Currency daily
October 18, 2011
RBI reference rate (Source: Reuters) Bonds: Yields ease
Close
% Change • Bond yields eased on Monday coming off their more than 37-month high
17/10/11 14/10/11 after the German finance minister’s comments renewed concerns
USD/INR 48.89 49.07 -0.36% around Euro zone sovereign debt while local supply pressure kept the
EURO/INR 67.79 67.72 +0.09% outlook bearish
GBP/INR 77.31 77.42 -0.14% • The yield on the 10-year benchmark bond closed at 8.75%, down by 3
YEN/INR 63.39 63.78 -0.61% bps from its previous close
US$/INR daily performance (Source: Reuters) • The total traded volume on the RBI’s gilt platform stood at | 10995 crore
as on October 17, 2011 compared to | 10724 crore as on October 14
50.00 2011
48.00
• The US treasury yield of the 10-year benchmark was at 2.16%, down by
10 bps at the local market’s close
46.00
Equity: Nifty range seen at 5030-5120
44.00 • The Nifty was unable to hold on to the strong opening and Reliance and
capital goods led the decline. It finally closed at 5118 (down 14
42.00 points).FIIs resumed their buying trend in cash and accumulated | 379
11-Sep-11
25-Sep-11
14-Aug-11
28-Aug-11
9-Oct-11
17-Jul-11
31-Jul-11
crore. They also created short positions in stock futures to the tune of |
306 crore
• The Nifty is likely to open negative on the back of weak global cues. It is
likely to trade in the range of 5030-5120. The trading strategy would be
Corporate Bond spread (Source: Reuters) to create short positions if the Nifty resists around 5115 for targets of
5085 and 5060. On the other hand, one can also create long positions if
120 116
112 112 the Nifty finds support near 5040 levels
115
110 107 Forex (US$/INR): INR strengthens
103
105 • The rupee ended off its near three week high on Monday after a rally in
98
100 the euro lost steam and as dollar demand from domestic oil refiners and
95 weak equities weighed
90 • The INR ended at 48.95/96 per dollar, strengthening by 0.1% over the
85 previous day’s closing of 49.01/02 per dollar
1yr 5yr 10 yr
• The dollar index against six major currencies was up by 0.74% to 77.17
17-Oct-11 15-Sep-11 on Friday
• On October 17, 2011, FIIs sold (net) Indian shares worth US$16.98
10-year spread US$/ INR (Source: Reuters)
million. For the current month to date, FIIs sold US$169.75 million while
8.00 Spread US 10-yr yield 4.50 for the year FIIs sold US$118.50 million
7.00 4.00 Derivatives strategy: Buy October contract
6.00 3.50
3.00 • In the currency futures market, the most traded near-month dollar-rupee
5.00
2.50 contract on the NSE closed at 49.05. The US$/INR October open interest
4.00 2.00 was down by 5.8%
3.00 1.50 • The November contract witnessed an increase in open interest by 12.5%
2.00 1.00
• We expect the US dollar to attract some buying on declines against the
17-Feb-09
17-Feb-10
17-Feb-11
17-Jun-09
17-Jun-10
17-Jun-11
17-Oct-08
17-Oct-09
17-Oct-10
17-Oct-11
INR. Utilise the lows in the US$/INR October contract to buy
Intra-day strategy
Currency futures data (US$/INR, NSE) (Source: Reuters) USD/ INR Oct futures contract (NSE) View: Bullish on USD
Buy USDINR above 49.08 Market Lot: USD1000
Chg Chg (%)
Contracts LTP OI Vol Target: 49.26/49.34 Stop Loss: 48.98
(%) OI Vol
Support Resistance
October 49.05 -0.2 1018178 2006846 -5.8 38.8
S1/ S2: 48.95/ 48.78 R1/R2: 49.34/ 49.48
November 49.26 -0.1 495714 147994 12.5 7.5
Oct-Nov 0.20 -2.5 -- 110604 -- -1.2
Nov-Dec 0.21 1.2 -- 11200 -- -81.0
Analyst
Aishwariya KPL
aishwariya.kpl@icicisecurities.com
Dipesh Dagha
dipesh.dagha@icicisecurities.com
Pabitro Mukherjee
pabitro.mukherjee@icicisecurities.com
ICICI Securities Ltd. | Retail Equity Research
Exhibit 1: Contract Specification (NSE)
Underlying Rate of exchange between one USD and INR
Trading Hours (Monday to Friday) 09:00 a.m. to 05:00 p.m.
Contract Size USD 1000
NSE currency futures contract specifications… 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
Final Settlement Price
settlement date will be used for final settlement
Source: NSE, ICICIdirect.com Research
Exhibit 2: Strategy follow up
Date Contract View Strategy Rec. Target SL P/
USD/INR (L ) |
Daily performance tracker… 26-Aug-11 Sept Bullish Long Fut 46.02 46.18/46.24 45.93 40
(Returns are calculated on one lot only) 29-Aug-11 Sept Bearish Short Fut 46.37 46.19/46.12 46.46 0
30-Aug-11 Sept Bearish Short Fut 46.22 46.06/46 46.30 0
2-Sep-11 Sept Bullish Long Fut 46.09 46.26/46.34 46.00 0
5-Sep-11 Sept Bullish Long Fut 45.96 46.12/46.20 45.88 100
6-Sep-11 Sept Bullish Long Fut 45.97 46.12/46.20 45.88 0
7-Sep-11 Sept Bullish Long Fut 46.05 46.21/46.28 45.97 210
8-Sep-11 Sept Bullish Long Fut 46.14 46.30/46.37 46.06 0
12-Sep-11 Sept Bullish Long Fut 46.60 46.78/46.84 46.51 0
13-Sep-11 Sept Bullish Long Fut 47.18 47.33/47.39 47.10 -80
14-Sep-11 Sept Bullish Long Fut 47.20 47.37/47.45 47.11 0
15-Sep-11 Sept Bearish Short Fut 47.92 47.74/47.66 48.01 260
16-Sep-11 Sept Bearish Short Fut 47.83 47.64/47.55 47.92 0
19-Sep-11 Sept Bullish Long Fut 47.37 47.55/47.63 47.28 0
20-Sep-11 Sept Bullish Long Fut 47.72 47.89/47.96 47.63 0
21-Sep-11 Sept Bearish Short Fut 48.35 48.15/48.05 48.44 -40
22-Sep-11 Sept Bullish Long Fut 48.36 48.54/48.60 48.27 0
23-Sep-11 Sept Bullish Long Fut 49.65 49.83/49.90 49.56 210
26-Sep-11 Sept Bullish Long Fut 49.40 49.58/49.65 49.31 250
27-Sep-11 Sept Bearish Short Fut 49.46 49.28/49.20 49.55 0
28-Sep-11 Oct Bullish Long Fut 49.14 49.32/49.39 49.04 -100
29-Sep-11 Oct Bullish Long Fut 48.80 48.98/49.07 48.71 0
3-Oct-11 Oct Bullish Long Fut 49.25 49.42/49.50 49.16 0
4-Oct-11 Oct Bearish Short Fut 49.56 49.38/49.27 49.65 90
5-Oct-11 Oct Bearish Short Fut 49.63 49.42/49.37 49.72 190
7-Oct-11 Oct Bearish Short Fut 49.45 49.25/49.18 49.55 0
10-Oct-11 Oct Bullish Long Fut 49.02 49.20/49.28 48.93 100
11-Oct-11 Oct Bullish Long Fut 48.95 49.12/49.20 48.86 220
12-Oct-11 Oct Bullish Long Fut 49.23 49.42/49.49 49.14 -90
13-Oct-11 Oct Bearish Short Fut 49.47 49.29/49.20 49.56 0
14-Oct-11 Oct Bullish Long Fut 49.04 49.22/49.30 48.95 0
17-Oct-11 Oct Bearish Short Fut 49.25 48.90/48.82 49.35 0
ICICI Securities Ltd. | Retail Equity Research Page 2
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
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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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
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ICICI Securities Ltd. | Retail Equity Research Page 3