InvestorQ : In the currency derivatives segment, what are the most active contracts in terms of turnover and in terms of open interest?
Debbie Mascarenhas made post

In the currency derivatives segment, what are the most active contracts in terms of turnover and in terms of open interest?

Answer
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Crowny Pinto answered.
10 months ago


There are no prices for guessing, the business is still dominated by the USD-INR contract largely because this is the most liquid contract and also the dollar is the most central of all the global currencies from a trade and flows point of view. Check the table below for the NSE, which is representativei.

Month

Turnover

Open Interest as on last day of the month (in lots)

USDINR

EURINR

GBPINR

JPYINR

USDINR

EURINR

GBPINR

JPYINR

Apr-10

97.1

2.8

0.1

0.0

95.3

3.7

1.0

0.1

May-10

95.6

4.2

0.2

0.0

96.7

2.6

0.5

0.2

Jun-10

97.4

2.4

0.2

0.1

96.6

2.0

0.8

0.6

Jul-10

95.1

4.3

0.4

0.2

96.3

2.6

0.7

0.4

Aug-10

95.9

3.6

0.3

0.2

96.2

2.2

0.4

1.1

Sep-10

97.8

1.6

0.3

0.4

95.0

2.8

0.5

1.7

Oct-10

97.6

1.6

0.4

0.5

94.7

2.4

0.5

2.4

Nov-10

96.3

2.2

0.8

0.6

95.9

1.8

0.7

1.7

Dec-10

96.4

2.1

0.7

0.8

96.0

1.4

0.9

1.8

Jan-11

95.5

3.0

0.9

0.6

95.1

2.9

0.7

1.4

Feb-11

96.1

2.3

0.9

0.7

95.8

2.3

0.8

1.1

Mar-11

95.5

2.4

0.9

1.2

96.8

2.4

0.3

0.5

Apr-11

96.5

2.5

0.6

0.4

96.6

2.6

0.5

0.3

May-11

95.6

3.1

0.8

0.5

97.3

1.8

0.5

0.5

Jun-11

94.8

3.3

1.3

0.6

97.5

1.6

0.5

0.4

Jul-11

94.5

3.6

1.3

0.6

97.8

0.9

0.2

1.1

Aug-11

95.0

3.0

1.0

1.1

96.1

1.8

0.6

1.4

Sep-11

97.2

1.6

0.6

0.7

98.1

0.9

0.3

0.7

Oct-11

97.3

1.6

0.5

0.6

98.2

1.3

0.2

0.3

Nov-11

97.5

1.4

0.6

0.4

98.2

1.2

0.3

0.3

Dec-11

97.7

1.1

0.7

0.5

97.7

1.5

0.3

0.5

Jan-12

98.3

0.9

0.5

0.3

98.6

0.7

0.2

0.5

Feb-12

98.4

0.8

0.5

0.3

98.0

1.0

0.5

0.4

Mar-12

98.3

0.8

0.5

0.4

98.1

1.0

0.6

0.3

Apr-12

98.2

0.8

0.5

0.4

98.2

1.1

0.4

0.3

May-12

98.7

0.6

0.4

0.3

98.6

0.8

0.4

0.3

Jun-12

98.6

0.6

0.4

0.4

98.4

0.9

0.4

0.3

Jul-12

98.8

0.6

0.3

0.3

98.5

0.6

0.5

0.3

Aug-12

98.4

0.6

0.6

0.4

98.0

0.9

0.8

0.3

Sep-12

98.1

1.0

0.5

0.4

98.4

0.8

0.5

0.2

Oct-12

98.4

0.8

0.4

0.3

97.3

1.7

0.7

0.3

Nov-12

98.2

0.9

0.5

0.4

98.0

1.2

0.6

0.2

Dec-12

97.2

1.5

0.6

0.6

97.2

1.8

0.7

0.2

Jan-13

96.8

1.8

0.6

0.9

97.5

1.7

0.3

0.5

Feb-13

95.8

2.2

1.0

1.1

98.2

1.2

0.3

0.3

Mar-13

96.2

1.8

1.0

1.0

98.0

1.2

0.3

0.4

Apr-13

95.5

1.7

1.0

1.7

97.8

1.3

0.4

0.5

May-13

96.1

1.7

1.1

1.1

97.3

1.7

0.6

0.4

Jun-13

97.0

1.3

0.9

0.7

97.1

1.8

0.7

0.3

Jul-13

93.8

3.2

2.1

0.9

91.7

5.3

2.4

0.6

Aug-13

88.2

5.6

4.5

1.6

93.9

4.0

1.8

0.4

Sep-13

88.1

5.0

5.3

1.6

92.3

4.9

2.1

0.7

Oct-13

90.5

4.4

3.6

1.4

92.3

4.9

2.1

0.7

Nov-13

90.1

4.6

4.1

1.3

91.9

4.4

3.0

0.7

Dec-13

87.5

5.4

5.6

1.5

91.5

4.5

3.2

0.8

Jan-14

87.2

5.1

6.3

1.5

91.8

4.2

3.4

0.6

Feb-14

87.0

5.3

6.3

1.5

90.4

5.4

3.7

0.4

Mar-14

88.6

4.9

5.4

1.2

93.3

4.1

1.9

0.7

Apr-14

89.1

4.9

4.7

1.3

92.2

4.7

2.5

0.7

May-14

88.9

4.8

5.2

1.1

90.3

5.1

4.0

0.7

Jun-14

88.6

5.1

5.3

1.0

94.2

3.1

2.4

0.4

Jul-14

91.4

3.5

4.3

0.7

96.0

2.0

1.7

0.3

Aug-14

94.1

2.2

3.2

0.5

96.7

1.6

1.4

0.3

Sep-14

93.3

2.5

3.6

0.7

96.7

1.5

1.5

0.3

Oct-14

92.7

3.2

3.2

0.9

96.7

1.6

1.1

0.6

Nov-14

90.9

3.6

3.9

1.5

97.1

1.5

1.0

0.4

Dec-14

92.5

3.0

3.4

1.2

97.3

1.4

0.9

0.4

Jan-15

92.6

3.1

3.1

1.2

97.6

1.6

0.8

0.5

Feb-15

91.4

3.2

4.1

1.3

97.3

1.3

1.4

0.4

Mar-15

92.4

3.3

3.4

0.9

97.4

1.6

1.1

0.3

Apr-15

92.1

3.6

3.6

0.7

96.4

2.0

1.5

0.3

May-15

92.4

3.3

3.6

0.7

96.7

1.9

1.4

0.5

Jun-15

91.4

4.2

3.4

0.9

97.3

1.5

1.2

0.2

Jul-15

90.8

4.4

4.1

0.8

97.2

1.5

1.4

0.3

Aug-15

94.0

2.8

2.6

0.6

96.8

1.9

1.3

0.3

Sep-15

93.1

3.2

3.0

0.7

97.1

1.6

1.3

0.4

Oct-15

94.0

2.8

2.7

0.5

97.6

1.3

1.1

0.4

Nov-15

95.0

2.3

2.3

0.4

97.6

1.3

1.1

0.2

Dec-15

93.5

2.9

3.1

0.5

97.6

1.3

1.1

0.2

Jan-16

94.8

2.3

2.3

0.7

97.6

1.5

0.6

0.3

Feb-16

93.4

2.9

2.6

1.1

97.6

1.3

0.6

0.5

Mar-16

94.5

2.5

2.5

0.6

97.8

1.5

0.5

0.2

Apr-16

93.7

2.2

3.2

0.9

97.0

1.3

0.9

0.7

May-16

92.8

2.1

4.0

1.1

96.8

1.6

1.2

0.4

Jun-16

89.8

2.1

6.6

1.5

96.5

1.2

1.1

1.2

Jul-16

89.0

2.6

6.1

2.3

96.1

1.7

1.1

1.1

Aug-16

91.2

2.5

4.2

2.1

96.8

1.6

0.7

0.9

Sep-16

92.6

2.1

3.2

2.1

96.4

1.1

1.4

1.0

Oct-16

91.8

2.1

4.7

1.5

96.9

1.0

1.5

0.6

Nov-16

94.8

1.6

2.3

1.3

98.0

0.9

0.6

0.5

Dec-16

95.7

1.6

1.9

0.8

97.6

1.0

0.6

0.8

Jan-17

93.3

1.9

3.5

1.2

96.8

1.5

1.1

0.6

Feb-17

94.0

2.1

3.0

0.9

97.1

1.6

0.9

0.3

Mar-17

94.1

2.0

3.1

0.8

97.3

1.4

0.9

0.4

Apr-17

94.3

2.0

2.8

0.9

96.6

2.0

1.0

0.4

May-17

93.3

2.6

3.2

0.9

96.7

1.9

1.1

0.3

Jun-17

90.0

3.2

5.6

1.2

94.9

3.0

1.5

0.6

Jul-17

90.7

3.7

4.4

1.2

94.9

3.2

1.4

0.5

Aug-17

91.8

3.9

3.3

1.0

95.1

3.4

1.1

0.5

Sep-17

93.7

2.6

3.0

0.7

96.2

2.2

1.2

0.4

Oct-17

93.4

2.7

3.2

0.7

94.8

3.1

1.3

0.8

Nov-17

92.4

3.3

3.5

0.8

94.2

3.4

1.7

0.6

Dec-17

91.2

3.3

4.7

0.8

94.0

3.7

1.6

0.7

Jan-18

90.1

4.3

4.7

1.0

90.2

5.8

2.9

1.0

Feb-18

92.0

3.2

3.8

1.0

93.4

3.7

1.7

1.2

Mar-18

89.6

4.1

5.0

1.3

91.7

4.8

2.6

0.9

Apr-18

92.2

3.0

4.1

0.8

95.0

2.9

1.6

0.5

May-18

93.6

2.8

3.0

0.6

96.0

2.2

1.1

0.7

Jun-18

92.7

3.0

3.4

0.9

96.2

2.2

0.9

0.7

Jul-18

92.1

3.1

3.8

1.0

94.5

3.2

1.4

0.9

Aug-18

94.3

2.4

2.4

0.9

95.1

2.8

1.1

1.0

Sep-18

96.0

1.7

1.7

0.6

96.2

2.2

0.9

0.6

Oct-18

95.3

2.0

2.1

0.6

95.9

2.4

0.9

0.8

Nov-18

95.3

1.7

2.5

0.5

96.3

2.0

1.0

0.7

Dec-18

95.8

1.6

2.1

0.6

96.9

1.5

0.7

0.8

As is very clearly evident from the above table, the USD-INR contract continues to dominate the currency derivatives on the NSE and that is largely representative of the exchange traded currency derivatives market overall.