Currency Futures at NSE

February 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

17-Feb-10 2445491 109780 5212 6076 2566559 12,029.28 649736

16-Feb-10 2246117 108777 3676 253 2358823 11,087.38 628719

15-Feb-10 1703279 107444 466 355 1811544 8,582.27 646615

11-Feb-10 1688340 121934 2839 4998 1818111 8,676.56 724198

10-Feb-10 2358360 171031 1115 1895 2532401 12,103.19 734894

Price Watch As On 17-02-2010 @ 5:00 Pm

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

USDINR 240210 532 46.123 46.128 756 0.005 46.123 2341198 10781.45 318167 38195

USDINR 290310 14 46.2 46.213 556 0.0125 46.205 79777 367.98 163847 1532

USDINR 280410 200 46.278 46.35 28 0.0725 46.348 21469 99.34 123634 251

EURINR 240210 50 63.28 63.34 1 0.06 63.338 109530 694.05 18202 4757

EURINR 290310 5 63.4 63.543 5 0.1425 63.448 250 1.59 1223 32

EURINR 280410 1 63.53 63.7 10 0.17 - - - 22 -

GBPINR 240210 2 72.6 72.68 2 0.08 72.65 5771 41.91 3326 79

GBPINR 290310 5 72.533 73.248 5 0.715 73.5 5 0.04 97 1

GBPINR 280410 5 72.5 74.25 10 1.75 - - - 5 -

JPYINR 240210 200 50.865 50.97 3 0.105 50.903 3692 18.82 2550 65

JPYINR 290310 10 50.95 51.34 5 0.39 51 1520 7.8 354 3

JPYINR 280410 1 50.37 - - - - - - - -

1
RBI Refrence Rate:

RBI Reference Rate

Underlying 1 USD 1 EURO 100 YEN 1 GBP
17-Feb-10 46.02 63.36 50.94 72.60
16-Feb-10 46.18 62.98 51.41 72.48
15-Feb-10 46.38 63.00 51.46 72.57
11-Feb-10 46.46 64.02 51.66 72.65
10-Feb-10 46.56 64.07 51.94 72.99

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

18-Feb-10 37.42 93.55 100.00 5 25 50 200 1000 2000 5 25 50

17-Feb-10 36.08 90.21 100.00 5 25 50 200 1000 2000 5 25 50
16-Feb-10 37.37 93.41 100.00 5 25 50 200 1000 2000 5 25 50
15-Feb-10 42.01 105.24 105.24 5 25 50 200 1000 2000 5 25 50
11-Feb-10 43.01 107.52 107.52 5 25 50 200 1000 2000 5 25 50

2
The snapshot of volumes along with open interest since inception is given below:

3
The snapshot of S&P NIFTY along with Currency Futures is given below:

S&P CNX
NIFTY
as on
17-02-2010

USDINR as on 17-02-2010 EURINR as on 17-02-2010

GBPINR as on 17-02-2010 JPYINR as on 17-02-2010

4
Daily volatility of underlying with annualized future volatility is given below:

ANNUALISED
UNDERLYING ANNUALISED VOLATILITY FUTURE ANNUALISED VOLATILITY
VOLATILITY
Date USDIN
EURINR GBPINR JPYINR USDINR EURINR GBPINR JPYINR NIFTY
R
17-Feb-10 8.04 11.82 13.61 21.13 7.94 12.39 13.43 20.72 24.62

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-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, losses or expenses.

********