Interest rate futures (IRF) are trading on three major exchanges in India NSE, BSE and MCX-SX. The underlying for IRF is the ten year benchmark government of India bond. The ten year benchmark bond as of March 2014 is the 8.83% 2023 government bond. Learn about the IRF contract here.
The weekly report on Interest rate futures will give you an analysis of the trend of Volumes, Price, Open Interest and Calendar Spreads.
The IRF contract traded on the NSE (National Stock Exchange) is analysed as NSE volumes account for around 70-80% of total IRF volumes across all exchanges.
Three derivative contract are traded at a time, one month contract, two months contract and three months contract. Maximum volume is seen in the near month contract.
Volumes in the NSE decreased from Rs 4.93 billion on a daily average basis to Rs 2.36 billion as of 28th March 2014.
Open Interest (OI) decreased week on week. On 24th March 2014 total OI was 62,342 contracts and on 28th March 2014 it was 55,705 contracts.
Calendar spreads widen week on week from 2 bps to 11 bps. On the 24th of March, One month contract in NSE closed at Rs 100.2900 whereas the two months contract closed at Rs 100.2650 giving calendar spreads of 2 bps. On 28th Mar 2014, one month contract was trading at Rs 99.9500 and two months contract was trading at Rs 99.8375 giving calendar spreads of 11 bps.
