Modupe Gbadeyanka
By Quantitative Financial Analytics
NIFEX Spot
The FMDQ NIFEX Spot remained unchanged at N315.125 at the end of business on November 21, 2016. This is about the first time the rate ended unchanged since the introduction of currency futures.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.92%, (35.45) from 3,844.69 to 3,880.14 arising from additional notional purchases.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N211.38 billion, an increase of 0.98%, (N2.05 billion) over previous day’s Mark to Market value of N209.33 billion. Change in MTM is attributed only to the effect of additional national purchases.
Maturities
The next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $422 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N11.78 billion.
