USD-INR Forwards



Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 1,026.98 794.44 869.38 1,194.54 1,218.79 1,218.72
Basis -0.37 -0.27 -0.18 -0.32 -0.29 -0.22
Basis Risk (%) 2.35 2.54 2.03 1.64 1.83 1.67
NBP (%) 100.00 100.00 100.00 100.00 93.75 100.00
VR (lag = 2) 1.22 0.86 1.31 1.16 1.36 1.56
Volatility (%) 7.99 9.48 7.85 7.53 4.75 5.21
Legend

ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

CCIL: Daily data on currency spot and forwards market; FBIL: MIBOR rate, USD-INR reference rate