Naira Settled Currency Futures Open Interest Report @October 26,2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N2.50 or 0.78% ending the day at a rate of N317.5 against the previous day’s rate of N320 as Naira strengthens against the dollar. Source: Quantitative Financial Analytics
Open Interest and Volume Analysis
Open interest in currency futures decreased by 7.3%, (270.3) from 3,697.58 to 3,426.95 due to the maturity of the NGUS OCT 26 2016. There were no purchases of any futures contracts on October 26th but as anticipated, the CBN reset the prices of existing futures mostly upwards. Source: Quantitative Financial Analytics
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N197.4 billion, a decrease of 4.16%, (N8.6 billion) over previous day’s Mark to Market value of N205.98 billion. The decrease in MTM is all attributed to the decrease in NIFEX rate since no additional trades were done.
Maturities
The NGUS OCT 26 2016 matured and has been replaced with NGUS OCT 25 2017. The next futures in line on the maturity continuum is the NGUS NOV 23 2016 with current notional of $382 million and maturity date of November 23,2016. If this was to mature today, the short position holder will pay N12.11 billion.
Naira Settled Currency Futures Open Interest Report @October 24,2016
NIFEX Spot
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.
Maturities
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.
Naira Settled Currency Futures Open Interest Report @October 20,2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N0.44 or 0.14% ending the day at a rate of N318.5625 against the previous day’s rate of N318.125 as Naira weakens slightly against the dollar.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.39% from $3,624.05 million to $3,638.23 million as investors purchased $14.18 million additional notional futures contract. 2 out of the 12 existing currency futures recorded activities of some sort with the NGUS JUL 19 2017 recording the highest volume of $7.2 million.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N204.732 billion, an increase of 1.14%, (N2.306 billion) over previous day’s Mark to Market value of N202.426 billion. The increase in MTM is attributed mostly to the increase in NIFEX rate which resulted in an increase in MTM of N1.59 billion while the additional contracts increased MTM by N0.721 billion leaving a net decrease in MTM of N5.374 billion.
Maturities
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 N7.33 billion.
Naira Settled Currency Futures Open Interest Report @October 6,2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N1.125 or 0.35% ending the day at a rate of N322.125 against the previous day’s rate of N321
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.31% from $3,527.21 million to $3,538.31 million as investors purchased additional $11.1 million notional futures contract. 3 out of the 12 existing currency futures recorded activities of some sort with the NGUS OCT 26 2016 recording the highest volume of $10 million.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N213.58 billion, an increase of 2.04%, (N4.27 billion) over previous day’s Mark to Market value of N209.309 billion. The increase in MTM is attributed mostly to the increase in NIFEX rate which resulted in an increase in MTM of N3.97 billion while the additional contracts increased MTM by N.3 billion leaving a net increase in MTM of N4.27 billion.
Maturities
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 N7.69 billion.
Naira Settled Currency Futures Open Interest Report @October 52016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N1.38 or 0.43% ending the day at a rate of N321 against the previous day’s rate of N322.375
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.33% from $3,515.5 million to $3,527.21 million as investors purchased additional $11.71 million notional futures contract. 6 out of the 12 existing currency futures recorded activities of some sort with the NGUS AUG 16 2017 recording the highest volume of $6.42 million.
Mark to Market Analysis and Attribution
The estimated Mark to Market (MTM) of open interest now stands at N209.309 billion, a decrease of 1.91%, (N4.064 billion) over previous day’s Mark to Market value of N213.375 billion. The decrease in MTM is attributed mostly to the falling NIFEX rate which resulted in a reduction in MTM of N4.833 billion while the additional contracts increased MTM by N.769 billion leaving a net reduction in MTM of N4.064 billion. It does appear that the euphoria that greeted the introduction of currency futures is beginning to wane as less and less contracts get traded these days. It is expected that if the NIFEX rate falls further, there may be much more decreased enthusiasm as less arbitrage opportunities will be available.
Maturities
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 N7.16 billion.
Naira Settled Currency Futures Open Interest Report @October 4 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by 0.04% ending the day at a rate of N322.375 against the previous day’s rate of N322.75
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.56% from $3,495.93 million to $3,515.5 million as investors purchased additional $19.57 million notional futures contract. 3 out of the 12 existing currency futures recorded activities of some sort with the NGUS OCT 26 2016 recording the highest volume of $16.93 million.
Mark to Market Analysis and Attribution
The Mark to Market (MTM) of open interest now stands at N213.375 billion, an increase of 0.47%, (N0.94 billion) over previous day’s Mark to Market value of N212.37.9 billion. The increase in MTM is attributed almost evenly between trade effects and effects from NIFEX rate change. The additional trades added N0.58 billion to MTM while the rate increase increased MTM by N0.437 billion representing 56% and 44% respectively
Maturities
The NGUS SEP 28 2016 matured on September, 28 and the short position holder paid an estimated N4.195 billion, 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 N7.5 billion.
Naira Settled Currency Futures Open Interest Report @September 30 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by 0.46% ending the day at a rate of N322.25 against the previous day’s rate of N323.75
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.76% from $3,469.58 million to $3,495.93 million as investors purchased additional $26.35 million notional futures contract. 7 out of the 12 existing currency futures recorded activities of some sort with the NGUS SEP 20 2017 which replaced the matured September 2016 contract recording the highest volume of $13.2 million.
Mark to Market Analysis and Attribution
The Mark to Market (MTM) of open interest now stands at N212.379 billion, a decrease of 1.64%, (N4.57 billion) over previous day’s Mark to Market value of N215.9 billion. The decrease in MTM is more NIFEX rate related than trade related. The additional trades added N1.67 Billion to MTM while the rate decrease reduced MTM by N6.2 billion.
Maturities
The NGUS SEP 28 2016 matured on September, 28 and the short position holder paid an estimated N4.195 billion, 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 N6.97 billion
Naira Settled Currency Futures Open Interest Report @September 29 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by 0.25% ending the day at a rate of N323.75 against the previous day’s rate of N324
Open Interest and Volume Analysis
After the maturity of NGUS SEP 28 2016, open interest stood at $3,393.27 million as at September 28. Currently however, open interest in currency futures increased by 2.25% from $3,393.27 million to $3,469.58 million as investors purchased additional $76.31 million notional futures contract. 5 out of the 12 existing currency futures recorded activities of some sort with the NGUS AUG 16 2017 recording the highest volume of $36.4 million.
Mark to Market Analysis and Attribution
The Mark to Market (MTM) of open interest now stands at N215.9 billion, an increase of 1.97%, (N3.05 billion) over previous day’s Mark to Market value of N212.108 billion. The increase in MTM is more trade related than rate related. The additional trades added N4.65 Billion to MTM while the rate decrease reduced MTM by N848 million.
Maturities
The NGUS SEP 28 2016 matured on September, 28 and the short position holder paid an estimated N4.195 billion, 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 N7.28 billion.
Naira Settled Currency Futures Open Interest Report @September 27 2016
NIFEX Spot
The FMDQ NIFEX Spot remained unchanged ending the day at the previous day’s rate of N324
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.67% from $3,480.23 million to $3,573.2 million as investors purchased additional $92.97 million notional futures contract. 10 out of the 12 existing currency futures recorded activities of some sort with the NGUS JUL 19 2017 recording the highest volume of $28.12 million.
Mark to Market Analysis and Attribution
The Mark to Market (MTM) of open interest now stands at N216.303 billion, an increase of 2.99%, (N6.277 billion) over previous day’s Mark to Market value of N210.025 billion. The increase in MTM is solely due to the additional nationals purchased as there was no rate related effect since the rate remained unchanged
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N4.195 billion.
Naira Settled Currency Futures Open Interest Report @September 26 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N0.13 or 0.04% ending the day at N324 against the previous day’s close of N323.875
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.58% from $3,460.22 million to $3,480.23 million as investors purchased additional $20.01 million notional futures contract. 7 out of the 12 existing currency futures recorded activities of some sort with the NGUS DEC 21 2016 recording the highest volume of $5.14 million.
Mark to Market Analysis and Attribution
The Mark to Market (MTM) of open interest now stands at N210.025 billion, an increase of 0.69%, (N1.429 billion) over previous day’s Mark to Market value of N208.596 billion. The increase in MTM is largely because of the additional nationals purchased as N996,630,000 of the change in MTM is attributed to trade while N432,527,500 is attributed to NIFEX rate change.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N4.195 billion.
Naira Settled Currency Futures Open Interest Report @September 23 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N2.38 or 0.73% ending the day at N323.875 against the previous day’s close of N326.25
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.58% from $3,376.37 million to $3,450.22 million as investors purchased additional $83.85 million notional futures contract. 6 out of the 12 existing currency futures recorded activities of some sort with the NGUS AUG 16 2017 recording the highest volume of $59.71 million. This has been the highest daily trading volume since the last two weeks.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N208.596 billion, a decrease of 0.74%, (N1.56 billion) over previous day’s Mark to Market value of N210.157 billion. The decrease in MTM is largely because of the decrease in NIFEX rate.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N4.172 billion.
Naira Settled Currency Futures Open Interest Report @September 22 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N1 or 0.42% ending the day at N326.25 against the previous day’s close of N325.25
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.09% from $3,374.52 million to $3,376.37 million as investors purchased additional $1.85 million notional futures contract. 3 out of the 12 existing currency futures recorded activities of some sort each of which was less than a million dollars. This has been the lowest daily trading volume since the beginning of currency futures in Nigeria
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N210.157 billion, an increase of 1.69%, (N3.5 billion) over previous day’s Mark to Market value of N206.656 billion. The increase in MTM is largely because of the increase in NIFEX rate.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N4.599 billion.
Naira Settled Currency Futures Open Interest Report @September 21 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N1.38 or 0.42% ending the day at N325.25 against the previous day’s close of N323.8175
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.09% from $3,305.54 million to $3,374.52 million as investors purchased additional $68.98 million notional futures contract. 6 out of the 12 existing currency futures recorded activities of some sort with the NGUS MAY 24 2017 recording the largest volume of $38.01 million
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N206.656 billion, an increase of 4.43%, (N8.765 billion) over previous day’s Mark to Market value of N197.89 billion. The increase in MTM is largely because of the additional notional purchases and the increase in NIFEX rate.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N4.419 billion.
Naira Settled Currency Futures Open Interest Report @September 19 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N0.19 or 0.06% ending the day at N324 against the previous day’s close of N324.1875
Open Interest and Volume Analysis
Open interest in currency futures increased by 1.48% from $3,216.84 to $3,263.79
million due to $46.95 million additional notional futures contract amounts purchased. 9 of the 12 existing currency futures recorded activities of some sort with the NGUS FEB 22 2017 recording the largest volume of $16.57 million
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N196.63 billion, an increase of 2.38%, (N4.569 billion) over previous day’s Mark to Market value of N192.068 billion. The increase in MTM is largely because of the additional notional purchases.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.724 billion.
Naira Settled Currency Futures Open Interest Report @September 15 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N1.25 or 0.38% ending the day at N324 against the previous day’s close of N325.25
Open Interest and Volume Analysis
Open interest in currency futures increased by 1.03% from $3,142.96 to $3,175.32 million due to $32.36 million additional notional futures contract amounts purchased. Only 4 of the 12 existing currency futures recorded activities of some sort with the NGUS APR 26 2017 recording the largest volume of $26.77 million
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N192.068 billion, a decrease of 1%, (N1.93 billion) over previous day’s Mark to Market value of N194.005 billion. The decrease in MTM is largely because of the decrease in NIFEX price inspite of additional notional traded.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.599 billion.
Naira Settled Currency Futures Open Interest Report @September 14 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N1.13 or 0.35% ending the day at N325.25 against the previous day’s close of N324.125
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.06% from $3,079.57 to $3,142.96 million due to $63.39 million additional notional futures contract amounts purchased. 10 of the 12 existing currency futures recorded activities of some sort.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N194.005 billion, an increase of 3.42%, (N6.42 billion) over previous day’s Mark to Market value of N187.58 billion. The increase in MTM is largely because of the increase in NIFEX price and additional notional traded.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.797 billion.
Naira Settled Currency Futures Open Interest Report @September 9 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N2.69 or 0.82% ending the day at N324.125 against the previous day’s close of N 326.8125
Open Interest and Volume Analysis
Open interest in currency futures increased by 3.89% from $2,964.23 to $3,079.57 million due to $115.34 million additional notional futures contract amounts purchased. All currency futures except NGUS AUG 16 2017 recorded activities of some sort but the NGUS FEB 22 2017 attracted the highest additional new purchases in notional terms with $36.68 million of purchases.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N 187.58 billion, a decrease of .64%, (N1.21 billion) over previous day’s Mark to Market value of N188.79 billion. The decrease in MTM is largely because of the decrease in NIFEX price
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.125 billion.
Naira Settled Currency Futures Open Interest Report @September 8 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N1. or 0.31% ending the day at N 326.8125 against the previous day’s close of N325.8125
Open Interest and Volume Analysis
Open interest in currency futures increased by 1.13% from $2,930.98 to $2,964.23 million due to $33.25 million additional notional futures contract amounts purchased. Only 5 currency futures recorded activities of some sort but the NGUS SEP 28 2016 attracted the highest additional new purchases in notional terms with $26.85 million of purchases.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N188.79 billion, an increase of 2.75%, (N4.15 billion) over previous day’s Mark to Market value of N184.635 billion. The increase in MTM is largely because of the increase in NIFEX price and the additional purchases.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.3 billion.
Naira Settled Currency Futures Open Interest Report @September 7 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N1.94 or 0.59% ending the day at N 325.8125 against the previous day’s close of N327.75
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.33% from $2,921.3 to $2,930.98 million due to $9.68 million additional notional futures contract amounts purchased. Only 4 currency futures recorded activities of some sort but the NGUS JAN 25 2017 attracted the highest additional new purchases in notional terms with $5.94 million of purchases.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N184.63 billion, a decrease of 2.75%, (N5.26 billion) over previous day’s Mark to Market value of N189.85 billion. The decrease in MTM is largely because of the decrease in NIFEX price.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N2.4 billion.
Naira Settled Currency Futures Open Interest Report @August 31 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N0.77 or 0.23% ending the day at N 338.1875 against the previous day’s close of N338.9525. The Naira FX rate also decreased by 0.6% to close at N316.24 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.01% from $2,752.2 to $2,807.65 million due to $55.45 million additional notional futures contract amounts purchased. The NGUS JUL 19 2017 attracted the highest additional new purchases in notional terms as it had $33.14 million of purchases but NGUS MAR 22 2017 saw a sale of just $0.2 million
The NGUS AUG 16 2017 which replaced the NGUS AUG 24 2016 that matured in August is yet to witness any trades.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N212.786 billion, an increase of 1.32%, (N2.77 billion) over previous day’s Mark to Market value. Though the NIFEX rate decreased but MTM increased because of the additional purchases.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.24 billion.
Naira Settled Currency Futures Open Interest Report @August 30 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N11.28 or 3.44% ending the day at N338.9625 against the previous day’s close of N327.6875. The Naira FX rate however decreased by 0.22% to close at N318.14 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest decreased on August 30, 2016 for the first time since the introduction of currency futures in Nigeria. Currency futures investors were net sellers as open interest decreased by 0.08% from $2,754.53 to $2,752.2 million due largely to a sale of $6.9 million in notional futures contract of NGUS MAR 22 2017. A fall in open interest is usually an indication that investors are bearish on the underlying, we do not think that this bearish posture will last.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N210.09 billion, an increase of 17.20%, (N30.816 billion) over previous day’s Mark to Market value. The increase was due to the increase in NIFEX rate.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N3.297 billion.
Naira Settled Currency Futures Open Interest Report @August 29 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N12.44 or 3.95% ending the day at N327.6875 against the previous day’s close of N315.25. The Naira FX rate also increased by 1.23% to close at N318.83 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 10.98% from $2,481.95 to $2,754.53 million due to $272.58 million additional notional futures contract amounts purchased. The NGUS JUL 19 2017 attracted the highest additional new purchases in notional terms as it had $270 million of purchases. The NGUS JUL 19 2017 has witnessed many trading activities since the CBN reduced the rate from N250/$ to N231/$. Prior to that change, the Futures had $36.16 million in open interest which has more than quadrupled since the change to $365.75 million.
The NGUS AUG 16 2017 which replaced the NGUS AUG 24 2016 that matured recently is yet to witness any trades.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N179.2 billion, an increase of 46.74%, (N57.07 billion) over previous day’s Mark to Market value. The increase was due to the increase in NIFEX rate and the big increase in open interest.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N2.21 billion.
Naira Settled Currency Futures Open Interest Report @August 26 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N23.5 or 6.94% ending the day at N315.25 against the previous day’s close of N338.75. The Naira FX rate also decreased by 0.6% to close at N314.95 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 0.96% from $2,458.33 to $2,481.95 million due to $23.62 million additional notional futures contract amounts purchased. For the send day in a row, the NGUS DEC 21 2016 attracted the highest additional new purchases in notional terms as it had $15.32 of purchases. the NGUS AUG 16 2017 which replaced the NGUS AUG 24 2016 that matured recently is yet to witness any trades.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N122.12 billion, a decrease of 31.76%, (N56.8 billion) over previous day’s Mark to Market value. The decrease was due to the decrease in NIFEX rate and the new rates set by the CBN on August 24, 2016 for the currency futures which has necessitated a lot level method of MTM analysis.
Maturities
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016. If this was to mature today, the short position holder will pay N1.011 billion.
Naira Settled Currency Futures Open Interest Report @August 25 2016
NIFEX Spot
The FMDQ NIFEX Spot decreased by N3.3 or 0.96% ending the day at N338.75 against the previous day’s close of N341.05. The Naira FX rate also went up by 0.29% to close at N316.84 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures increased by 2.06% from $2,408.6 million to $2,458.33 million due to $49.73 million additional notional futures contract amounts purchased. The NGUS DEC 21 2016 attracted the highest addition of $24.15 new purchases in notional terms. It does not appear that there has been any trade on the NGUS AUG 16 2017 which replaced the NGUS AUG 24 2016 that matured recently.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N178.96 billion, a decrease of 2.15%, (N3.9 billion) over previous day’s Mark to Market value. The decrease was due to the decrease in NIFEX rate and the new rates set by the CBN on August 24, 2016 for the currency futures.
Maturities
NGUS AUG 24 2016 matured on August 24, 2016 and was replaced with NGUS AUG 16 2017 @ N241/$. There were no trades yet on the new futures. Though, it is not yet revealed how much the CBN paid for the second matured futures but we had estimated that the short position holders, possibly the CBN is expected to pay an estimated N4.886 billion on a notional of $152.48 million and settlement date close of N341.2. That brings the payments so far made on matured futures to about N5.4 billion
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016.
Naira Settled Currency Futures Open Interest Report @August 24 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N6.8 or 2.03% ending the day at N341.2 against the previous day’s close of N335.25. The Naira FX rate also went up by 3.52% to close at N315.93 to the Dollar at the official market.
Open Interest and Volume Analysis
Open interest in currency futures decreased by 1.81% from $2,452.97 to $2,408.6 million due to the maturity of the NGUS AUG 24 2016. The maturity resulted in market activity reflecting a net sell situation. Excluding the maturity, currency futures investors bought $108.11 million dollars of additional notional futures contract amounts. The NGUS NOV 23 2016 attracted the highest addition of $32.83 new purchases.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N182.89 billion, an increase of 12.26%, (N23.8 billion) over previous day’s Mark to Market value.
Maturities
NGUS AUG 24 2016 matured on August 24, 2016 and was replaced with NGUS AUG 16 2017 @ N241/$. There were no trades yet on the new futures. Though, it is not yet revealed how much the CBN paid for the second matured futures but we had estimated that the short position holders, possibly the CBN is expected to pay an estimated N4.886 billion on a notional of $152.48 million and settlement date close of N341.2. That brings the payments so far made on matured futures to about N5.4 billion
The next futures in line on the maturity continuum is the NGUS SEP 28 2016 which matures on September 28, 2016.
Naira Settled Currency Futures Open Interest Report @August 23 2016
NIFEX Spot
The FMDQ NIFEX Spot increased by N5.75 or 1.75% ending the day at N335.25 against the previous day’s close of N329.5. This comes as a surprise given that Naira FX rate decreased by 1.15% to N305.18 to the Dollar at the official market.
Open Interest and Volume Analysis
Be that as it may, open interest in currency futures increased by 6.26% from $2,308.44 to $2,452.97 million. Currency Futures investors were net buyers as $144.53 million dollars of futures contracts were purchased, marking the highest number of deals in a single day this month.
Mark to Market Analysis
The Mark to Market (MTM) of open interest now stands at N162.925 billion, an increase of 14.93%, (N21.159 billion) over previous day’s Mark to Market value of N141.76. The Naira Settled currency futures have gained in open interest by 9,077% from inception to date.
Maturities
NGUS AUG 24 2016 matures on August 24, 2016 and the short position holders, possibly the CBN is expected to pay an estimated N3.85 billion on a notional of $152.48 million.
Futures Open Interest Report @August 22 2016
The Naira Settled currency futures price (represented by Nifex Spot) decreased by N15 ending the day at N329.5 against the previous day’s close of N344.5, representing a 4.35% decrease.
Open interest in currency futures increased by around 4.38% increasing from $2,211.5 to $2,308.44 million. Currency Futures investors were net buyers as $96.94 million dollars of futures were purchased. The Mark to Market (MTM) of open interest now stands at N141.76 billion as at August 22, 2016 (according to analysis by Quantitative Financial Analytics), a decrease of 16.58%, (N28.17 billion) over previous day’s Mark to Market value.
The Naira Settled currency futures have gained in open interest by 8,536% from inception to date.
Maturities
NGUS AUG 24 2016 is maturing in the next two days and the short position holders, possibly the CBN is expected to pay an estimated N2.973 billion on a notional of $152.48 million.
Futures Open Interest Report @August 19th 2016
The Naira Settled currency futures price (represented by Nifex Spot) decreased by N2.63 ending the day at N344.5 against the previous day’s close of N347.125.
Open interest in currency futures increased by around 1.92% increasing from $2,169.83 to $2,211.5 million. Currency Futures investors were net buyers as $41.67 million dollars of futures were purchased. The Naira Settled currency futures have gained in open interest by 8173% from inception to date. The most actively traded futures have been the NGUS JUN 21 2017, NGUS DEC 21 2016, and NGUS NOV 23 2016, with over 11 days of trade each in August alone.
The Mark to Market (MTM) of open interest now stands at N169.937 trillion as at August 19, 2016 (according to analysis by Quantitative Financial Analytics).
Maturities
NGUS AUG 24 2016 is maturing in the next two days and the short position holders, possibly the CBN is expected to pay an estimated N5.26 trillion on a notional of $152.48 million.
This report is brought to you by Quantitative Financial Analytics