Guargum Futures
(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)
| . |
|---|
| ADTV (Rs. Bn) |
| Max OI (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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.78 | 1.45 | 1.81 | 1.95 | 1.67 | 1.57 | 1.92 | 1.80 | 1.61 | 1.31 | 1.72 | 1.50 | 1.24 | 1.36 |
| 6.76 | 6.51 | 6.39 | 6.86 | 6.30 | 5.82 | 6.17 | 6.02 | 5.76 | 5.12 | 5.91 | 5.76 | 5.64 | 4.59 |
| -0.05 | -1.08 | -0.65 | -0.28 | -1.35 | -1.49 | -0.76 | -0.79 | -1.11 | -1.19 | -1.01 | -0.76 | -0.95 | -1.77 |
| 17.68 | 18.55 | 11.77 | 14.03 | 12.66 | 12.05 | 12.23 | 13.36 | 13.72 | 18.17 | 16.02 | 19.61 | 18.22 | 17.76 |
| 38.20 | 87.42 | 82.60 | 56.93 | 91.94 | 100.00 | 78.71 | 79.72 | 80.78 | 87.34 | 86.77 | 68.89 | 82.23 | 91.10 |
| 1.01 | 0.85 | 0.93 | 0.64 | 1.22 | 0.91 | 1.01 | 0.83 | 0.68 | 1.20 | 0.90 | 0.83 | 0.99 | 0.97 |
| 27.09 | 24.77 | 18.80 | 20.76 | 15.85 | 14.97 | 17.20 | 19.81 | 17.64 | 19.70 | 22.60 | 24.73 | 21.31 | 23.35 |
Legend
ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio
Sources
NCDEX: Bhavcopy data, FBIL: MIBOR rate, USD-INR reference rate
More details on coverage and measures can be found here.