Soy Oil Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 1.66 1.40 1.29 2.52 4.51 4.80
Max OI 4.59 4.81 3.84 6.70 11.01 10.97
Basis -0.55 0.06 -0.07 0.32 0.33 -2.43
Basis Risk (%) 8.51 8.18 7.01 9.68 11.37 21.44
NBP (%) 82.79 42.11 65.85 32.46 33.33 88.77
VR (lag = 2) 1.02 0.88 0.74 1.09 0.68 0.76
Volatility (%) 7.94 8.81 7.59 10.47 13.02 20.35
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