Gold 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
37.93 37.91 47.45 33.80 41.59 53.43 73.98 74.15 82.37 55.74 58.57 48.99 73.20 74.13
73.30 77.64 68.34 56.03 58.19 81.43 112.96 107.46 114.90 87.22 82.69 83.34 99.49 106.79
-0.80 -0.53 -0.54 -0.42 -0.28 -0.04 0.24 0.81 0.33 -1.06 -0.79 -0.62 -0.22 -0.54
7.72 6.36 6.85 7.04 7.35 6.89 9.44 15.32 13.92 13.75 11.07 9.63 8.87 9.27
100.00 82.92 81.11 79.43 71.96 51.61 47.80 14.21 28.83 85.26 87.10 74.49 69.25 80.38
0.92 1.12 0.80 1.00 0.83 1.08 0.88 1.04 0.83 0.79 0.58 1.17 1.29 0.97
9.69 8.80 10.83 11.84 11.10 11.09 12.29 19.51 19.23 15.11 12.26 8.80 10.98 12.01
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