Guarseed 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
3.60 2.57 2.80 3.57 3.17 3.13 3.84 3.85 2.88 2.00 3.10 2.15 1.67 1.87
6.30 5.70 5.39 5.84 6.56 6.34 5.58 5.98 5.85 3.89 5.51 4.37 4.48 3.75
-1.21 -1.01 -0.85 0.12 -0.76 -1.82 -0.90 -0.53 -0.59 -0.67 0.51 1.49 1.24 -0.65
14.86 12.58 8.82 12.81 10.90 13.20 13.43 12.81 14.74 16.75 14.70 17.41 13.86 17.70
90.51 93.71 88.03 47.90 79.80 100.00 81.10 61.16 65.77 72.01 29.90 5.13 10.05 70.42
0.94 0.79 0.86 0.73 1.15 0.85 0.79 0.77 0.93 1.04 0.70 0.84 0.90 1.02
22.40 21.62 15.91 16.60 13.73 14.15 16.15 17.97 17.17 17.10 19.79 21.05 17.45 19.86
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