Hello,
I have developed a strategy which involves USD -INR currency futures as one of the asset. I wanted to know which exchange in India should I choose to get the best liquidity for near month contracts especially. ANd also wanted to know how is the liquidity of USD INR near month and current month futures. For reference, the capital used will be 1 Crore + INR if results are promising in forward testing.
Thanks,
Karthik
Hi Karthik
In terms of higher liquidity for the near month, NSE is the clear winner. You can compare the volumes traded for NSE and BSE on the links.
As to whether the markets themselves are liquid or not for your capital, you can compare the turnover available on the website with the capital you will deploy. As of this writing, 1 crore worth of capital is approximately 0.02% of the total market turnover (this figure would change as the data is updated during the day).
Therefore, in my opinion, the market is indeed liquid.
Also, to give clarification, the near month futures are the futures with the nearest expiration date, i.e., the spot month. By the near month in your question, if you imply the next month futures, a simple comparison shows that the volume falls drastically for the next expiration date. As of this writing, the next month futures volume is 16% of the near month volume, i.e., a drastic fall in liquidity.
Hope the above explanation answers your queries.
Thanks,
Rishabh