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Performance review of the commodity derivatives contracts

..... Exchanges having commodity derivatives segment except those in International Financial Services Centre Sub: Dear Sir / Madam, 1. The primary objective of the commodity derivatives market is to provide credible future price signals to market participants and an effective platform for hedging the price risks. In order to ensure that the derivatives contracts are closely aligned to the physical markets, it is imperative to have a framework to evaluate the performance of these contracts based not merely on statistics regarding delivery and trade volumes but also on the strength of a comprehensive empirical assessment after considering all relevant information, pertaining to the performance of a derivative contract during the relevant period of .....

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..... cessary amendments to the relevant bye-laws, rules and regulations. ii. bring the provisions of this circular to the notice of the stock brokers of the Exchange and also to disseminate the same on their website. iii. communicate to SEBI, the status of the implementation of the provisions of this circular. 7. This Circular is available on SEBI website at www.sebi.gov.in under the category Circulars and Info for Commodity Derivatives . Yours faithfully, Vikas Sukhwal General Manager Division of New Products and Market Policy Commodity Derivatives Market Regulation Department vikass@sebi.gov.in Annexure I Parameters for Performance Review of Commodity 1. Background a. Brief about the commodity such as sample picture, lifecycle and various vari .....

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..... nual value of delivery (in Rs. Crores) i. Monthly and Annual Average Open Interest (OI) (in appropriate units) j. Annual average volume to open interest ratio k. Total number of unique members and clients who have traded during the financial year l. Ratio of open interest by FPOs/farmers/Hedge/VCP positions to total open interest (Annual average as well as maximum daily value) m. Number of unique FPOs / farmers and VCPs/hedgers who traded in the financial year n. Algorithmic trading as percentage of total trading O. Delivery defaults Number of instances Quantity involved Value involved 3. Price movements a. Comparison, correlation and ratio of standard deviation of Exchange futures price vis-à-vis international futures price (whereve .....

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