Crude 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
79.47 83.01 80.92 84.98 102.45 97.76 96.91 113.14 125.75 98.93 119.03 120.56 161.52 189.05
7.93 5.50 5.51 10.84 7.69 7.04 7.16 6.56 6.46 7.80 10.27 13.65 11.18 12.79
0.81 0.27 -0.13 0.28 -0.69 0.64 -0.14 -0.17 -0.09 -0.01 0.00 0.34 -0.70 -0.34
48.41 34.66 28.29 21.11 28.49 35.27 29.91 39.57 57.81 48.86 22.84 28.31 21.83 28.71
42.83 46.93 47.07 33.48 54.30 47.07 47.71 44.59 63.41 50.00 47.37 29.90 58.05 55.13
0.81 0.90 0.56 0.82 1.09 1.09 1.24 0.94 0.84 1.06 0.62 0.90 1.23 1.33
46.61 33.76 27.07 20.78 29.60 37.66 30.11 40.46 55.33 40.41 22.97 27.50 24.91 27.73
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