Single Stock 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
363.04 351.73 344.51 419.94 407.17 370.62 407.83 392.79 443.91 466.53 444.42 382.32 415.09 449.99
779.22 777.06 871.79 884.25 817.51 840.08 799.47 815.94 881.09 865.43 946.12 935.59 937.44 901.57
0.00 -0.05 -0.06 0.17 -0.01 -0.10 -0.15 -0.21 -0.09 -0.19 -0.10 0.00 0.02 -0.16
2.48 3.61 4.28 3.46 3.46 4.37 4.53 5.33 4.57 4.91 4.36 3.78 2.68 4.27
44.85 41.87 31.85 17.69 36.67 44.68 56.34 60.02 40.19 48.55 49.11 28.36 34.95 53.79
0.98 0.99 0.85 0.94 1.00 0.96 0.91 0.93 0.96 0.85 0.85 0.98 1.00 0.93
29.14 33.81 30.16 28.92 35.56 34.39 33.97 39.60 44.67 64.51 41.92 32.90 27.07 35.17
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