Guarseed Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 3.85 2.88 2.00 3.10 2.15 1.67
Max OI 5.98 5.85 3.89 5.51 4.37 4.48
Basis -0.53 -0.59 -0.67 0.51 1.49 1.24
Basis Risk (%) 12.81 14.74 16.75 14.70 17.41 13.86
NBP (%) 61.16 65.77 72.01 29.90 5.13 10.05
VR (lag = 2) 0.77 0.93 1.04 0.70 0.84 0.90
Volatility (%) 17.97 17.17 17.10 19.79 21.05 17.45
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