Thursday, September 11, 2008

Serious quantities on the near month currency futures

At closing time today, here's what the order book for the September INR/USD futures looked like:

The contract size is $1000 so a quantity of 500 corresponds to $0.5 million. Compare and contrast against where we started on 29th morning. At that time, the spread was Rs.0.0025, i.e. 1 tick, but the quantities were tiny. Now, we're seeing substantial quantities - in the top five prices there was a total mass of $28.1 million, summing across buy and sell. The total quantity in the book (going beyond five prices) was $50.6 million.

2 comments:

  1. Hi,

    Thanks for the details.

    NSE Future trading details are @ http://www.nseindia.com/marketinfo/fxTracker/fxTracker.jsp#

    Can you pls write an article in explaining the details of various columns in the above Page ?

    Also Pls let us know how much rupee will depreciate further ?

    Thanks

    ReplyDelete
  2. why is dollar getting so strong? why are so many people long on dollar?is there no Rbi intervention to defend the rupee?

    ReplyDelete

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