USD-INR 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
269.65 276.19 295.64 298.95 255.84 250.47 201.20 355.27 311.68 257.49 263.28 274.00 252.73 324.06
245.39 260.75 235.81 300.58 305.68 289.19 249.94 535.40 434.22 319.39 353.09 426.69 355.23 417.12
-0.12 -0.10 -0.10 -0.01 -0.02 -0.04 -0.09 -0.04 0.01 -0.07 -0.05 -0.08 -0.12 -0.06
5.25 2.98 3.81 4.58 3.46 3.17 2.26 2.72 3.14 2.83 2.70 2.74 2.67 2.45
72.73 66.67 75.00 61.54 61.90 58.82 84.21 44.44 46.15 63.16 70.00 60.00 73.91 50.00
1.20 0.55 0.99 0.23 0.89 1.06 0.83 0.92 1.15 1.12 1.04 1.08 1.46 0.74
8.04 4.74 5.88 6.92 5.71 6.26 4.25 6.51 8.11 6.53 4.14 3.98 4.03 2.93
Legend

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

Sources

BSE, MCX-SX, NSE: Bhavcopy data; FBIL: MIBOR rate, USD-INR reference rate