NIFTY Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 169.28 173.65 156.49 125.86 105.48 124.06
Max OI 251.39 263.50 211.71 227.47 212.02 195.59
Basis -0.10 0.03 -0.04 0.03 0.08 0.04
Basis Risk (%) 1.82 1.41 1.77 1.68 1.66 1.42
NBP (%) 88.89 40.00 66.67 45.00 11.11 26.09
VR (lag = 2) 0.95 1.03 0.83 0.70 1.07 0.95
Volatility (%) 15.11 20.07 27.65 10.21 9.04 11.55
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

NSE: Bhavcopy data, FBIL: MIBOR rate