Silver Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 39.88 45.81 35.32 32.90 29.08 37.30
Max OI 26.00 21.16 15.71 20.58 18.62 16.00
Basis 0.63 0.56 -0.61 -0.57 -0.12 -0.23
Basis Risk (%) 14.12 21.03 17.88 16.06 13.27 13.85
NBP (%) 11.11 25.22 62.82 78.64 55.56 65.04
VR (lag = 2) 0.75 0.97 0.79 0.90 1.36 1.05
Volatility (%) 18.95 32.12 25.47 17.28 12.56 14.80
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