Gold Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 74.15 82.37 55.74 58.57 48.99 73.20
Max OI 107.46 114.90 87.22 82.69 83.34 99.49
Basis 0.81 0.33 -1.06 -0.79 -0.62 -0.22
Basis Risk (%) 15.32 13.92 13.75 11.07 9.63 8.87
NBP (%) 14.21 28.83 85.26 87.10 74.49 69.25
VR (lag = 2) 1.04 0.83 0.79 0.58 1.17 1.29
Volatility (%) 19.51 19.23 15.11 12.26 8.80 10.98
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