Currency Futures at NSE

29th October 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
mber of contracts traded in current week iis as follows:

Volume Volume Volume Volume Total Total Value Total Open

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

28-Oct-10 1655752 16882 10065 4608 1687307 7624.75 969965

27-Oct-10 3477863 54615 9465 18111 3560054 16086.17 1556101
26-Oct-10 2550113 39704 17509 9512 2616838 11771.96 1546185
25-Oct-10 2376142 28115 4630 8707 2417594 10814.29 1608324
22-Oct-10 3123797 28687 2397 9045 3163926 14178.78 1652055

Price Watch As On 28-10-2010 @ 5.00 PM

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

USDINR 261110 100 44.8375 44.845 1 0.0075 44.835 1624269 7281.37 718262 29339

USDINR 291210 40 45.08 45.0925 1 0.0125 45.09 27388 123.43 128502 619

USDINR 270111 206 45.28 45.325 175 0.045 45.3075 3056 13.84 35726 73

EURINR 261110 9 62.02 62.08 7 0.06 62.07 16526 102.4 23842 1916

EURINR 291210 5 62.26 62.4 10 0.14 62.35 349 2.17 1082 47

EURINR 270111 8 62.4 62.8 10 0.4 62.4 7 0.04 47 3

GBPINR 261110 19 71.15 71.17 25 0.02 71.15 9984 70.81 4612 1830

GBPINR 291210 1 71.4 71.55 1 0.15 71.5 81 0.58 260 31

GBPINR 270111 1 71 - - - - - - - -

JPYINR 261110 45 55.1 55.1475 5 0.0475 55.1025 4603 25.33 21372 671

JPYINR 291210 11 55.26 55.375 2 0.115 55.3 5 0.03 1220 5

JPYINR 270111 - - 57 1 - - - - - -

1
RBI Refrence Rate:

RBI Reference Rate

Underlying 1 USD 1 EUR 1 GBP 100 YEN
28-Oct-10 44.49 61.56 70.40 54.60
27-Oct-10 44.52 61.47 70.47 54.50
26-Oct-10 44.43 62.07 70.10 55.03
25-Oct-10 44.36 62.33 69.92 54.94
22-Oct-10 44.46 62.07 69.98 54.84

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.)

Rs.) EURINR (€-Rs.) GBPINR (¥-Rs.) JPYINR (£-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 5 25 50 200 1000 2000

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

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

29-Oct-10 55.05 137.62 137.62 5 25 50 5 25 50 200 1000 2000

28-Oct-10 54.80 137.00 137.00 5 25 50 5 25 50 200 1000 2000

27-Oct-10 88.56 221.41 221.41 5 25 50 5 25 50 200 1000 2000

26-Oct-10 92.25 230.62 230.62 5 25 50 5 25 50 200 1000 2000
25-Oct-10 95.02 237.56 237.56 5 25 50 5 25 50 200 1000 2000

2
The snapshot of S&P NIFTY on 28-10-2010 along with Currency Futures is given below:

USDINR as on 28-10-2010
2010 GBPINR as on 28-10-2010
2

3
 EURINR as on 28-10-2010
2010 JPYINR as on 28-10-2010

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

ANNUALISED
UNDERLYING ANNUALISED VOLATILITY FUTURE ANNUALISED VOLATILITY
Date VOLATILITY
USDINR EURINR GBPINR
INR JPYINR USDINR EURINR GBPINR JPYINR NIFTY
28-Oct-10 8.12 10.89 9.12 10.16 8.84 10.94 10.04 11.14 20.80

For more information please log on to:

http://www.nseindia.com/marketinfo/fxTracker/fxTracker.jsp#
Disclaimer : The information contained in this brochure including text, graphics or other items are provided on an 'as is',
'as available' basis. NSEIL does not warrant the accuracy, adequacy or completeness of this information and material and
expressly disclaims liability for errors or omissions in this information and material. No warranty of any kind, implied, express
or statutory, including but not limited to the warranties of non
non-infringement
infringement of third party rights, title, merchantability and fitness
for a particular purpose is given in conjunction with the information and materials. In no event will NSEIL be liable for any
damages, including without limitation direct or indirect, special, incidental, or consequential damages, losses or expenses arising
in connection with this brochure or use thereof or inability to use by any party, or in connection with any failure of performance,
error, omission, interruption, defect, even if NSEIL or representatives thereof, are advised of the possibility of such damages,
da
losses or expenses.

********