NCDEX launches futures index

The National Commodity and Derivatives Exchange (NCDEX) on Monday launched Futexagri, a futures index based on exchange traded prices of agricultural commodities.

The futures index is provided to market participants only for information, NCDEX said. It is a sequel to the NCDEX Agri Index — launched in May — that is based on spot prices of the same basket of commodities, said a release. The NCDEX Agri Futures Index is based on the prices of the nearest month expiry contracts and will be updated on a real-time basis against twice daily for the spot index. This index, if looked in tandem with the spot index, will convey to the market participants the returns the commodity market is offering for one month, the release added.

The base for the construction is the average of the prices that prevailed in 2001, as is the case with the spot index, it said. The futures index will go up at the time of expiry of contracts that constitute the index because of the roll-over cost.

Therefore, in order to achieve a smooth roll-over, the futures contract prices that constitute the index will be reduced at the rate of 20 per cent per day, five days before the expiry of the contract, NCDEX said. Simultaneously, the futures prices of the contracts that expire next shall be increased at the same rate.