Currency Market

This page presents the aggregate of size and market quality measures for three segments of the USD-INR Currency market: (1) spot, (2) exchange traded derivatives (3) over-the-counter forwards Market size includes ADTV in the spot, futures and options, and the forward segments. Market quality measures focus on the spot, futures, and forwards.

(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
2,893.99 3,509.47 4,134.31 4,261.24 3,243.36 3,479.91 3,013.52 3,568.96 3,323.60 3,164.59 3,298.25 3,266.08 3,160.16 3,508.31
-0.27 -0.22 -0.22 -0.19 -0.21 -0.20 -0.20 -0.15 -0.10 -0.12 -0.15 -0.19 -2.71 2.63
4.14 2.74 2.91 3.16 2.71 2.58 2.38 2.59 2.92 2.47 2.29 2.28 44.58 184.48
86.23 84.88 88.90 77.59 85.49 81.52 90.71 62.85 66.20 79.86 81.59 77.05 87.91 69.84
1.13 0.90 1.00 0.98 0.92 1.17 1.10 1.21 1.01 0.83 1.17 1.41 1.26 0.69
7.69 4.57 6.16 7.09 6.65 5.20 4.42 6.11 7.98 6.93 5.31 3.84 73.55 299.96
Legend

ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

BSE, MCX-SX, NSE: Bhavcopy data; CCIL: Daily data on currency spot and forwards market; FBIL: MIBOR rate, USD-INR reference rate