Zinc Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 13.65 14.90 11.46 9.94 6.91 0.00
Max OI 4.31 4.18 4.37 3.72 3.46 0.02
Basis -0.90 -1.62 -2.13 -2.28 -1.32 -2.13
Basis Risk (%) 14.62 17.77 19.31 22.16 15.36 15.21
NBP (%) 82.45 89.47 93.70 96.12 94.44 100.00
VR (lag = 2) 0.71 0.61 0.72 1.17 1.04 0.77
Volatility (%) 15.81 21.70 17.98 21.75 14.69 16.33
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, USD-INR reference rate