The effect of information flow coupled with trading volume and open interest yields interesting results. After dissecting both trading volume and open interest into expected and unexpected components, they have been included into the variance equations. A positive relationship has been found between volatility and expected trading volume in pepper and guar seed, whereas a negative relationship has been observed in cumin and soy oil. Contrary to this, a positive relationship between unexpected trading volume and volatility has been found in all the commodities except in soy oil where the effect of unexpected trading volume is insignificant.