Aluminium Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 2.14 2.11 1.94 1.50 1.00 0.00
Max OI 2.10 3.07 3.24 2.06 1.37 0.00
Basis -2.05 -3.00 -4.00 -5.28 -4.36 -4.22
Basis Risk (%) 16.02 18.79 21.92 27.61 23.19 29.38
NBP (%) 93.39 96.34 100.00 100.00 100.00 100.00
VR (lag = 2) 0.83 0.82 0.80 1.02 0.54 0.75
Volatility (%) 14.75 17.53 19.73 24.21 12.58 25.40
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

MCX: Bhavcopy data, FBIL: MIBOR rate