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 Aug-19
Average Daily Traded Volume (Rs. Bn) 6,843.70 7,652.00 9,512.80 8,856.70 7,492.40 7,494.90 4,158.20* 4,985.20* 5,677.90* 6,112.00* 6,436.70* 6,528.90* 6,612.30* 7,937.90*
Cash-Futures Basis -0.12 -0.06 0.03 -0.08 -0.20 -0.10 -0.03 -0.05 -0.08 0.04 -0.08 0.10 -0.07 -0.04
Basis Risk 0.32 0.29 0.30 0.34 0.43 0.49 0.43 0.33 0.31 0.29 0.30 0.60 0.51 0.44
Neg. Basis Prop. (%) 48.28 49.64 42.58 52.86 59.19 41.38 50.08 45.12 42.90 32.60 41.43 40.09 48.38 41.74
Variance Ratio 0.95 0.93 0.98 0.92 0.75 1.07 1.03 0.87 0.89 0.68 0.97 1.00 0.95 0.93
Sigma Returns (%) 21.29 20.09 21.54 29.72 28.14 24.09 21.33 21.81 20.02 19.99 23.41 27.56 27.71 27.65
* 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.