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ICICI Securities Limited
Currency daily
June 30, 2011
RBI reference rate (Source: Reuters) Bonds: Yields continue to rise
Close
Change • Bond yields increased on Wednesday tracking a sharp rise in US
29/06/11 28/06/11 treasury yields while an increase in crude oil price also impacted the
USD/INR 44.94 45.05 -0.24% sentiments in gilt markets
EURO/INR 64.60 64.34 +0.4% • The total trading volume on the central bank’s gilt trading platform stood
GBP/INR 71.91 71.92 -0.01% at | 5165 crore on June 29, 2011 compared to | 5815 crore on June 28,
YEN/INR 55.48 55.78 -0.54% 2011
US$/INR daily performance (Source: Reuters) • The RBI conducted the auction of T-bills for the amount of | 9 billion. The
cut off yields were placed at 8.19% for 91 days T-bills while 364 days T-
46.00
bill attracted cut-off yield of 8.29%
45.50 • The yield on the 10-year benchmark bond closed at 8.32%, up 3 bps
45.00
from its previous close. During trade, yields touched a high of 8.32% and
low of 8.31%
44.50
• The US treasury yield of the 10-year benchmark was at 3.12%. It was up
44.00 by 9 bps from its previous close
43.50 Equity: Nifty range seen at 5550-5640
12-Apr-11
26-Apr-11
•
29-Mar-11
7-Jun-11
21-Jun-11
10-May-11
24-May-11
The Nifty opened positive and remained so throughout the session. It
traded with a positive bias till the end and clocked a 55-points gain to
close at 5600. FIIs were net buyers in the cash segment and index
futures to the tune of | 669 crore and | 728 crore, respectively
Corporate Bond spread (Source: Reuters) • The Nifty is likely to open positive on the back of strong global cues. It is
likely to trade in the range of 5550-5640. The trading strategy would be
200
151 157
to create long positions if the Nifty takes support around 5564 for targets
142 of 5600 and 5625. On the other hand, one can also create short positions
150 126 131 131
if it resists around 5640 levels
100
Forex (US$/INR): INR strengthens
50 • The Indian rupee rose to a one week high on Wednesday as local shares
and the euro surged, reflecting a strong global risk appetite. The local oil
0
refiners are the biggest buyer of the US dollar in the domestic forex
1yr 5yr 10 yr
market
29-Jun-11 1-Jun-11
• The INR ended at 44.86/87 per dollar, strengthening by 0.4% over the
previous days closing of 45.03/04 per dollar
10-year spread US$/ INR (Source: Reuters)
• The dollar index against six major currencies was down by 0.8% at 74.47
6.00 Spread US 10-yr yield 4.50 at the time of the local market’s close
4.00
5.00 • FIIs have bought around US$842 million worth of Indian shares between
3.50
3.00
June 1, 2011 and June 29, 2011. On June 29, 2011, FIIs bought (net)
4.00
2.50 Indian shares worth US$225.5 million
3.00 2.00
Derivatives strategy: Sell July contract
1.50
2.00 1.00 • In the currency futures market, the most traded near-month dollar-rupee
contract on the NSE closed at 45.05. The US$/INR July open interest was
30-Jun-08
30-Oct-08
28-Feb-09
30-Jun-09
30-Oct-09
28-Feb-10
30-Jun-10
30-Oct-10
28-Feb-11
30-Jun-11
up by 24.2%
• The August contract witnessed a decrease in open interest by 58%
Currency futures data (US$/INR, NSE) (Source: Reuters) • We expect the US dollar to attract some selling on rallies against the INR.
Utilise the highs in the US$/INR July contract to sell
Chg Chg (%)
Contracts LTP OI Vol Intraday Strategy
(%) OI Vol
July 45.05 0.0 1045798 2430079 24.2 104.0 USD/ INR July futures contract (NSE) View: Bearish on USD
August 45.31 0.1 392593 150006 -58.0 -93.3 Sell USDINR below 45.12 Market Lot: USD1000
Jul-Aug 0.26 2.0 -- 137262 -- 16.9 Target: 44.95/44.89 Stop Loss: 45.21
Aug-Sep 0.24 1.0 -- 7168 -- -33.0 Support Resistance
Analyst S1/ S2: 44.95/ 44.88 R1/R2: 45.14/ 45.21
Krishna Kiran Konduri
krishna.konduri@icicisecurities.com
Dipesh Dagha
dipesh.dagha@icicisecurities.com
Pabitro Mukherjee
pabitro.mukherjee@icicisecurities.com
ICICIdirect.com | Equity Research
ICICI Securities Limited
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/ (L) Comment
USD/INR |
Daily performance tracker… 31-May-11 June Bearish Short Fut 45.30 45.12/45.07 45.39 0 Not initiated
(Returns are calculated on one lot only)
1-Jun-11 June Bullish Long Fut 45.19 45.36/45.42 45.10 -90 Stoploss triggered
2-Jun-11 June Bullish Long Fut 44.95 45.13/45.22 44.86 0 Not initiated
3-Jun-11 June Bearish Short Fut 45.10 44.92/44.85 45.19 100 Closed at 45.00
6-Jun-11 June Bearish Short Fut 45.14 44.95/44.88 45.23 0 Opened at target
7-Jun-11 June Bullish Long Fut 44.90 45.08/45.14 44.81 -50 closed at 44.85
8-Jun-11 June Bullish Long Fut 44.90 45.08/45.14 44.81 -90 Stoploss triggered
9-Jun-11 June Bullish Long Fut 44.80 44.96/45.10 44.71 90 Profit booked at 44.9
10-Jun-11 June Bullish Long Fut 44.83 44.98/45.05 44.74 20 Closed at 44.85
13-Jun-11 June Bearish Short Fut 44.93 44.75/44.67 45.02 0 Not initiated
14-Jun-11 June Bearish Short Fut 45.02 44.84/44.77 45.11 0 Not initiated
15-Jun-11 June Bearish Short Fut 44.94 44.76/44.70 45.03 0 Not initiated
16-Jun-11 June Bullish Long Fut 44.94 45.12/45.18 44.83 50 Closed at 44.99
17-Jun-11 June Bullish Long Fut 44.90 45.07/45.15 44.83 90 Profit booked at 44.99
20-Jun-11 June Bearish Short Fut 45.01 44.83/44.77 45.10 -90 Stoploss triggered
21-Jun-11 June Bullish Long Fut 44.98 45.16/45.23 44.89 -80 Closed at 44.90
22-Jun-11 June Bearish Short Fut 45.00 44.83/44.77 45.09 0 No Trade
23-Jun-11 June Bullish Long Fut 44.89 45.07/45.15 44.80 70 Closed at 44.98
24-Jun-11 June Bearish Short Fut 45.03 44.85/44.78 45.12 90 Profit booked
27-Jun-11 June Bullish Long Fut 44.96 45.14/45.20 44.87 0 Not initiated
28-Jun-11 June Bearish Short Fut 45.06 44.88/44.82 45.15 0 Not initiated
-
29-Jun-11 July Bullish Long Fut 45.19 45.36/45.42 45.10 -90 Stoploss triggered
ICICIdirect.com | Equity Research
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ICICI Securities Limited
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
ICICIdirect.com | Equity Research
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ICICI Securities Limited
Pankaj Pandey Head – Research pankaj.pandey@icicisecurities.com
ICICIdirect.com Research Desk,
ICICI Securities Limited,
7th Floor, Akruti Centre Point,
MIDC Main Road, Marol Naka
Andheri (East)
Mumbai – 400 093
research@icicidirect.com
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 of the report does not hold any investment in any of the companies mentioned in 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 independent judgment by
any recipient. The recipient should independently evaluate the investment risks. I-Sec and affiliates accept no liabilities for any 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 the information
presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located
in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which
would subject I-Sec and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be
eligible for sale in all jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform
themselves of and to observe such restriction.
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 Limited. "The author of the report
does not hold any investment/open position in any of the companies mentioned in this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an open
position in the above referred companies as on the 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 may not be taken in substitution for the exercise of independent judgement by any recipient. The recipient should independently evaluate the investment
risks. ICICI Securities Ltd and affiliates accept no liabilities for any 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. ICICI Securities Ltd may have issued other reports that are inconsistent with and reach different
conclusion from the information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or
located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject ICICI
Securities Ltd and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or
to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.
ICICIdirect.com | Equity Research
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