Copper Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 16.99 22.71 17.54 13.68 13.31 13.47
Max OI 2.45 3.96 4.17 3.97 2.89 3.22
Basis 0.92 0.65 -0.28 -2.18 -2.98 -1.36
Basis Risk (%) 11.85 12.63 11.18 16.29 17.56 14.03
NBP (%) 18.45 23.88 57.65 98.92 100.00 85.24
VR (lag = 2) 0.61 1.05 0.84 0.59 0.64 1.09
Volatility (%) 14.26 12.86 10.58 12.96 19.17 14.11
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