uTrade AlgosIndia VIX, or the India Volatility Index, is an index that measures the market’s expectation of volatility in the near term. It is also called the ‘Fear Index’ because it indicates the level of uncertainty or risk in the market.
How is India VIX Calculated?
India VIX is derived using the Black-Scholes Model, based on the prices of NIFTY 50 out-of-the-money (OTM) options. Here’s how it works:
Uses NIFTY 50 Options Data
- India VIX is calculated from the bid-ask prices of near-term NIFTY 50 options contracts.
- Both Call & Put Options are used to assess the implied volatility.
Implied Volatility (IV) is Key
- Instead of actual price movements, it is based on the market’s expectations.
- Higher option premiums indicate higher expected volatility, leading to a higher India VIX.
Averaging and Normalisation
- The formula incorporates a range of strike prices.
- It expresses volatility in annualised percentage terms using the order book of the underlying index options.
Interpreting India VIX Values
High India VIX (e.g., above 25)
- Markets expect significant price swings (high uncertainty).
- Often seen during crises, elections, or major global events.
Low India VIX (e.g., below 15)
- Markets are stable with low fear.
- Investors expect less volatility in NIFTY 50.
How to Check India VIX on Share India:
If you want to keep an eye on India VIX and overall market trends, you can check out our daily reports. They cover market sentiment, expert takes, trading suggestions, and key data points. You can find them in Share India’s Daily Research Reports.
Also, you can view real-time India VIX on the platform. Here’s how:
Step 1: Seach for ‘Indiavix’ in the the seach bar under the Watchlist section.
Step 2: Click or tap on it to add it to your Watchlist and monitor the index in real time.
If you have any queries or want any help from us, you can contact the Share India support team via email at support@shareindia.com or by phone at 1800 203 0303.