Currency Futures at NSE

19th April 2010

VOLUMES
There has been a consistent month on month increase in the number of contracts traded in Currency Futures
segment at NSE. The number of contracts traded in current week is as follows:

Trade Volume Volume Volume Volume Total Total Value Total Open
Date USDINR EURINR JPYINR GBPINR Volume (Rs. Cr) Interest

16-Apr-10 4529573 37494 396 1389 4568852 20388.44 693428

15-Apr-10 3795956 90963 151 1931 3889001 17426.25 687578

13-Apr-10 4026998 69434 633 1271 4098336 18402.37 682381

12-Apr-10 3528383 94270 25 2236 3624914 16268.74 737888

9-Apr-10 3253190 80470 634 1698 3335992 14937.75 669377

Price Watch As On 16-04-2010 @ 5:00 Pm

Value No. of
Contract Best Bid Best Ask Spread LTP Volume OI
(crores) Trades

USDINR 280410 200 44.375 44.378 61 0.0025 44.378 4422588 19673.99 462384 52183

USDINR 270510 255 44.488 44.495 50 0.0075 44.495 91105 406.22 100132 1077

USDINR 280610 486 44.628 44.64 20 0.0125 44.64 14994 67 76971 225

EURINR 280410 5 60.05 60.06 43 0.01 60.06 35811 215.65 18422 2086

EURINR 270510 1 60.2 60.285 20 0.085 60.243 1663 10.05 2490 76

EURINR 280610 - - 60.5 50 - 60.38 20 0.12 496 2

GBPINR 280410 19 68.693 68.74 1 0.0475 68.693 1341 9.21 5786 158

GBPINR 270510 10 68.783 68.94 1 0.1575 68.79 47 0.32 721 25

GBPINR 280610 1 68.91 69.588 20 0.6775 69.63 1 0.01 6 1

JPYINR 280410 5 47.818 48 1 0.1825 47.775 395 1.9 644 37

JPYINR 270510 1 47.86 48.08 1 0.22 48 1 0 26 1

JPYINR 280610 - - 49.498 20 - - - - - -

1
RBI Refrence Rate:

RBI Reference Rate

Underlying 1 USD 1 EUR 100 YEN 1 GBP
16-Apr-10 44.49 60.16 48.03 68.55
15-Apr-10 44.38 60.53 47.57 68.82
13-Apr-10 44.62 60.63 48.07 68.61
12-Apr-10 44.35 60.50 47.57 67.50
9-Apr-10 44.35 59.30 47.35 67.84

CLIENT/ MEMBER LEVEL POSITION LIMITS

As per the RBI – SEBI Standing Technical Committee guidelines the Client / Member position limit has been
defined as (Ref. No. NSE/CD/2009/12170 & Circular No. 444 Ref. No. NSE/INVG/2010/14014).

Currency Pairs USDINR ($-Rs.) EURINR (€-Rs.) JPYINR (¥-Rs.) GBPINR (£-Rs.)
Position limit Client Member Bank Client Member Bank Client Member Bank Client Member Bank
% Open
Whichever 6 15 15 6 15 15 6 15 15 6 15 15
Interest
is Higher
Millions 10 50 100 5 25 50 200 1000 2000 5 25 50

USDINR (Millions) EURINR (Millions) JPYINR (Millions) GBPINR (Millions)

Trade Date
Client Member Bank Client Member Bank Client Member Bank Client Member Bank

19-Apr-10 39.88 99.69 100.00 5 25 50 200 1000 2000 5 25 50

16-Apr-10 39.48 98.71 100.00 5 25 50 200 1000 2000 5 25 50
15-Apr-10 39.31 98.28 100.00 5 25 50 200 1000 2000 5 25 50
13-Apr-10 42.83 107.07 107.07 5 25 50 200 1000 2000 5 25 50
12-Apr-10 38.72 96.81 100.00 5 25 50 200 1000 2000 5 25 50

2
The snapshot of S&P NIFTY along with Currency Futures is given below:

USDINR as on 16-04-2010 GBPINR as on 16-04-2010

3
 EURINR as on 16-04-2010 JPYINR as on 16-04-2010

Daily volatility of underlying with annualized future volatility is given below:

ANNUALISED
UNDERLYING ANNUALISED VOLATILITY FUTURE ANNUALISED VOLATILITY
Date VOLATILITY
USDINR EURINR GBPINR JPYINR USDINR EURINR GBPINR JPYINR NIFTY
16-Apr-10 7.31 12.16 12.49 17.38 6.91 12.34 12.48 16.81 15.70

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