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Basis, representing the spread between spot and futures prices at a given moment, is one of the main indicators of the derivatives market. Its role is of special importance for hedgers, as the basis risk is believed to be one of the crucial factors of hedging performance. Previous studies have revealed that there are many market factors which could influence basis, such as spot market liquidity, volatility, interest rate, investor structure, etc. However, they are highly market-specific. This study uses the prices of the Warsaw Stock Exchange blue chip index (WIG20) and of the corresponding contract to examine the relationship between the basis and other market features that affect the spot-futures spread. The multiple regression and VAR methodologies are applied to identify the leading indicators of the WIG20 index futures basis and to explore possible causal relationships. The results indicate that as spot market volatility increases so does basis spread. The evidence of the Granger causality between basis and volatility was also found, however, under different market conditions the leading indicator changed. [ABSTRACT FROM AUTHOR]