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 increased from Rs 5.60 billion on a daily average basis to Rs 8.29 billion as of 19th May 2014.
Open Interest (OI) increased week on week. On 12th May 2014 total OI was 55,604 contracts and on 19th May 2014 it was 68,375 contracts.
Calendar spreads narrowed week on week from 20 bps to 16 bps. On the 12th May 2014, One month contract in NSE closed at Rs 100.4750 whereas the two months contract closed at Rs 100.2775 giving calendar spreads of 20 bps. On 19th May 2014, one month contract was trading at Rs 99.6780 and two months contract was trading at Rs 99.5175 giving calendar spreads of 16 bps.