Lead Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 6.24 5.60 4.96 3.35 2.18 0.00
Max OI 1.40 1.38 2.05 1.36 1.06 0.01
Basis -0.66 -2.25 -2.16 -2.76 -2.00 -3.26
Basis Risk (%) 15.55 16.67 19.02 34.17 21.02 22.24
NBP (%) 74.30 95.86 83.61 92.36 94.44 100.00
VR (lag = 2) 0.48 0.56 1.13 0.39 0.87 0.65
Volatility (%) 16.84 17.62 17.85 20.53 11.31 14.01
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