Naira Settled Currency Futures Open Interest Report @November 14, 2016

By Quantitative Financial Analytics

NIFEX Spot

The FMDQ NIFEX Spot increased by N0.25 or 0.08% ending the day at a rate of N315.5 against the previous day’s rate of N315.25

Open Interest and Volume Analysis

Open interest in currency futures increased by 0.59%, (22.17) from 3,746.39 to 3,748.56 arising from additional notional purchases.

Mark to Market Analysis and Attribution

The estimated Mark to Market (MTM) of open interest now stands at N206.78 billion, an increase of 0.74%, (N1.52 billion) over previous day’s Mark to Market value of N205.25 billion. Change in MTM is mostly attributed almost equally to the change in NIFEX rate which contributed +N0.62 billion to the change while the effect of additional national purchases gave rise to +N0.9 billion change in MTM

Maturities

Next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $403.22 million and maturity date of November 23, 2016. If this was to mature today, the short position holder will pay N11.87 billion.