This page presents the aggregate of size and market quality measures for three segments of the USD-INR Currency market: (1) spot, (2) exchange traded derivatives (3) over-the-counter forwards Market size includes ADTV in the spot, futures and options, and the forward segments. Market quality measures focus on the spot, futures, and forwards.
|ADTV (Rs. Bn)||3,568.96||3,323.60||3,164.59||3,298.25||3,260.29||3,175.56|
|Basis Risk (%)||2.59||2.92||2.47||2.29||2.29||2.11|
|VR (lag = 2)||1.21||1.01||0.83||1.17||1.40||1.42|
ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio
BSE, MCX-SX, NSE: Bhavcopy data; CCIL: Daily data on currency spot and forwards market; FBIL: MIBOR rate, USD-INR reference rate