Turmeric Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 0.39 0.42 0.32 0.22 0.25 0.14
Max OI 1.25 1.17 1.00 0.82 0.87 0.75
Basis 1.50 -2.24 -3.35 -1.96 0.27 1.44
Basis Risk (%) 35.04 32.66 34.92 32.78 33.81 32.44
NBP (%) 7.67 79.30 96.66 76.82 44.78 24.01
VR (lag = 2) 0.90 0.91 1.07 1.00 1.40 0.79
Volatility (%) 27.38 25.73 33.12 30.69 27.60 30.92
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