Rupee 270511

Rupee extends gains…

The rupee ended at 45.16 against the dollar as against 45.30. The contract extended
Thursday’s mild gains assisted by improved risk-appetite of investors and weak US Q1
GDP data. USD had drifted lower against majors and Asian peers on Friday. Despite such
positive leads, gains for rupee were limited and the unit stuck to a narrow range. Traders
cited month end demand from importer. Forward premia edged up aided by higher OIS
rates and lower USDINR quotes.

Rate segment was barren. OIS rates ended higher as high oil prices and inflationary
concerns prompted paying interest.

Futures

June USDINR contract slipped 0.26% to 45.4075 from 45.5250. The contract was ranged
holding 45.3775-45.4875 through the day. Gains in domestic equity market by over a
percent and broadly weak USD weighed on the contract. Open interest and volume in the
USDINR contract increased 10.58% and 271.8% respectively as the May contract
expired.

June EURINR contract, June GBPINR contract and June JPYINR contract rose 0.22%,
0.47% and 0.68%. The contracts were boosted by recovery concerns in US after jobless
claims and Q1 GDP did not meet expectations. Persistent debt problems in peripheral
Euro zone capped the upside of EURINR contract while better economic data boosted
GBPINR contract. Open interest and volume in all the three contracts surged as the May
contract expired.

Options

The total traded volume in the most active calls and puts was 694,873 contracts (+1.16%)
while the total market open interest was 1,350,811 contracts. (-41.46%) Almost 76% of
the volume was seen in June 45, 45.25, 45.5 and 45.75 strike calls and puts.

The premia of June 45 and 45.25 strike calls slipped 10.75 paise and 11.5 paise
respectively. Puts ended flat over the day.

June 45 and 45.75 strike calls saw a decline in open interest with rise in volume over the
day. Puts of all the four strikes saw a rise in open interest and volume.

Volatility of June 45 and 45.25 strike calls slipped 0.63% and 0.66%, respectively.
Put/Call ratio of June 45, 45.25, 45.5 and 45.75 strike calls and puts stood at 0.81.