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Naira Settled Currency Futures Open Interest Report At October 24, 2016


By Quantative Financial Analytics


The FMDQ NIFEX Spot increased by N2.88 or 0.91% ending the day at a rate of N319.75 against the previous day’s rate of N316.875 as Naira weakens against the dollar.


Open Interest and Volume Analysis

Open interest in currency futures increased by 0.27% from $3,653.01 million to $3,663 million as investors purchased $9.9 million additional notional futures contract.  Only the NGUS AUG 16 2017 recorded an activity for the day.


Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N210.76 billion, an increase of 5.66%, (N11.29 billion) over previous day’s Mark to Market value of N199.466 billion. The increase in MTM is attributed mostly to the increase in NIFEX rate which resulted in an increase in MTM of N10.5 billion while the additional contracts increased MTM by N0.791 billion leaving a net increase in MTM of N11.29billion.


The next futures in line on the maturity continuum is the NGUS OCT 26 2016 which matures on October 26, 2016. If this was to mature today, the short position holder will pay N7.65 billion.

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Dipo Olowookere is a journalist based in Nigeria that has passion for reporting business news stories. At his leisure time, he watches football and supports 3SC of Ibadan.

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