Lead 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 9.65 | 9.94 | 10.60 | 8.55 | 7.79 | 8.02 | 7.48 | 6.24 | 5.60 | 4.96 | 3.35 | 2.18 | 0.00 | 0.00 |
| 2.37 | 1.97 | 4.21 | 4.94 | 4.92 | 3.24 | 2.21 | 1.40 | 1.38 | 2.05 | 1.36 | 1.06 | 0.01 | 0.01 |
| 0.24 | 0.23 | -0.02 | 0.20 | 1.88 | -0.39 | 0.03 | -0.66 | -2.25 | -2.16 | -2.76 | -2.00 | -3.26 | -4.65 |
| 11.59 | 12.41 | 9.69 | 11.28 | 20.04 | 41.50 | 19.23 | 15.55 | 16.67 | 19.02 | 34.17 | 21.02 | 22.24 | 26.51 |
| 29.97 | 42.11 | 46.30 | 27.31 | 28.97 | 57.50 | 46.46 | 74.30 | 95.86 | 83.61 | 92.36 | 94.44 | 100.00 | 100.00 |
| 1.12 | 1.27 | 1.27 | 0.96 | 0.97 | 0.85 | 1.04 | 0.48 | 0.56 | 1.13 | 0.39 | 0.87 | 0.65 | 0.44 |
| 17.45 | 17.73 | 19.84 | 16.37 | 21.05 | 54.21 | 18.28 | 16.84 | 17.62 | 17.85 | 20.53 | 11.31 | 14.01 | 17.04 |
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
More details on coverage and measures can be found here.