Soy Oil 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
2.07 1.64 1.61 1.62 1.55 1.47 1.45 1.66 1.40 1.29 2.52 4.51 4.80 3.40
6.30 6.84 6.76 5.32 5.40 6.16 5.36 4.59 4.81 3.84 6.70 11.01 10.97 7.89
-1.71 -2.33 -3.08 -2.41 -2.74 -2.53 -1.19 -0.55 0.06 -0.07 0.32 0.33 -2.43 -3.15
14.03 11.20 13.98 13.50 11.51 11.54 13.63 8.51 8.18 7.01 9.68 11.37 21.44 22.92
94.56 95.49 97.06 96.03 98.17 97.86 90.31 82.79 42.11 65.85 32.46 33.33 88.77 97.67
0.96 1.13 1.05 0.80 1.14 1.02 1.34 1.02 0.88 0.74 1.09 0.68 0.76 0.97
11.56 9.87 9.48 11.44 10.54 10.08 9.87 7.94 8.81 7.59 10.47 13.02 20.35 20.93
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