Natural Gas Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 13.11 16.22 23.25 29.46 26.76 26.06
Max OI 3.90 4.23 5.87 8.06 8.04 9.85
Basis 0.34 0.23 1.33 -0.32 0.24 -0.58
Basis Risk (%) 37.30 32.88 33.62 40.19 54.31 45.29
NBP (%) 47.60 58.13 41.17 55.88 53.56 48.12
VR (lag = 2) 0.84 1.43 1.32 0.78 0.53 0.80
Volatility (%) 36.51 31.91 31.43 50.95 52.87 42.82
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