By Quantitative Financial Analytics
The FMDQ NIFEX Spot decreased by N2.00 or 0.63% ending the day at a rate of N317.25. against the previous day’s rate of N319.25.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.88%, (30.52) from 3,482.36 to 3,512.88 arising from additional notional purchases that includes the new Futures that replaced the one that matured recently
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N201.1 billion, a decrease of 2.53%, (N5.22 billion) over previous day’s Mark to Market value of N206.32 billion. The decrease in MTM is mostly due to the rate change which contributed -N7.3 billion to the change while the additional purchases gave rise to +N2.07 billion change in MTM
Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $394 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.22 billion.
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