

109,190

160,297

52.50

0.1500

9.16

130,708

132,973

54.00

0.0900

9.23

58,734

56,824

51.50

0.7675

9.02

64,038

176,130

52.75

0.0150

10.42

58,238

147,473

51.75

0.5500

8.42

37,241

63,502

50.75

0.2000

6.69

42,822

36,992

53.00

0.0500

9.77

22,057

58,152

53.25

0.0275

9.99

36,629

47,638

51.00

1.2500

11.65

17,876

81,911

50.50

0.8700

12.75

26,770

68,573

CLIENT/ MEMBER LEVEL POSITION LIMITS

The position Limit is based on combined open interest in futures & options.
USDINR (Millions)

EURINR (Millions)

GBPINR (Millions)

JPYINR (Millions)

Trade
Date

Client

Member

Bank

Client

Member

Bank

Client

Member

Bank

Client

Member

Bank

20-Apr-12

249.07

622.68

622.68

5.00

25

50

25

50

200

1000

2000

19-Apr-12

244.69

611.73

611.73

5.00

25

50

25

50

200

1000

2000

18-Apr-12

232.75

581.88

581.88

5.00

25

50

25

50

200

1000

2000

17-Apr-12

226.25

565.63

565.63

5.00

25

50

25

50

200

1000

2000

16-Apr-12

226.48

566.20

566.20

5.00

25

50

25

50

200

1000

2000

RBI Reference Rate:

RBI Reference Rate
Underlying

1 USD

1 EURINR

1 GBP

100 YEN

19-Apr-12

51.89

83.18

68.06

63.65

18-Apr-12
17-Apr-12
16-Apr-12
13-Apr-12

51.50
51.63
51.66
51.42

81.99
81.94
81.80
81.93

67.54
67.65
67.18
67.67

63.31
64.19
64.17
63.50

The snapshot of USDINR & Nifty as on 19.04.2012 and Currency Futures are given below:

Daily volatility of underlying with annualized future volatility is given below:

Date
19-Apr-12

UNDERLYING ANNUALISED VOLATILITY

ANNUALISED
VOLATILITY

FUTURE ANNUALISED VOLATILITY

USDINR

EURINR

GBPINR

JPYINR

USDINR

EURINR

GBPINR

JPYINR

NIFTY

11.67

10.07

10.72

16.51

11.05

9.55

9.56

15.92

22.81

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