Non-Agri Commodities

This page presents the aggregate of size and market quality measures for select nonagri commodity futures. It covers base metals such as Aluminium, Copper, Zinc and Lead, bullion and Crude Oil and Natural Gas.

(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
210.37 210.18 214.21 201.35 217.35 234.33 257.75 279.30 315.45 249.15 268.42 248.80 311.56 341.70
130.45 127.38 123.83 118.39 127.18 147.72 162.70 154.19 159.33 130.45 132.70 132.42 139.77 144.70
0.13 0.07 -0.18 -0.10 -0.43 0.89 0.05 0.23 0.05 -0.39 -0.54 -0.18 -0.55 -0.36
32.63 23.05 19.05 17.97 20.44 44.50 31.21 25.77 33.59 30.37 21.15 24.65 19.45 23.45
55.56 53.31 57.33 52.09 58.82 49.96 44.48 33.19 47.74 62.49 66.09 50.61 61.87 62.53
0.88 1.01 0.77 0.83 1.02 0.96 1.04 0.89 0.88 0.95 0.68 0.95 1.18 1.19
32.13 24.01 20.98 19.10 22.26 36.92 28.57 28.12 35.77 28.05 22.43 23.80 21.46 24.09
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