Continuing the topic from here, I collected some data from TradeTiger and here are some observations about BNF (haven't worked with NF so far).
It's not a formula, no conclusions, just observations. It does seem that the BNF goes into discount towards the end of the series.
I am attaching the xls here. The data is EOD data taken from sharekhan's software, so I suppose it is the adjusted price, not LTP. I know there can be many questions about the integrity of the data, but this is just an idea. Maybe the Amibroker guys can do a better job about it.
Also, if you can add the dates of the previous expiry and days of expiry, it would be very helpful.
It's not a formula, no conclusions, just observations. It does seem that the BNF goes into discount towards the end of the series.
I am attaching the xls here. The data is EOD data taken from sharekhan's software, so I suppose it is the adjusted price, not LTP. I know there can be many questions about the integrity of the data, but this is just an idea. Maybe the Amibroker guys can do a better job about it.
Also, if you can add the dates of the previous expiry and days of expiry, it would be very helpful.
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