Crude Oil Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 113.14 125.75 98.93 119.03 120.56 161.52
Max OI 6.56 6.46 7.80 10.27 13.65 11.18
Basis -0.17 -0.09 -0.01 0.00 0.34 -0.70
Basis Risk (%) 39.57 57.81 48.86 22.84 28.31 21.83
NBP (%) 44.59 63.41 50.00 47.37 29.90 58.05
VR (lag = 2) 0.94 0.84 1.06 0.62 0.90 1.23
Volatility (%) 40.46 55.33 40.41 22.97 27.50 24.91
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