Soybean Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 1.44 2.52 2.32 4.22 3.93 3.86
Max OI 3.68 6.05 7.34 12.52 16.60 16.51
Basis -2.48 -5.00 -2.53 -0.22 -0.82 -3.41
Basis Risk (%) 19.27 27.18 45.38 26.03 15.58 19.69
NBP (%) 80.41 97.80 85.77 55.07 68.38 100.00
VR (lag = 2) 1.12 1.03 0.70 0.48 0.63 1.05
Volatility (%) 15.19 21.97 23.34 21.56 13.87 20.61
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