Currency Daily
May 16, 2016
Debt market
74
Treasury yields
Closing Yield (%) Previous Yield (%)
India 10 year
7.45
7.42
US 10 Year
1.70
1.75
EUR 10 Year
0.13
0.16
UK 10 Year
1.38
1.41
Japan 10 Year
-0.11
-0.11
RBI reference rate
% Change
13/05/16
12/05/16
USD/INR
66.76
66.60
+0.25%
EURO/INR
75.72
76.06
-0.45%
GBP/INR
96.16
96.15
+0%
YEN/INR
61.47
61.16
+0.51%
Spot
Close
Prev.close
% Chg
Rupee (|)
66.765
66.620
-0.22
Dollar Index
94.576
94.167
0.43
Euro
1.131
1.138
-0.62
British Pound
1.436
1.445
-0.58
Japanese Yen
108.600
109.010
-0.38
Australian ($)
0.726
0.733
-0.85
Swiss Franc
0.975
0.970
0.52
Currency futures (US$/|, NSE)
s
Chg (%)
Government bond (10-year G-sec) prices fell, with the benchmark paper
ending at the lowest level since April 26, after retail inflation accelerated
at a faster-than-expected pace in April, dampening hopes of an
immediate rate cut by the central bank. Benchmark 7.59% bond
maturing in 2026 ended flat at | 100.95 vs. previous close of | 101.13
•
The benchmark 7.59% 2026 bond yield ended at 7.45%, up 3 bps from
the previous close of 7.42%
•
Close
Spot
•
OI
Vol
Chg (%)
Contracts
LTP
May
66.93
0.21
1304389
1021853
-2.65
33.0
Jun
67.28
0.21
394646
110999
8.71
73.7
OI
Vol
May-Jun
-0.35
--
--
910854
--
89.1
Jun-Jul
-0.36
--
--
104967
--
94.6
Global Indices
Indices
Close
Dow Jones
17535.32
Nasdaq
4717.68
FTSE
6138.50
DAX
9952.90
Hang Seng
19758.32
Nikkei
16588.81
SGX Nifty
7800.00
* Asian Market as at 7:30am,
Change
-185.18
-19.66
34.31
90.78
33.66
181.04
-29.50
Change%
-1.05
-0.41
0.56
0.92
0.17
1.10
-0.38
Cement above
Commodities
The US treasury yield of the 10-year benchmark settled at 1.70%, down 5
bps from the previous close of 1.75%
Forex (US$/INR)
•
The rupee weakened to a near two-month low against the dollar, as
Federal Reserve officials’ comments renewed bets that the US central
bank may raise interest rates this year, which helped dollar to gain
strength during the day
•
The Indian currency ended the day at 66.77, down 0.22% from the
previous close of 66.62
•
The dollar index against six major currencies ended at 94.58, up 0.43%
from the previous close of 94.17
Equity
• Benchmark indices ended deep in the red after a spurt in consumer
inflation toned down expectations of a further rate cut by the RBI. The
Sensex lost 300 points or 1.17% to settle at 25490 while the Nifty was
down 85 points or 1% 7814. Broader markets outperformed indices as
the BSE mid cap and small cap indices corrected only 0.5% and 0.25%,
respectively. The market breadth was in favour of declines
Commodities Market
•
Crude oil prices fell close to 2% on Friday on a stronger dollar and as
investors cashed in on a three-day rally. However, prices still ended the
week higher after production in Nigeria fell to its lowest in two decades
and wildfires slashed output from Canada's oil sands
•
Gold prices jumped nearly a percent on Friday, buoyed by weak US
equity markets and technical strength, as it shrugged off a higher dollar
and strong US economic data suggesting a brightening outlook for the
economy
US$/INR derivatives strategy: Buy May Contract
•
In the currency futures market, the most traded dollar-rupee May
contract on the NSE ended at 66.93. The May contract open interest was
down 2.65% from the previous day
•
•
June contract open interest was up 8.71% from the previous day
We expect the US dollar to garner buying support on declines against
the rupee. Utilise declines in the US$/INR May contract to buy
Close
Prev. Close
%Chg
1273.20
1263.11
0.80
Copper
2.075
2.073
0.10
US$INR May futures contract (NSE)
View: Bullish on US$INR
Brent Crude
47.26
48.08
-1.71
Buy US$INR in the range of 66.77-66.87
Market Lot: US$1000
Gold
Intra-day strategy
Source: Reuters for above all exhibits
Target: 67.03-67.18
Stop Loss: 66.67
Research Analyst
Support
Resistance
S1/ S2: 66.80/66.60
R1/R2:67.05/67.25
Amit Gupta
amit.gup@icicisecurities.com
Rohit Gokhale
rohit.gokhale@icicisecurities.com
ICICI Securities Ltd. | Retail Equity Research
Source: Company, ICICIdirect.com Research
*Call initiation and update messages will be broadcast on iclick-2-gain”
Exhibit 1: US$ INR Currency Future (NSE)
FII Activity (May 12, 2016)
Segment
Gross Purchase
Gross Sale
Net (| crore)
Equity
3481.67
3430.42
51.25
Debt
501.68
703.10
-201.42
Source: SEBI, CDSL
Source: Reuters, ICICIdirect.com Research
Exhibit 2: Pivot Levels (NSE)
Futures
US$-INR (May)
Pivot
S1
S2
R1
R2
66.931
66.867
66.798
66.999
67.063
US$-INR (Jun)
67.286
67.222
67.156
67.352
67.416
EUR-INR (May)
76.028
75.863
75.720
76.170
76.335
EUR-INR (Jun)
76.472
76.326
76.194
76.603
76.749
GBP-INR (May)
96.497
96.328
96.142
96.683
96.852
GBP-INR (Jun)
96.985
96.830
96.638
97.178
97.333
JPY-INR (May)
61.527
61.383
61.297
61.613
61.757
JPY-INR (Jun)
61.833
61.675
61.543
61.965
62.123
Source: NSE, ICICIdirect.com Research
Exhibit 3: Strategy follow up
Date
ICICI Securities Ltd. | Retail Equity Research
Contract
USD/INR
View
Strategy
Rec.
Target
13-May-16
May
Buy
Long Fut
(*Returns are calculated on one lot only)
66.67
66.90-67.05
SL
66.52
(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
pankaj.pandey@icicisecurities.com
ICICIdirect.com Research Desk,
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC
Andheri (East)
Mumbai – 400 093
research@icicidirect.com
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securities discussed and opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based
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ICICI Securities Ltd. | Retail Equity Research
Page 4