Natural Gas 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 18.57 | 8.54 | 7.41 | 5.81 | 6.88 | 8.57 | 9.46 | 13.11 | 16.22 | 23.25 | 29.46 | 26.76 | 26.06 | 24.83 |
| 1.58 | 2.10 | 1.60 | 2.41 | 2.07 | 3.78 | 4.78 | 3.90 | 4.23 | 5.87 | 8.06 | 8.04 | 9.85 | 7.35 |
| -0.52 | 0.16 | -0.42 | 0.18 | -0.07 | -0.16 | -0.28 | 0.34 | 0.23 | 1.33 | -0.32 | 0.24 | -0.58 | 0.74 |
| 77.32 | 62.30 | 28.07 | 20.74 | 26.98 | 33.91 | 37.20 | 37.30 | 32.88 | 33.62 | 40.19 | 54.31 | 45.29 | 41.43 |
| 54.57 | 41.58 | 56.31 | 57.25 | 44.95 | 48.88 | 53.68 | 47.60 | 58.13 | 41.17 | 55.88 | 53.56 | 48.12 | 32.15 |
| 1.23 | 0.94 | 0.75 | 1.12 | 1.08 | 1.06 | 0.78 | 0.84 | 1.43 | 1.32 | 0.78 | 0.53 | 0.80 | 1.11 |
| 67.91 | 50.28 | 26.25 | 19.74 | 25.28 | 35.17 | 39.95 | 36.51 | 31.91 | 31.43 | 50.95 | 52.87 | 42.82 | 40.97 |
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
More details on coverage and measures can be found here.