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 8.29 billion on a daily average basis to Rs 9.96 billion as of 26th May 2014.
Open Interest (OI) decreased week on week. On 19th May 2014 total OI was 68,375 contracts and on 26th May 2014 it was 61,026 contracts.
Calendar spreads marginally narrowed week on week from 16 bps to 15 bps. On the 19th May 2014, One month contract in NSE closed at Rs 99.6780 whereas the two months contract closed at Rs 99.5175 giving calendar spreads of 16 bps. On 26th May 2014, one month contract was trading at Rs 101.0000 and two months contract was trading at Rs 100.8500 giving calendar spreads of 15 bps.