Equity Market
This page presents the aggregate of size and market quality measures for two segments of the Equity market: (1) spot, and (2) equity derivatives. Market size includes ADTV for all stocks in the spot segment, NIFTY futures and options, and the 50 most liquid single stock futures and options. Market quality measures focus on the spot, the single stock futures, and the NIFTY futures segment.
(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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 3,092.26 | 3,898.09 | 4,470.01 | 4,881.76 | 5,364.99 | 5,580.09 | 5,829.32 | 6,838.72 | 6,523.21 | 6,731.40 | 5,819.51 | 5,567.49 | 6,638.85 | 7,786.07 |
| -0.01 | -0.03 | -0.02 | 0.11 | -0.01 | -0.05 | -0.10 | -0.11 | -0.03 | -0.09 | -0.04 | 0.01 | 0.01 | -0.11 |
| 1.40 | 1.93 | 1.97 | 1.96 | 1.90 | 2.40 | 2.51 | 2.68 | 2.30 | 2.53 | 2.18 | 2.00 | 1.45 | 2.37 |
| 33.04 | 27.51 | 16.01 | 8.35 | 25.62 | 29.10 | 40.78 | 43.06 | 25.04 | 32.57 | 27.94 | 14.82 | 19.96 | 36.85 |
| 0.97 | 1.04 | 0.86 | 0.95 | 1.01 | 0.98 | 0.94 | 0.94 | 0.98 | 0.88 | 0.85 | 0.96 | 0.99 | 0.93 |
| 27.27 | 33.07 | 29.82 | 29.03 | 33.55 | 34.27 | 33.10 | 35.99 | 40.89 | 56.49 | 39.84 | 32.29 | 26.05 | 33.70 |
Legend
ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio
Sources
NSE: Bhavcopy data, FBIL: MIBOR rate
More details on coverage and measures can be found here.