Currency Market


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.


Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
ADTV (Rs. Bn) 3,568.96 3,323.60 3,164.59 3,298.25 3,260.29 3,175.56
Basis -0.15 -0.10 -0.12 -0.15 -0.18 -0.18
Basis Risk (%) 2.59 2.92 2.47 2.29 2.29 2.11
NBP (%) 62.85 66.20 79.86 81.59 76.69 88.47
VR (lag = 2) 1.21 1.01 0.83 1.17 1.40 1.42
Volatility (%) 6.11 7.98 6.93 5.31 3.87 4.36
Legend

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

Sources

BSE, MCX-SX, NSE: Bhavcopy data; CCIL: Daily data on currency spot and forwards market; FBIL: MIBOR rate, USD-INR reference rate