Securities Market Report Card


The Securities Market Report Card presents a set of market quality measures that capture the health of the securities markets in India. At present, the markets covered are: (1) Equity: cash, single stock futures, NIFTY futures; (2) Currency: spot, OTC derivatives, USD-INR futures & options; (3) Commodities: futures on select agri and non-agri commodities. The measures of market quality presented are: (1) for Size: average daily traded volume; (2) for Efficiency: cash-futures basis, basis risk, percentage of trading days with negative basis, variance ratio; (3) for Volatility: standard deviation (sigma) of returns. More details can be found here.


Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19
Average Daily Traded Volume (Rs. Bn) 6,658.30 7,327.80 9,067.60 8,502.00 7,184.10 7,184.30 3,888.50* 4,760.70* 5,382.30* 5,813.00* 6,180.80* 6,436.30* 6,612.30*
Cash-Futures Basis -0.14 -0.05 0.05 -0.08 -0.18 -0.10 -0.02 -0.04 -0.06 0.05 -0.09 0.11 -0.07
Basis Risk 0.35 0.30 0.28 0.36 0.47 0.52 0.47 0.35 0.33 0.31 0.32 0.63 0.51
Neg. Basis Prop. (%) 45.74 44.88 35.90 49.77 54.04 36.65 45.32 41.33 33.64 26.08 37.72 38.44 48.38
Variance Ratio 0.95 0.93 0.98 0.88 0.78 1.03 1.00 0.91 0.87 0.77 0.99 0.99 0.95
Sigma Returns (%) 23.52 23.52 25.19 34.76 32.73 27.63 24.12 24.74 23.17 22.80 26.63 29.04 27.71
* Size does not include OTC Spot & Derivatives data for currency market in this period as it is not available from RBI.
Data Sources: daily data from the BSE, MCX, NCDEX and NSE. Periodic data from RBI.