Unit ko samjho · NISM Series I
Exchange Traded Currency Futures
15 questions is unit mein
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- A USD-INR futures position is bought at F₀ and held to expiry, when the final settlement rate is Sₜ. Ignoring costs, its cumulative profit or loss per USD is:
- Under the NSE contract specification, one JPY-INR futures contract has which trading unit and quotation basis?
- One USD-INR futures contract covers USD 1,000 and is quoted at ₹88.7500 per USD. Its rupee notional value is:
- A USD-INR futures contract covers USD 1,000. Its minimum price movement is 0.25 paise per USD. A one-tick move changes the contract value by:
- USD-INR spot is 88.0000. Annual simple interest rates are 6.4% in INR and 4.4% in USD. For exactly 0.25 year, the no-arbitrage forward rate, rounded to four decimals, is what? Assume equal borrowing and lending rates and ignore transaction costs.
- A trader shorts 20 USD-INR futures at 88.50. Each contract is USD 1,000. Day 1 settles at 88.65. On Day 2, the trader closes the whole position at 88.40. Ignoring charges, what are the Day 2 settlement gain and total two-day profit respectively?
- Open interest in one currency futures contract starts at 500 contracts. During the day, 12 matched trades close an existing long and short, 20 create a new long and short, and 15 transfer existing longs to new buyers while the corresponding shorts remain open. Counting each matched contract once, what are closing open interest and daily volume?
- USD-INR spot is 80.00 and the forward rate for exactly 0.5 year is 81.00. The USD interest rate is 4% a year. Using simple interest and covered interest parity, what annual INR interest rate is implied? Assume equal borrowing and lending rates and no transaction costs.
- USD-INR spot is 88.00 and the forward quote for exactly half a year is 88.88. What is the dollar’s annualised forward premium relative to spot, using simple annualisation?
- A trader sells 8 JPY-INR futures contracts at 62.50 and closes them at 62.35. Each contract is JPY 1,00,000, quoted in INR per JPY 100. What is the cumulative futures result, ignoring costs?
- A client buys 40 USD-INR futures at 88.10, each for USD 1,000. Day 1 settles at 88.30. On Day 2, 15 contracts are sold at 88.50 and the remaining 25 settle at 88.22. Ignoring costs, what are the Day 2 net settlement gain and the cumulative gain through Day 2, respectively?
- A one-year USD-INR forward rate is calculated from spot and the two currencies’ interest rates under covered interest parity. Which interpretation is correct?
- For this calculation, a EUR-USD future represents EUR 1,000 and one tick is USD 0.0001 per EUR. A long position of 12 contracts gains five ticks. Convert the gain at the supplied rate of ₹80 per USD. What is the INR gain, ignoring costs?
- A trader buys 10 USD-INR futures, each for USD 1,000, at 80.00 and closes at 80.40. Initial margin posted is ₹40,000. Ignoring costs, the profit is what percentage of entry notional and of that initial margin, respectively?
- In a frictionless illustration, USD-INR spot is 80.00 and the six-month forward is 80.50. INR deposits earn 6% and USD loans cost 4% per year, both simple for exactly 0.5 year. A dealer borrows USD 10,000, sells it spot, invests the INR, and buys the full USD repayment forward. What INR surplus remains at maturity?
Zaroori ideas
Practice bank se · 1
A USD-INR futures position is bought at F₀ and held to expiry, when the final settlement rate is Sₜ. Ignoring costs, its cumulative profit or loss per USD is:
A long future gains the rise in the INR-per-USD rate and bears its fall. Compare the final rate with the rate at which the long position was opened. Cumulative profit or loss per USD = final settlement rate − purchase rate = Sₜ − F₀. Daily mark-to-market cash flows contribute to this cumulative result. It is not an additional profit to add again after summing those cash flows. Multiply by the USD exposure for the whole position. Remember: Long futures profit equals the final rate minus the entry rate, multiplied by the exposure.
Hint Common mistake: Applying an option’s zero-loss payoff floor to a futures position, or double-counting daily settlement cash flows.
I-009Practice bank se · 2
Under the NSE contract specification, one JPY-INR futures contract has which trading unit and quotation basis?
This answer pairs the specified JPY 1,00,000 trading unit with the INR-per-JPY-100 quotation. NSE specifies a trading unit of JPY 1,00,000 for a JPY-INR futures contract. The price is quoted in rupees per JPY 100, not per single yen. A contract therefore contains 1,00,000 ÷ 100 = 1,000 quotation units. Its rupee notional equals the quoted price multiplied by 1,000. Remember: For JPY-INR, distinguish JPY 1,00,000 per contract from JPY 100 per quotation unit.
Hint Common mistake: Multiplying an INR-per-100-yen quote by the full number of yen without first dividing by 100.
I-010Practice bank se · 3
One USD-INR futures contract covers USD 1,000 and is quoted at ₹88.7500 per USD. Its rupee notional value is:
Multiplying ₹88.7500 per USD by USD 1,000 gives ₹88,750. Notional value = quote in INR per USD × USD amount of the contract. ₹88.7500 × 1,000 = ₹88,750. The amount required as is a separate risk-management calculation. No margin percentage is needed to answer this question. Remember: Multiply the exchange-rate quote by the contract’s base-currency amount to obtain its rupee notional.
Hint Common mistake: Confusing the quoted exchange rate, and margin deposit with notional value.
I-011Practice bank se · 4
A USD-INR futures contract covers USD 1,000. Its minimum price movement is 0.25 paise per USD. A one-tick move changes the contract value by:
The calculation converts paise to rupees before multiplying by the USD 1,000 lot. One rupee contains 100 paise. Therefore, 0.25 paise = ₹0.0025 per USD. Tick value = ₹0.0025 per USD × USD 1,000 = ₹2.50. This is the magnitude of the change for one contract. Whether it is a gain or loss depends on the position direction and the direction of the tick. Remember: Convert paise into rupees before multiplying the tick size by the lot size.
Hint Common mistake: Treating 0.25 paise as 25 paise, or ₹0.25.
I-012Practice bank se · 5
USD-INR spot is 88.0000. Annual simple interest rates are 6.4% in INR and 4.4% in USD. For exactly 0.25 year, the no-arbitrage forward rate, rounded to four decimals, is what? Assume equal borrowing and lending rates and ignore transaction costs.
This answer uses the INR factor in the numerator and the USD factor in the denominator, then rounds to four decimals. With simple annual interest, F = S × (1 + r_INR × T) ÷ (1 + r_USD × T). The INR factor is 1 + 0.064 × 0.25 = 1.016. The USD factor is 1 + 0.044 × 0.25 = 1.011. F = 88 × 1.016 ÷ 1.011 = 89.408 ÷ 1.011 = 88.43521266… INR per USD. Rounding to four decimals gives 88.4352. Because the INR interest rate is higher, the computed forward quote is above spot. Remember: For INR per USD, multiply spot by the INR accumulation factor and divide by the USD accumulation factor.
Hint Common mistake: Reversing the interest-rate ratio or using a rate-difference approximation when exact precision is requested.
I-013Practice bank se · 6
A trader shorts 20 USD-INR futures at 88.50. Each contract is USD 1,000. Day 1 settles at 88.65. On Day 2, the trader closes the whole position at 88.40. Ignoring charges, what are the Day 2 settlement gain and total two-day profit respectively?
Day 2 earns ₹5,000 and the earlier ₹3,000 loss reduces the total profit to ₹2,000. Day 1 short-position MTM = (88.50 − 88.65) × 1,000 × 20 = −₹3,000. After Day 1, the settlement reference is 88.65. Day 2 gain = (88.65 − 88.40) × 1,000 × 20 = ₹5,000. Total profit = −₹3,000 + ₹5,000 = ₹2,000. Check directly: (88.50 − 88.40) × 1,000 × 20 = ₹2,000. Remember: Reconcile daily settlement amounts to entry-to-exit profit without counting the same price movement twice.
Hint Common mistake: Using the original trade price for each day or reporting the final day’s gain as the whole trade’s profit.
I-043Practice bank se · 7
Open interest in one currency futures contract starts at 500 contracts. During the day, 12 matched trades close an existing long and short, 20 create a new long and short, and 15 transfer existing longs to new buyers while the corresponding shorts remain open. Counting each matched contract once, what are closing open interest and daily volume?
Only both-side openings and closures change . All three categories contribute to . Both-side closures reduce open interest by 12. Both-side openings increase it by 20. Replacing an existing long holder with a new long holder leaves the outstanding contract count unchanged. Closing open interest = 500 − 12 + 20 = 508 contracts. Daily volume = 12 + 20 + 15 = 47 contracts. Do not count each buyer and seller separately. Remember: For open interest, identify whether each side opens or closes before changing the outstanding count.
Hint Common mistake: Assuming every transaction creates a new outstanding contract or counting both sides twice.
I-056Practice bank se · 8
USD-INR spot is 80.00 and the forward rate for exactly 0.5 year is 81.00. The USD interest rate is 4% a year. Using simple interest and covered interest parity, what annual INR interest rate is implied? Assume equal borrowing and lending rates and no transaction costs.
This answer is the annual simple rate that equates the two stated currency accumulation paths. For an INR-per-USD quote, F/S = (1 + r_INR × T)/(1 + r_USD × T). Rearranging gives r_INR = [(F/S) × (1 + r_USD × T) − 1]/T. The USD accumulation factor is 1 + 0.04 × 0.5 = 1.02. The required INR factor is (81 ÷ 80) × 1.02 = 1.03275. The six-month INR return is 0.03275. Dividing by 0.5 gives 0.0655, or 6.55% a year. A cash-flow cross-check is 80 × 1.03275 = ₹82.62, equal to 1.02 USD × ₹81 per USD. The funding and forward-conversion totals agree. Remember: Solve parity with accumulation factors first, then convert the resulting period return into an annual rate.
Hint Common mistake: Using a rate-difference approximation or forgetting to annualise the implied period return.
I-057Practice bank se · 9
USD-INR spot is 88.00 and the forward quote for exactly half a year is 88.88. What is the dollar’s annualised forward premium relative to spot, using simple annualisation?
The half-year premium is (88.88 − 88.00) ÷ 88.00 = 1%. Dividing by 0.5 year gives 2% per year. Forward points = 88.88 − 88.00 = ₹0.88 per USD. Half-year proportional premium = 0.88 ÷ 88.00 = 0.01, or 1%. Simple annualised premium = [(F − S) ÷ S] ÷ T × 100 = 0.01 ÷ 0.5 × 100 = 2%. This describes the quoted forward relative to spot. It is not a guarantee that the dollar’s future spot price will rise by 2%. Remember: Use spot as the denominator and divide the period premium by the stated year fraction.
Hint Common mistake: Reporting a period premium as an annual rate or treating forward points as a spot-price forecast.
I-081Practice bank se · 10
A trader sells 8 JPY-INR futures contracts at 62.50 and closes them at 62.35. Each contract is JPY 1,00,000, quoted in INR per JPY 100. What is the cumulative futures result, ignoring costs?
The short gains ₹0.15 per JPY 100 on 8 × 1,00,000 ÷ 100 = 8,000 quotation units. A short position earns entry price minus closing price: 62.50 − 62.35 = ₹0.15 per JPY 100. Total JPY notional = 8 × 1,00,000 = JPY 8,00,000, equivalent to 8,000 blocks of JPY 100. Cumulative profit = 0.15 × 8,000 = ₹1,200. This is the total trade result, not an additional payment on top of all daily MTM cash flows. Remember: Convert the notional into quotation units before multiplying by the price movement.
Hint Common mistake: Treating a JPY-INR price quoted per JPY 100 as if it were quoted per JPY 1.
I-082Practice bank se · 11
A client buys 40 USD-INR futures at 88.10, each for USD 1,000. Day 1 settles at 88.30. On Day 2, 15 contracts are sold at 88.50 and the remaining 25 settle at 88.22. Ignoring costs, what are the Day 2 net settlement gain and the cumulative gain through Day 2, respectively?
This answer includes both Day 2 quantities and adds the earlier ₹8,000 exactly once. Day 1 gain = 40 × 1,000 × (88.30 − 88.10) = ₹8,000. Day 2 gain on the 15 closed contracts = 15 × 1,000 × (88.50 − 88.30) = ₹3,000. Day 2 loss on the 25 open contracts = 25 × 1,000 × (88.22 − 88.30) = −₹2,000. Day 2 net gain is ₹1,000. Cumulative gain = ₹8,000 + ₹1,000 = ₹9,000. Independently, 15 × 1,000 × (88.50 − 88.10) + 25 × 1,000 × (88.22 − 88.10) also equals ₹9,000. Remember: For a partial close-out, settle the closed and open quantities separately from the last reset, then reconcile cumulatively.
Hint Common mistake: Using the original trade price again for every later day and double-counting previously settled gains.
I-105Practice bank se · 12
A one-year USD-INR forward rate is calculated from spot and the two currencies’ interest rates under covered interest parity. Which interpretation is correct?
The equality is between covered financing cash flows. A different future spot rate does not contradict that equality. For a frictionless one-year illustration, let S be INR per USD and rINR and rUSD the respective annual accumulation rates. Borrowing S rupees, buying USD 1 and investing the dollar produces USD (1 + rUSD). Selling those dollars forward at F gives INR F × (1 + rUSD). Equating this to the rupee repayment S × (1 + rINR) gives F = S × (1 + rINR) ÷ (1 + rUSD). This funding identity uses contracted cash flows and interest rates. It does not require the spot rate at maturity to equal F. An unhedged receipt or payment still depends on that later spot rate. Remember: Distinguish a no-arbitrage forward price from a prediction of the future spot rate.
Hint Common mistake: Reading a forward premium as a certain future appreciation of the foreign currency.
I-106Practice bank se · 13
For this calculation, a EUR-USD future represents EUR 1,000 and one tick is USD 0.0001 per EUR. A long position of 12 contracts gains five ticks. Convert the gain at the supplied rate of ₹80 per USD. What is the INR gain, ignoring costs?
Five ticks produce USD 0.50 per contract, USD 6 for the position, and ₹480 after conversion. One contract gains 1,000 EUR × 0.0001 USD/EUR × 5 = USD 0.50. For 12 contracts, the gain is 0.50 × 12 = USD 6. Using the supplied conversion rate, USD 6 × ₹80/USD = ₹480. The EUR units cancel before the USD gain is converted. Remember: Calculate tick value in the quotation currency first, then apply any expressly given conversion rate.
Hint Common mistake: Treating a USD-quoted tick as already denominated in INR, or misplacing the decimal in the tick size.
I-131Practice bank se · 14
A trader buys 10 USD-INR futures, each for USD 1,000, at 80.00 and closes at 80.40. Initial margin posted is ₹40,000. Ignoring costs, the profit is what percentage of entry notional and of that initial margin, respectively?
The gain is 0.5% of entry notional but 10% of the much smaller initial margin. Entry notional = 10 × 1,000 × ₹80 = ₹8,00,000. Profit = 10 × 1,000 × (80.40 − 80.00) = ₹4,000. Profit as a fraction of entry notional = 4,000 ÷ 8,00,000 × 100 = 0.5%. Profit as a fraction of the supplied initial margin = 4,000 ÷ 40,000 × 100 = 10%. This is a denominator comparison, not an annualised investment return. Remember: Always identify the denominator before comparing a futures percentage gain.
Hint Common mistake: Calling a profit-to-margin ratio the underlying currency’s price return or treating margin as the maximum possible loss.
I-132Practice bank se · 15
In a frictionless illustration, USD-INR spot is 80.00 and the six-month forward is 80.50. INR deposits earn 6% and USD loans cost 4% per year, both simple for exactly 0.5 year. A dealer borrows USD 10,000, sells it spot, invests the INR, and buys the full USD repayment forward. What INR surplus remains at maturity?
This answer includes both INR deposit interest and USD borrowing interest, and uses the forward price for the full USD repayment. Selling the USD 10,000 loan at spot produces ₹8,00,000. The INR deposit grows to 8,00,000 × (1 + 0.06 × 0.5) = ₹8,24,000. The USD loan repayment is 10,000 × (1 + 0.04 × 0.5) = USD 10,200. Buying USD 10,200 forward costs 10,200 × ₹80.50 = ₹8,21,100. Surplus = 8,24,000 − 8,21,100 = ₹2,900. The full foreign repayment is fixed in INR, so a different maturity spot rate does not change this stated ledger. Remember: For covered funding, match the forward quantity to the entire foreign-currency maturity obligation.
Hint Common mistake: Hedging the borrowed principal but forgetting that the foreign interest must also be repaid.
I-133Margin is the money a participant must keep in place to carry a leveraged position.
Aage padhoLot size is the number of units of the underlying that one derivatives contract stands for.
Aage padhoOpen Interest (OI) is the number of futures or options contracts in the NSE F&O segment that are still open.
Aage padhoTraded volume is the quantity that changed hands during a set period.
Aage padho