Silver 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
16.82 19.55 17.75 21.65 19.35 25.73 28.88 39.88 45.81 35.32 32.90 29.08 37.30 38.13
23.57 21.77 26.69 28.83 36.87 32.58 24.55 26.00 21.16 15.71 20.58 18.62 16.00 15.20
0.07 -0.26 -0.10 -0.10 -0.08 0.18 0.50 0.63 0.56 -0.61 -0.57 -0.12 -0.23 -0.53
9.57 7.67 15.12 9.99 10.05 9.04 12.61 14.12 21.03 17.88 16.06 13.27 13.85 16.14
55.69 68.79 69.00 55.99 51.32 34.26 23.73 11.11 25.22 62.82 78.64 55.56 65.04 70.61
1.07 0.99 0.58 0.67 1.05 0.71 1.18 0.75 0.97 0.79 0.90 1.36 1.05 1.03
12.93 11.24 18.48 15.55 14.62 13.54 16.39 18.95 32.12 25.47 17.28 12.56 14.80 22.29
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