Volatility
India VIX and risk premium, the IV term structure, 25Δ skew and the market-implied distribution — the vol picture from live option prices.
What the Volatility dashboard shows
The volatility picture for NIFTY, BANKNIFTY, SENSEX and the other tracked indices, assembled from live option prices. India VIX is one number; this page shows what sits around it — how implied volatility compares with what the market actually delivered (the volatility risk premium), how IV is priced across expiries (the term structure and its regime), what the market is paying for downside versus upside protection (25-delta skew), and the full probability map option prices imply for where the index might land.
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Volatility, section by section, in a 3-minute video, also in Hindi, Tamil, Telugu, Kannada and Malayalam.
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How to read it
- India VIX & VRP — implied volatility against realized volatility (RV30, the last 30 days' delivered movement), charted together with the premium between them. A rich premium means options are expensive relative to delivered movement — seller-friendly; a thin or negative premium means the market is under-pricing risk. India VIX covers NIFTY only, so this card always reads NIFTY, with VIX's own 1-year and 3-year percentiles and the expected daily move it implies.
- VRP percentile — today's premium ranked against recent history, so 'expensive' and 'cheap' are relative to the market's own recent normal.
- IV Rank — the chosen index's at-the-money IV on a 0–100 scale between the lowest and highest daily readings on record, with the percentile — the share of those days that were lower than today. Low means option premiums are cheap against their own history, high means dear: a read on price, not on direction.
- IV Surface — implied volatility across strike and expiry as one grid — strikes as % away from spot across, expiries down, darker cells dearer. The ridge on the put side is the price of downside protection; watch it steepen before events and flatten after.
- IV Term Structure — ATM IV across expiries. Upward-sloping (contango) is the calm-market default; an inverted curve (backwardation) means near-term stress is being priced above the future — a regime worth respecting. The forward vol under it is what the market implies for the stretch between the two nearest expiries, once the front one is out of the way.
- 25Δ skew — the IV gap between 25-delta puts and calls (RR25) — what the crowd pays for crash protection versus upside — through the day, with the 25-delta put and call IVs and ATM IV. Widening skew is hedging demand building; BF25 rising means both tails are being bid, the market pricing an event either way.
- Implied distribution — the probability-weighted map of where the index finishes by the front expiry, backed out of option prices and drawn against a plain lognormal curve, with chips for the chance of closing above three levels. Read the shape and the tails rather than any single number.
Frequently asked questions
The volatility risk premium is the gap between India VIX (implied volatility) and realized volatility over the last 30 sessions. A positive VRP means options are pricing more movement than the market has delivered — the usual state; a negative VRP means realized turbulence has overtaken what options imply.
The IV term structure plots at-the-money implied volatility across expiries. An upward slope (contango) is normal; an inverted curve — near-dated IV above far-dated — signals event risk or stress concentrated in the near term.
25-delta skew (risk reversal) compares the implied volatility of 25-delta puts against 25-delta calls. Richer puts mean the market is paying up for crash protection; the OIData skew panel tracks this spread live for NIFTY, BANKNIFTY and SENSEX.