Indian economic data has remained below expectation on manufacturing front. IIP came much below expectation at -2.1% and HSBC Man PMI is at 50.7 below its last reading 51.3. Service PMI for India was also at 46.7 which show contraction in service sector.
In contrast to manufacturing data current account and inflation data were very impressive. CPI was read 9.87%, below its last reading 11.24%, export expanded 3.5% from last year and imports decreased 15.3% which is very significant improvement.
Due to above factors USDINR remained in range of 61.50 - 62.50. Since 26/11/13 USDINR has not crossed 62.60 levels on higher side and on lower side USDINR has remained capped at 60.84 on lower side.
Implied volatility for USDINR is around 7% for a week, where actual volatility is slightly more than that around 9%.
On NSE we have expiry on 29th Jan 2014. We have futures trading at 61.92 at 12:45 IST. Call Option for strike 62.25 trading at 0.08 rupee, put option for strike 61.75 is 9 paisa.
Buy Call option strike 62.50 and buy put option strike 61.50
Sell call option strike 62.25 and sell put option strike 61.75