NIFTY 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
132.71 129.67 121.09 128.99 161.34 141.83 135.99 169.28 173.65 156.49 125.86 105.48 124.06 152.11
327.89 268.41 315.85 287.94 319.29 284.93 274.29 251.39 263.50 211.71 227.47 212.02 195.59 227.83
-0.05 -0.07 0.05 0.19 -0.03 -0.03 -0.14 -0.10 0.03 -0.04 0.03 0.08 0.04 -0.21
1.49 2.11 1.45 2.24 2.14 2.52 2.22 1.82 1.41 1.77 1.68 1.66 1.42 2.92
72.73 55.56 20.00 0.00 54.55 52.63 87.50 88.89 40.00 66.67 45.00 11.11 26.09 83.33
0.82 1.32 0.80 0.95 1.07 1.13 1.02 0.95 1.03 0.83 0.70 1.07 0.95 0.89
13.47 11.21 10.10 9.71 15.04 16.19 14.85 15.11 20.07 27.65 10.21 9.04 11.55 15.92
Legend

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

Sources

NSE: Bhavcopy data, FBIL: MIBOR rate