FX Monitor
Daily Report,
OPENING SIGNALS
Markets
Last
FX NEWS AT A GLANCE
% Chg
SGX NIFTY
7979.5
0.39
DOW JONES
18041.6
1.00
SHANGHAI
2947.1
-0.17
47.1
0.49
BRENT CRUDEOIL
GOLD
US DOLLAR INDEX
NDF Outright
1246.2
0.25
94.2
-0.05
Last
Fwd-Fut
1 Week
66.5
-0.34
1 Month
66.73
-0.11
3 Month
67.36
0.52
6 Month
68.38
1.54
12 Month
70.34
3.50
2 Year
74.13
7.29
3 Year
78.4
11.56
4 Year
-
-
5 Year
86.03
19.19
RBI Reference Rate
Last
Rupee pares loss against the dollar yesterday after dropping to a seven-week low.
Yield on 7.59% bond due Jan. 2026 up 1 bp to 7.45%
Wholesale prices advance 0.34% y/y in April, the first gain in 18 months, reflecting
higher food and global commodity prices.
RBI seeks comments by May 25 on allowing FPIs in unlisted debt.
Global funds -798.4m rupees of local stocks; domestic funds -1.28b rupees
yesterday: Provisional data
NSE to auction 33.4b rupees of govt. debt quotas for foreigners today.
Monsoon onset over Nicobar Islands seen on Tuesday, according to India
Meteorological Dept.;
USD began the week on a mildly defensive footing, losing ground vs. a majority of
its G-10 peers.
Markets awaits slew of U.S. data and central bank meeting minutes this week; RBA
minutes tonight, FOMC minutes Wednesday, ECB minutes on Thursday.
Onshore and offshore Yuan both advance after PBOC said over weekend monetary
policy will continue to support the economy and that the recent lending slump was
temporary.
China banks sold net 153.4b Yuan FX in April, lowest in 10 months, according to
SAFE, indicates slowing in capital outflow.
Yen is little changed following 0.4% decline overnight ahead of GDP data.
Japanese data due today include final reading of March industrial production.
Japan’s Yield on 10-year govt. bonds rose 0.5 bp to -0.110% on May 16
% Chg
USD
66.546
-0.28
EUR
75.177
-0.01
GBP
96.9242
0.16
JPY
59.85
-0.61
News Source : Bloomberg, Geojit BNP Paribas
MACRO MONITOR
Indicator
GDP
Money Market
Last
Chg (%)
31-May
13-Jun
16-May
14-Jun
12-May
10-Jun
IIP (YoY)
FII Investment (YoY/$mln)
6.78
-1.02
-0.15
8-Feb
12-May
0.00
199.02
7.4
4.83
2.48
6.72
7.3
-2.33
6.2
-33.7
Next Release
5.39
7.475
RBI Liquidity Adjustment
Last Release
0.34
10 Yr G-SEC
INR Swap 5 Yr
Prior
CPI (YoY)
6.854
MIBOR
0.00
Current
WPI (YoY)
91-Day T-Bills
Call money rate (RBI)
17-May-16
0.1
2
215.26
-24.63
Trade balance ($ mln)
-4844.87
-5070.87
18-Apr
10-May
Fiscal Deficit (INR bln)
40591
44096
31-Mar
30-Apr
6.5
6.75
05-Apr
7-Jun
27-Apr
15-Jun
RBI Repo rate (%)
FOMC meeting
NDF = Non Deliverable Forwards (Not traded in exchange)
1
FUTURES MONITOR (NSE - Near Month)
USDINR
66.84
1d % Chg
5d % Chg
1m % Chg
1Yr % Chg
-0.1
-0.07
0.18
5.5
70
PIVOTS
65
60
17-Feb
17-Mar
17-Apr
EURINR
S3
S2
S1
PV
R1
R2
R3
66.50
66.69
66.76
66.87
66.94
67.05
67.23
RSI 55
Neutral
17-May
75.6
1d % Chg
5d % Chg
1m % Chg
1Yr % Chg
0.1
-0.6
-0.3
-2.7
PIVOTS
80
75
70
17-Feb
17-Mar
17-Apr
GBPINR
S3
S2
S1
PV
R1
R2
R3
75.12
75.37
75.49
75.63
75.74
75.88
76.13
RSI 48
Neutral
17-May
97.5475
1d % Chg
5d % Chg
1m % Chg
1Yr % Chg
0.2
1.1
2.9
-1.4
PIVOTS
100
95
S3
S2
S1
PV
R1
R2
R3
96.42
96.95
97.25
97.48
97.78
98.01
98.55
RSI 48
Neutral
90
17-Feb
17-Mar
17-Apr
JPYINR
17-May
60.015
1d % Chg
5d % Chg
1m % Chg
1Yr % Chg
-0.4
-2.1
-0.7
13.5
70
PIVOTS
60
50
17-Feb
17-Mar
17-Apr
S3
S2
S1
PV
R1
R2
R3
59.43
59.76
59.89
60.09
60.22
60.42
60.75
RSI 51
Neutral
17-May
RSI < 30 = oversold and RSI > 70 = overbought
2
OPTIONS MONITOR - USDINR
MOST ACTIVE CALL OPTIONS
Strike
Expiry
Last
% Chg
Vol
OI
IV
Moneyness
Time Value
69
MAY 16
0.0375
-6.25
39988
73434
8.33
Out-of-the-money
0.0375
66.5
MAY 16
0.59
-6.72
29717
34558
4.39
In-the-money
0.1225
66
MAY 16
0.93
-7.23
29302
46198
5.25
In-the-money
0.0375
66.75
MAY 16
0.455
-7.14
14293
8223
4.62
In-the-money
0.2375
68
JUN 16
0.3575
5.15
11244
9701
6.02
Out-of-the-money
0.3575
67.75
MAY 16
0.1375
-5.17
7665
10341
6.19
Out-of-the-money
0.1375
67.25
MAY 16
0.2575
-6.36
5974
5211
5.23
Out-of-the-money
0.2575
68.25
MAY 16
0.075
3.45
5823
23410
7.14
Out-of-the-money
0.075
65.5
MAY 16
1.3925
-4.13
2001
2993
5.37
In-the-money
0.075
67.5
JUN 16
0.5
-12.28
1507
1501
5.76
Out-of-the-money
0.5
65
MAY 16
1.84
-4.17
350
904
7.38
In-the-money
0.1275
Strike
Expiry
Last
% Chg
Vol
OI
IV
Moneyness
Time Value
66.25
MAY 16
0.1675
34.00
11112
10368
4.91
Out-of-the-money
0.1675
MOST ACTIVE PUT OPTIONS
66.75
MAY 16
0.37
19.35
10960
8915
4.76
Out-of-the-money
0.37
65.5
MAY 16
0.0375
36.36
8832
23334
6.01
Out-of-the-money
0.0375
65.75
MAY 16
0.0575
43.75
4426
21348
5.71
Out-of-the-money
0.0575
68
MAY 16
1.2675
6.74
3362
42386
6.54
In-the-money
0.235
65
MAY 16
0.0125
0.00
1352
3203
7.37
Out-of-the-money
0.0125
67.25
MAY 16
0.6825
13.75
548
1298
5.93
In-the-money
0.4
70.25
MAY 16
3.385
4.96
200
791
13.08
In-the-money
0.1025
69
MAY 16
2.1725
0.00
151
1872
8.99
In-the-money
0.14
68.5
MAY 16
1.6
0.00
115
921
7.81
In-the-money
0.0675
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personal views about any or all of the subject issuer or securities. This report has been prepared by the Research Team of Geojit BNP Paribas Financial
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