fCurrency Futures trading was approved on Indian Exchanges following the recommendation of Internal Working Group RBI 2008. The arrival of currency futures has demonstrated as an efficient channel to absorb greater exchange rate volatility and shocks. The study was aimed to analyse the impact of EURO/INR futures on the exchange rate volatility. Econometric modelling of data was applied due to nature of financial time series data. The findings of the study concluded that futures’ trading has led to marginal increase in the volatility.