Guargum Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 1.80 1.61 1.31 1.72 1.50 1.24
Max OI 6.02 5.76 5.12 5.91 5.76 5.64
Basis -0.79 -1.11 -1.19 -1.01 -0.76 -0.95
Basis Risk (%) 13.36 13.72 18.17 16.02 19.61 18.22
NBP (%) 79.72 80.78 87.34 86.77 68.89 82.23
VR (lag = 2) 0.83 0.68 1.20 0.90 0.83 0.99
Volatility (%) 19.81 17.64 19.70 22.60 24.73 21.31
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

NCDEX: Bhavcopy data, FBIL: MIBOR rate, USD-INR reference rate