Turmeric 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
0.10 0.10 0.17 0.43 0.67 0.44 0.54 0.39 0.42 0.32 0.22 0.25 0.14 0.11
0.92 0.95 1.01 1.57 1.90 1.85 1.72 1.25 1.17 1.00 0.82 0.87 0.75 0.57
-6.33 -3.84 0.19 1.15 2.81 0.77 0.82 1.50 -2.24 -3.35 -1.96 0.27 1.44 0.83
37.89 25.86 33.15 26.86 29.79 39.95 39.06 35.04 32.66 34.92 32.78 33.81 32.44 22.27
100.00 100.00 49.99 16.83 25.68 32.61 24.21 7.67 79.30 96.66 76.82 44.78 24.01 39.03
0.86 1.09 0.75 0.92 1.28 1.00 1.25 0.90 0.91 1.07 1.00 1.40 0.79 0.98
28.44 16.72 13.16 21.13 22.23 23.79 25.91 27.38 25.73 33.12 30.69 27.60 30.92 20.63
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