Copper 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
16.28 16.66 15.78 17.61 17.75 17.86 20.76 16.99 22.71 17.54 13.68 13.31 13.47 15.56
9.80 8.31 7.34 6.29 10.36 11.46 2.77 2.45 3.96 4.17 3.97 2.89 3.22 2.53
0.14 0.21 -0.11 0.04 -0.11 10.09 0.64 0.92 0.65 -0.28 -2.18 -2.98 -1.36 -1.02
23.17 20.09 15.70 17.61 15.02 303.02 153.84 11.85 12.63 11.18 16.29 17.56 14.03 16.39
47.83 42.11 52.63 61.60 45.45 40.64 19.42 18.45 23.88 57.65 98.92 100.00 85.24 96.03
0.63 1.20 0.88 0.62 0.96 0.54 0.69 0.61 1.05 0.84 0.59 0.64 1.09 1.06
22.62 17.65 13.34 15.34 17.16 157.56 103.88 14.26 12.86 10.58 12.96 19.17 14.11 14.97
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