Aluminium 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
6.67 5.42 3.19 2.83 3.18 2.87 2.77 2.14 2.11 1.94 1.50 1.00 0.00 0.00
5.03 4.02 1.77 1.32 1.92 2.63 2.37 2.10 3.07 3.24 2.06 1.37 0.00 0.00
0.38 1.70 -2.00 -0.92 0.64 0.41 -0.70 -2.05 -3.00 -4.00 -5.28 -4.36 -4.22 -2.00
20.92 21.14 38.34 17.94 23.95 17.52 13.53 16.02 18.79 21.92 27.61 23.19 29.38 23.77
25.65 14.32 90.96 71.60 40.11 33.97 70.22 93.39 96.34 100.00 100.00 100.00 100.00 100.00
0.52 0.97 1.02 1.10 1.07 0.62 0.74 0.83 0.82 0.80 1.02 0.54 0.75 0.75
19.72 21.95 35.11 14.21 14.23 12.76 11.66 14.75 17.53 19.73 24.21 12.58 25.40 18.50
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

MCX: Bhavcopy data, FBIL: MIBOR rate