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 18.05 billion on a daily average basis to Rs 10.62 billion as of 21st April 2014.
Open Interest (OI) increased week on week. On 11th April 2014 total OI was 64,514 contracts and on 21st April 2014 it was 79,516 contracts.
Calendar spreads widen week on week from 30 bps to 5 bps. On the 11th of April, One month contract in NSE closed at Rs 99.1700 whereas the two months contract closed at Rs 98.8700 giving calendar spreads of 30 bps. On 21st April 2014, one month contract was trading at Rs 99.7400 and two months contract was trading at Rs 99.6900 giving calendar spreads of 5 bps.