Soybean 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
3.89 2.63 2.35 1.95 1.80 1.51 1.29 1.44 2.52 2.32 4.22 3.93 3.86 2.91
13.61 13.25 11.64 10.24 6.71 5.70 4.34 3.68 6.05 7.34 12.52 16.60 16.51 12.52
-0.09 -2.48 -3.07 -3.58 -3.57 -3.82 -1.72 -2.48 -5.00 -2.53 -0.22 -0.82 -3.41 -3.84
17.46 22.51 12.81 12.25 12.27 12.04 15.88 19.27 27.18 45.38 26.03 15.58 19.69 17.82
56.17 100.00 100.00 100.00 100.00 100.00 95.65 80.41 97.80 85.77 55.07 68.38 100.00 100.00
0.98 0.98 1.08 0.81 1.25 1.14 0.99 1.12 1.03 0.70 0.48 0.63 1.05 1.04
17.76 19.51 14.87 16.07 12.31 11.84 13.59 15.19 21.97 23.34 21.56 13.87 20.61 21.73
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