USD-INR Forwards

(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)


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ADTV (Rs. Bn)
Basis
Basis Risk (%)
NBP (%)
VR (lag = 2)
Volatility (%)
Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20
959.18 1,176.05 1,411.32 1,688.65 1,143.56 1,176.05 1,092.43 1,026.98 794.44 869.38 1,194.54 1,224.58 1,203.32 1,273.15
-0.43 -0.32 -0.32 -0.28 -0.33 -0.33 -0.28 -0.37 -0.27 -0.18 -0.32 -0.30 -4.94 5.36
3.01 2.55 2.19 2.44 2.24 2.10 2.47 2.35 2.54 2.03 1.64 1.82 80.80 369.38
100.00 100.00 100.00 85.71 100.00 100.00 95.65 100.00 100.00 100.00 100.00 94.12 100.00 90.00
1.05 0.71 0.85 0.71 0.91 1.17 0.73 1.22 0.86 1.31 1.16 1.37 0.53 0.56
10.38 5.35 11.41 9.91 6.36 5.56 10.15 7.99 9.48 7.85 7.53 4.51 466.78 2,077.50
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