Agri Commodities


This page presents the aggregate of size and market quality measures for select agri commodity futures. It covers Guargum, Guarseed, Soybean, Soy Oil and Turmeric.


Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 9.13 8.83 7.25 11.77 12.33 11.72
Max OI 21.52 23.64 21.21 31.45 38.60 38.35
Basis -0.80 -1.92 -1.37 -0.06 0.03 -2.03
Basis Risk (%) 14.11 17.91 25.23 18.21 15.22 19.58
NBP (%) 69.50 74.55 79.19 48.63 44.16 79.82
VR (lag = 2) 0.89 0.90 0.91 0.74 0.72 0.90
Volatility (%) 16.48 17.70 18.59 19.04 16.41 20.25
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