Currency Daily •

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Currency Daily
May 17, 2016
Debt market
74
Treasury yields
Closing Yield (%) Previous Yield (%)
India 10 year
7.45
7.45
US 10 Year
1.76
1.70
EUR 10 Year
0.14
0.13
UK 10 Year
1.39
1.38
Japan 10 Year
-0.11
-0.11
RBI reference rate
Close
% Change
16/05/16
13/05/16
USD/INR
66.82
66.76
+0.09%
EURO/INR
75.60
75.72
-0.16%
GBP/INR
95.96
96.16
-0.2%
YEN/INR
61.45
61.47
-0.03%
Prev.close
% Chg
Spot
Spot
Close
Rupee (|)
66.800
66.765
-0.05
Dollar Index
94.561
94.576
-0.02
Euro
1.132
1.131
0.10
British Pound
1.440
1.436
0.24
Japanese Yen
109.010
108.600
0.38
Australian ($)
0.729
0.726
0.33
Swiss Franc
0.977
0.975
0.23
Currency futures (US$/|, NSE)
s
Contracts
LTP
Chg (%)
OI
Vol
Chg (%)
OI
Vol
May
66.96
0.04
1275303
860575
-2.23
-15.8
Jun
67.31
0.04
405313
71073
2.70
-36.0
May-Jun
-0.35
--
--
789502
--
91.7
Jun-Jul
-0.35
--
--
68041
--
95.7
Global Indices
Indices
Close
Dow Jones
17710.71
Nasdaq
4775.46
FTSE
6151.40
DAX
9952.90
Hang Seng
19907.15
Nikkei
16617.68
SGX Nifty
7907.00
* Asian Market as at 7:30am,
Change
175.39
57.78
12.90
90.78
24.90
138.47
27.00
Change%
1.00
1.22
0.21
0.92
0.13
0.84
0.34
•
Government bond (10-year G-sec) prices fell for a second straight
session, as inflation accelerated faster-than-expected and a forecast of a
delayed monsoon hurt demand for sovereign papers. Benchmark 7.59%
bond maturing in 2026 ended flat at | 100.92 vs. previous close of
| 100.95
•
•
The benchmark 7.59% 2026 bond yield ended flat at 7.45%
The US treasury yield of the 10-year benchmark settled at 1.76%, up 6
bps from the previous close of 1.70%
Forex (US$/INR)
•
The rupee settled marginally weak against the US dollar, as greenback
sales by exporters and banks helped erase early losses triggered by a
string of weak Chinese economic data
•
The Indian currency ended the day at 66.80, down 0.05% from the
previous close of 66.77
•
The dollar index against six major currencies ended at 94.56, down
0.02% from the previous close of 94.58
Equity
• Benchmark indices recovered from early losses and ended on a positive
note on Monday helped by buying efforts in key heavyweights from the
FMCG and IT space. The Sensex gained 143 points or 0.56% to settle at
25653 while the Nifty was up 46 points or 0.6% to end at 7860. Broader
markets relatively underperformed the benchmarks as the BSE midcap
index gained 0.2% while the BSE small cap index closed unchanged. As
a result, the overall market breadth was flattish
Commodities Market
•
Crude oil prices hit six-month highs on Monday on worries about global
supply outages and as long-time bear Goldman Sachs sounded more
positive on the market although a stockpile build at the US storage hub
for crude futures limited gains
•
Gold prices turned slightly negative on Monday, reversing gains of 1%
on pressure from strong crude futures and US equity markets
US$/INR derivatives strategy: Buy May Contract
•
In the currency futures market, the most traded dollar-rupee May
contract on the NSE ended at 66.97. The May contract open interest was
down 2.23% from the previous day
•
•
June contract open interest was up 2.70% from the previous day
We expect the US dollar to garner buying support on declines against
the rupee. Utilise declines in the US$/INR May contract to buy
Intra-day strategy
Cement above
Commodities
Gold
Close
Prev. Close
%Chg
US$INR May futures contract (NSE)
View: Bullish on US$INR
Buy US$INR in the range of 66.65-66.75
Market Lot: US$1000
1273.46
1273.20
0.02
Target: 66.92-67.10
Stop Loss: 66.55
Copper
2.091
2.075
0.77
Brent Crude
48.97
47.26
3.62
Support
Resistance
S1/ S2: 66.80/66.60
R1/R2:67.05/67.25
Source: Reuters for above all exhibits
Research Analyst
Amit Gupta
[email protected]
Rohit Gokhale
[email protected]
ICICI Securities Ltd. | Retail Equity Research
Source: Company, ICICIdirect.com Research
*Call initiation and update messages will be broadcast on iclick-2-gain”
Exhibit 1: US$ INR Currency Future (NSE)
FII Activity (May 13, 2016)
Segment
Gross Purchase
Gross Sale
Net (| crore)
Equity
5595.93
3994.42
1601.51
Debt
712.70
557.33
155.37
Source: SEBI, CDSL
Source: Reuters, ICICIdirect.com Research
Exhibit 2: Pivot Levels (NSE)
Futures
US$-INR (May)
Pivot
S1
S2
R1
R2
66.969
66.861
66.754
67.076
67.184
US$-INR (Jun)
67.322
67.221
67.119
67.423
67.524
EUR-INR (May)
75.837
75.703
75.567
75.973
76.107
EUR-INR (Jun)
76.261
76.182
76.083
76.359
76.438
GBP-INR (May)
96.200
95.960
95.710
96.450
96.690
GBP-INR (Jun)
96.660
96.493
96.283
96.870
97.038
JPY-INR (May)
61.536
61.394
61.276
61.654
61.796
JPY-INR (Jun)
61.860
61.720
61.608
61.973
62.113
Source: NSE, ICICIdirect.com Research
Exhibit 3: Strategy follow up
Date
ICICI Securities Ltd. | Retail Equity Research
Contract
USD/INR
View
Strategy
Rec.
Target
16-May-16
May
Buy
Long Fut
(*Returns are calculated on one lot only)
66.82
67.03-67.18
SL
66.67
(P /L )*
Comment
0
Not Initiated
Page 2
Exhibit 4: Contract Specification (NSE)
Rate of exchange between one USD and INR
Underlying
Trading Hours (Monday to Friday)
09:00 a.m. to 05:00 p.m.
Contract Size
USD 1000
Tick Size
0.25 paise or INR 0.0025
Trading Period
Maximum expiration period of 12 months
Contract Months
12 near calendar months
Final Settlement date/ Value date
Last working day of the month (subject to holiday calendars)
Last Trading Day
Two working days prior to Final Settlement Date
Settlement
Cash settled
The reference rate fixed by RBI two days prior to the final
settlement date will be used for final settlement
Final Settlement Price
Source: NSE, ICICIdirect.com Research
NOTES:
•
•
•
•
•
•
•
•
•
•
The Sell below / above price is a key technical level, which decides the
trend for the day
Initiate the trade within +/— 0.03—0.04 margin from the recommended
level
A return opportunity of about 0.09 paisa is considered for partial profit
booking post initiation of the trade
Once the Call is initiated, an appropriate Stop Loss trigger should be put
for the trade
Once into position, put trailing stops to preserve your profits
Be careful if the counter achieves the target immediately after opening
The strategies are valid only for the date mentioned at the top
Positions should be squared off by the end of the day
The strategies are based on intra-day volatility, suggesting a two-way
approach intra-day
Medium to long-term prospects do not have any bearing on the daily
view
MOST IMP: The follow-up and performance review table of the strategies indicates
the profit opportunity that was available in the strategies. Individual profits may vary,
depending upon the entry and exit price and stop losses
ICICI Securities Ltd. | Retail Equity Research
Page 3
Pankaj Pandey
Head – Research
[email protected]
ICICIdirect.com Research Desk,
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC
Andheri (East)
Mumbai – 400 093
[email protected]
Disclaimer
The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way,
transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of
ICICI Securities Ltd (I-Sec). The author may be holding a small number of shares/position in the above-referred companies as on date of release of this
report. I-Sec may be holding a small number of shares/position in the above-referred companies as on date of release of this report. This report is based
on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its accuracy or
completeness guaranteed. This report and information herein is solely for informational purpose and may not be used or considered as an offer
document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes investment,
legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The
securities discussed and opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based
on their own investment objectives, financial positions and needs of specific recipient. This report may not be taken in substitution for the exercise of
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loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future performance. Actual results may
differ materially from those set forth in projections. I-Sec may have issued other reports that are inconsistent with and reach different conclusion from
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ICICI Securities Ltd. | Retail Equity Research
Page 4
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