Single Stock Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 392.79 443.91 466.53 444.42 382.32 415.09
Max OI 815.94 881.09 865.43 946.12 935.59 937.44
Basis -0.21 -0.09 -0.19 -0.10 0.00 0.02
Basis Risk (%) 5.33 4.57 4.91 4.36 3.78 2.68
NBP (%) 60.02 40.19 48.55 49.11 28.36 34.95
VR (lag = 2) 0.93 0.96 0.85 0.85 0.98 1.00
Volatility (%) 39.60 44.67 64.51 41.92 32.90 27.07
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