Lead Futures


(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)


.
ADTV (Rs. Bn)
Max OI (Rs. Bn)
Basis
Basis Risk (%)
NBP (%)
VR (lag = 2)
Volatility (%)
Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20
9.65 9.94 10.60 8.55 7.79 8.02 7.48 6.24 5.60 4.96 3.35 2.18 0.00 0.00
2.37 1.97 4.21 4.94 4.92 3.24 2.21 1.40 1.38 2.05 1.36 1.06 0.01 0.01
0.24 0.23 -0.02 0.20 1.88 -0.39 0.03 -0.66 -2.25 -2.16 -2.76 -2.00 -3.26 -4.65
11.59 12.41 9.69 11.28 20.04 41.50 19.23 15.55 16.67 19.02 34.17 21.02 22.24 26.51
29.97 42.11 46.30 27.31 28.97 57.50 46.46 74.30 95.86 83.61 92.36 94.44 100.00 100.00
1.12 1.27 1.27 0.96 0.97 0.85 1.04 0.48 0.56 1.13 0.39 0.87 0.65 0.44
17.45 17.73 19.84 16.37 21.05 54.21 18.28 16.84 17.62 17.85 20.53 11.31 14.01 17.04
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