India’s first volatility index, India VIX (based on the Nifty 50 Index Option prices) was launched by NSE in April 2008.
India VIX: Volatility IndexVIX is a measure of the implied volatility of Nifty 50 Index Option prices over the next 30 day period. It is an estimate of investor sentiment and is a helpful indicator of the amount the market is expected to "fluctuate" in the near term. Higher the implied volatility, higher the India VIX value and vice-versa. "VIX" is a trademark of Chicago Board Options Exchange, Incorporated ("CBOE") and Standard & Poor's has granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for purposes relating to the India VIX.
How to interpret VIX?
The VIX is quoted in terms of percentage points and translates, roughly, to the expected movement in the Nifty 50 Index over the next 30-day period, on an annualized basis. For example, if the VIX is at 15, this represents an expected annual change of 15%; thus one can infer that the index option markets expect the Nifty 50 to move up or down over the next 30-day period. That is, if, for example, the Nifty 50 is currently at 100, then the estimated 30-day change in the Nifty 50 will be within 4.3 points up or down.
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