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
More details on coverage and measures can be found here.