USD-INR Futures



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 355.27 311.68 257.49 263.28 274.00 252.73
Max OI 535.40 434.22 319.39 353.09 426.69 355.23
Basis -0.04 0.01 -0.07 -0.05 -0.08 -0.12
Basis Risk (%) 2.72 3.14 2.83 2.70 2.74 2.67
NBP (%) 44.44 46.15 63.16 70.00 60.00 73.91
VR (lag = 2) 0.92 1.15 1.12 1.04 1.08 1.46
Volatility (%) 6.51 8.11 6.53 4.14 3.98 4.03
Legend

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

Sources

BSE, MCX-SX, NSE: Bhavcopy data; FBIL: MIBOR rate, USD-INR reference rate