Commodity Markets

This page presents the aggregate of size and market quality measures for select agri and nonagri commodity futures. Agri commodities include Guargum, Guarseed, Soybean, Soy Oil and Turmeric. Nonagri commodities include Aluminium, Copper, Crude Oil, Gold, Lead, Natural Gas, Silver and Zinc.

(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)


.
ADTV (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
221.81 218.58 222.96 210.87 226.21 242.46 266.80 288.43 324.28 256.40 280.20 261.13 323.28 351.35
0.08 0.00 -0.24 -0.15 -0.47 0.79 0.02 0.20 0.00 -0.42 -0.52 -0.17 -0.60 -0.42
31.78 22.81 18.78 17.78 20.15 43.48 30.66 25.40 33.16 30.23 21.03 24.21 19.46 23.35
56.39 54.92 58.65 52.78 59.86 51.50 45.71 34.34 48.47 62.96 65.36 50.31 62.52 63.32
0.88 1.01 0.78 0.83 1.02 0.96 1.04 0.89 0.88 0.95 0.68 0.94 1.17 1.19
31.49 23.82 20.74 18.99 21.93 36.14 28.13 27.75 35.27 27.78 22.29 23.45 21.42 24.02
Legend

ADTV: Average Daily Traded Volume; Max OI: Maximum Open Interest; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

MCX, NCDEX: Bhavcopy data, FBIL: MIBOR rate, USD-INR reference rate