Latest news with #VolatilityIndex
Yahoo
2 hours ago
- Business
- Yahoo
Bitcoin Volatility Alert: VIX's Bullish August Seasonality Points to Big Price Swings
Bitcoin (BTC) volatility bulls may soon get their wish because seasonal patterns in Cboe's Volatility Index (VIX) suggest Wall Street is poised for increased turbulence. The VIX measures the anticipated 30-day swings of the S&P 500 benchmark. Its historical pattern, according to shows a frequent August surge, often preceded by a decline in July. August stands out as having the highest average monthly gain, 13.68%, over the past 15 years, rising in 10 of those years, including a monumental 135% spike in 2015. History repeating itself? The VIX fell for a third straight month in July, extending the slide from April highs. It hit a five-month low of 14.92 on Friday, according to data source TradingView. If history is a guide, this decline is likely setting the stage for the August boom in volatility and risk aversion on Wall Street. The VIX, which has been nicknamed the Fear Gauge, spikes higher when stock prices decline and falls when they rise. In other words, the expected volatility boom on Wall Street could be marked by a stock market swoon, which could spill over into the bitcoin market. Bitcoin tends to track the sentiment on Wall Street, especially in the technology stocks, fairly closely. BTC's implied volatility indices have developed a strong positive correlation with the VIX, signaling a steady evolution into VIX-like fear gauges. Since November, BTC's 30-day implied volatility indices have declined sharply, ending the positive correlation with the spot while retrieving data Sign in to access your portfolio Error while retrieving data Error while retrieving data Error while retrieving data Error while retrieving data
Time of India
19-07-2025
- Business
- Time of India
How Volatility Index (VIX) empowers traders with forward-looking view of risk
Tired of too many ads? Remove Ads What is India VIX and why Is it Important? Tired of too many ads? Remove Ads How is India VIX calculated? Interpreting VIX Levels: What Does a Number Mean? Historical Levels of VIX since May 2008 Tired of too many ads? Remove Ads India VIX and Nifty: A Negative Correlation Correlation of VIX with Nifty since May 2008 How VIX Moves Differently During Nifty's Gains and Losses Average Movement in VIX Levels in relation to Nifty since May 2008 Average Daily Change in Nifty Relative Average Daily Change in VIX < -5% 9.30% -5% to -3% 9.61% -3% to 0% 2.03% 0% to 3% -1.67% 3% to 5% -3.61% > 5% -1.46% Don't Ignore Volatility (Disclaimer: The opinions expressed in this column are that of the writer. The facts and opinions expressed here do not reflect the views of .) The concept of a Volatility Index (VIX) was first introduced by the Chicago Board Options Exchange (CBOE) in 1993. Originally, based on the S&P 100 index, it was revised in 2003 to track the S&P 500 options, and soon gained popularity as the market's "Fear Gauge." It provided investors with a real-time estimate of expected market volatility derived from option the utility of this indicator, the National Stock Exchange (NSE) of India launched its own version called the India VIX in 2008, using the methodology licensed from the CBOE. The India VIX is based on the Nifty 50 Index options and represents the market's expectation of volatility over the next 30 calendar launch was driven by the increasing complexity in Indian capital markets, the rise in derivatives trading, and the need for a standardized metric to measure implied volatility, thereby empowering investors with a forward-looking view of VIX is a measure of implied volatility derived from option prices, which captures the market's collective expectation of near-term volatility. Unlike traditional equity indices that measure price levels, the VIX reflects sentiment and anticipated market fluctuations. Specifically, India VIX uses order book data from near and next-month Nifty 50 index options traded on the NSE.A VIX reading of 15, for instance, implies an annualized expected volatility of 15% over the next 30 days. The importance of VIX lies in its ability to serve as an indicator of expected market volatility. Higher VIX values correspond with greater uncertainty, while lower readings may imply market stability. Market participants, including institutional investors and asset managers, often monitor the VIX as one of several indicators to perform risk management, hedging strategies, and tactical asset allocation decisions. India VIX is one of many tools that can provide context on changing market calculation of India VIX is rooted in a methodology adopted from the CBOE, tailored to suit the Indian derivatives market. It involves using bid-ask quotes of out-of-the-money (OTM) call and put options from the near and next-month expiry contracts of the Nifty 50 index. These OTM options are chosen because they are more sensitive to volatility expectations and provide a clearer picture of anticipated market movements. For each selected option strike, the midpoint of the bid and ask price is computed. These midpoints are then weighted based on strike intervals, adjusted for the risk-free interest rate, and aggregated to calculate the variance. Finally, the result is annualized to yield the India simpler terms, India VIX quantifies the level of implied volatility embedded in the premiums of Nifty options. When traders expect high volatility, they are willing to pay more for protection, which in turn raises the VIX value.: NSE, MO AMC. Data as on 17th June VIX values can be interpreted to understand prevailing market sentiment. Generally, a VIX reading below 13 signifies a calm market with low expected volatility, while a range of 13 to 17 is considered normal. Values between 17 and 25 suggest increasing nervousness among investors, and a VIX above 25 indicates elevated volatility and potential market turbulence. These levels act as critical signals for asset managers and retail investors researchers have also explored how VIX can be used for timing strategies between large-cap and mid-cap segments. A rising VIX typically favors a shift towards large-cap exposure, while a falling VIX can encourage allocation to mid-caps and lowest India VIX level was recorded in July 2023 at around 10.14, during a period of market consolidation. In the following 12 months, the Nifty delivered a strong return of approximately 26.4%, reflecting investor confidence during low volatility. In contrast, the highest VIX levels were seen during major global shocks – above 85 in November 2008 during the Global Financial Crisis, and over 80 in March 2020 during the COVID-19 these periods of elevated volatility, markets rebounded sharply. After the 2008 spike, the Nifty returned about 80.8% over the next year. Similarly, after the COVID-induced VIX surge, the Nifty posted a strong recovery of nearly 83.6%. These patterns show that extreme volatility often precedes strong market rallies.: NSE, MO AMC. Data as on 17th June India VIX has exhibited a strong negative correlation with the Nifty 50 Index. When the Nifty experiences a sharp decline, the VIX typically spikes, reflecting heightened uncertainty fear and increased demand for protective derivatives. Conversely, during market rallies, VIX tends to fall, indicating reduced average correlation between Nifty and India VIX is -0.41 based on the data analysed since 2008. This inverse relationship makes India VIX a valuable tool for hedging, especially for passive and index investors who seek to protect portfolios from adverse studies have also emphasized the asymmetrical nature of VIX's relationship with market returns – it reacts more sharply to market downturns than to example, on 7th April 2025, India VIX surged by 65% when the Nifty dropped 3.24% due to global uncertainties. In contrast, on 28th October 2008, even as the Nifty jumped 6.35%, VIX fell by around 33%. This pattern illustrates that VIX reacts more aggressively to market declines than to market gains.: NSE, MO AMC. Data as on 17th June asymmetrical relationship between Nifty and VIX is evident in how VIX levels respond across different ranges of Nifty's average daily the Nifty falls, especially during sharp declines, VIX tends to rise significantly. For instance, if Nifty drops by more than 5%, the VIX shoots up by an average of 9.3%. Similarly, for a fall between 3% and 5%, the VIX still increases by around 9.6%. This indicates a strong spike in market uncertainty during negative events. On the other hand, when the Nifty rises, the VIX does not drop as sharply. For example, in cases where the Nifty gains more than 5%, the VIX decreases only by about 1.5%. Even for gains between 3% and 5%, VIX drops by just 3.6%.This pattern highlights that VIX is considerably more sensitive to market declines than to rallies. The market tends to react more strongly to downside risk than to upward movements. This imbalance reinforces why volatility indices are seen as early warnings for downside risk and not for upside is not merely a risk factor but a dimension of the market that holds valuable insights. The India VIX serves as a transparent, real-time indicator of investor sentiment and expected market fluctuation. For index fund investors, ETF product managers, and mutual fund professionals, integrating VIX into investment frameworks can offer a strategic advantage. Whether it is used for hedging, asset allocation, or sentiment monitoring, the importance of VIX cannot be India's financial markets evolve, the inclusion of volatility-linked products like a VIX ETF could deepen the passive investment landscape and provide new tools for portfolio resilience. While challenges remain, the foundation is already in place. With thoughtful design and education, volatility could indeed become a tradable and manageable asset class.
Economic Times
19-07-2025
- Business
- Economic Times
How Volatility Index (VIX) empowers traders with forward-looking view of risk
What is India VIX and why Is it Important? Live Events How is India VIX calculated? Interpreting VIX Levels: What Does a Number Mean? Historical Levels of VIX since May 2008 India VIX and Nifty: A Negative Correlation Correlation of VIX with Nifty since May 2008 How VIX Moves Differently During Nifty's Gains and Losses Average Movement in VIX Levels in relation to Nifty since May 2008 Average Daily Change in Nifty Relative Average Daily Change in VIX < -5% 9.30% -5% to -3% 9.61% -3% to 0% 2.03% 0% to 3% -1.67% 3% to 5% -3.61% > 5% -1.46% Don't Ignore Volatility (You can now subscribe to our (You can now subscribe to our ETMarkets WhatsApp channel The concept of a Volatility Index (VIX) was first introduced by the Chicago Board Options Exchange (CBOE) in 1993. Originally, based on the S&P 100 index, it was revised in 2003 to track the S&P 500 options, and soon gained popularity as the market's "Fear Gauge." It provided investors with a real-time estimate of expected market volatility derived from option the utility of this indicator, the National Stock Exchange (NSE) of India launched its own version called the India VIX in 2008, using the methodology licensed from the CBOE. The India VIX is based on the Nifty 50 Index options and represents the market's expectation of volatility over the next 30 calendar launch was driven by the increasing complexity in Indian capital markets, the rise in derivatives trading, and the need for a standardized metric to measure implied volatility, thereby empowering investors with a forward-looking view of VIX is a measure of implied volatility derived from option prices, which captures the market's collective expectation of near-term volatility. Unlike traditional equity indices that measure price levels, the VIX reflects sentiment and anticipated market fluctuations. Specifically, India VIX uses order book data from near and next-month Nifty 50 index options traded on the NSE.A VIX reading of 15, for instance, implies an annualized expected volatility of 15% over the next 30 days. The importance of VIX lies in its ability to serve as an indicator of expected market volatility. Higher VIX values correspond with greater uncertainty, while lower readings may imply market stability. Market participants, including institutional investors and asset managers, often monitor the VIX as one of several indicators to perform risk management, hedging strategies, and tactical asset allocation decisions. India VIX is one of many tools that can provide context on changing market calculation of India VIX is rooted in a methodology adopted from the CBOE, tailored to suit the Indian derivatives market. It involves using bid-ask quotes of out-of-the-money (OTM) call and put options from the near and next-month expiry contracts of the Nifty 50 index. These OTM options are chosen because they are more sensitive to volatility expectations and provide a clearer picture of anticipated market movements. For each selected option strike, the midpoint of the bid and ask price is computed. These midpoints are then weighted based on strike intervals, adjusted for the risk-free interest rate, and aggregated to calculate the variance. Finally, the result is annualized to yield the India simpler terms, India VIX quantifies the level of implied volatility embedded in the premiums of Nifty options. When traders expect high volatility, they are willing to pay more for protection, which in turn raises the VIX value.: NSE, MO AMC. Data as on 17th June VIX values can be interpreted to understand prevailing market sentiment. Generally, a VIX reading below 13 signifies a calm market with low expected volatility, while a range of 13 to 17 is considered normal. Values between 17 and 25 suggest increasing nervousness among investors, and a VIX above 25 indicates elevated volatility and potential market turbulence. These levels act as critical signals for asset managers and retail investors researchers have also explored how VIX can be used for timing strategies between large-cap and mid-cap segments. A rising VIX typically favors a shift towards large-cap exposure, while a falling VIX can encourage allocation to mid-caps and lowest India VIX level was recorded in July 2023 at around 10.14, during a period of market consolidation. In the following 12 months, the Nifty delivered a strong return of approximately 26.4%, reflecting investor confidence during low volatility. In contrast, the highest VIX levels were seen during major global shocks – above 85 in November 2008 during the Global Financial Crisis, and over 80 in March 2020 during the COVID-19 these periods of elevated volatility, markets rebounded sharply. After the 2008 spike, the Nifty returned about 80.8% over the next year. Similarly, after the COVID-induced VIX surge, the Nifty posted a strong recovery of nearly 83.6%. These patterns show that extreme volatility often precedes strong market rallies.: NSE, MO AMC. Data as on 17th June India VIX has exhibited a strong negative correlation with the Nifty 50 Index. When the Nifty experiences a sharp decline, the VIX typically spikes, reflecting heightened uncertainty fear and increased demand for protective derivatives. Conversely, during market rallies, VIX tends to fall, indicating reduced average correlation between Nifty and India VIX is -0.41 based on the data analysed since 2008. This inverse relationship makes India VIX a valuable tool for hedging, especially for passive and index investors who seek to protect portfolios from adverse studies have also emphasized the asymmetrical nature of VIX's relationship with market returns – it reacts more sharply to market downturns than to example, on 7th April 2025, India VIX surged by 65% when the Nifty dropped 3.24% due to global uncertainties. In contrast, on 28th October 2008, even as the Nifty jumped 6.35%, VIX fell by around 33%. This pattern illustrates that VIX reacts more aggressively to market declines than to market gains.: NSE, MO AMC. Data as on 17th June asymmetrical relationship between Nifty and VIX is evident in how VIX levels respond across different ranges of Nifty's average daily the Nifty falls, especially during sharp declines, VIX tends to rise significantly. For instance, if Nifty drops by more than 5%, the VIX shoots up by an average of 9.3%. Similarly, for a fall between 3% and 5%, the VIX still increases by around 9.6%. This indicates a strong spike in market uncertainty during negative events. On the other hand, when the Nifty rises, the VIX does not drop as sharply. For example, in cases where the Nifty gains more than 5%, the VIX decreases only by about 1.5%. Even for gains between 3% and 5%, VIX drops by just 3.6%.This pattern highlights that VIX is considerably more sensitive to market declines than to rallies. The market tends to react more strongly to downside risk than to upward movements. This imbalance reinforces why volatility indices are seen as early warnings for downside risk and not for upside is not merely a risk factor but a dimension of the market that holds valuable insights. The India VIX serves as a transparent, real-time indicator of investor sentiment and expected market fluctuation. For index fund investors, ETF product managers, and mutual fund professionals, integrating VIX into investment frameworks can offer a strategic advantage. Whether it is used for hedging, asset allocation, or sentiment monitoring, the importance of VIX cannot be India's financial markets evolve, the inclusion of volatility-linked products like a VIX ETF could deepen the passive investment landscape and provide new tools for portfolio resilience. While challenges remain, the foundation is already in place. With thoughtful design and education, volatility could indeed become a tradable and manageable asset class.
Time of India
18-07-2025
- Business
- Time of India
India VIX: Dips to 15 month low as markets remain stable; what it means
India's stock market has maintained its calm recently as the Volatility Index or VIX has fallen to a 15 month low. This means that recent market stability, lower volatility in the US, and reduced trading in derivatives have calmed investor nerves and made the overall market feel less risky. The India VIX remained flat on Thursday, closing at 11.2. Meanwhile, the benchmark Nifty 50 index dipped 100.60 points, or 0.40%, to end the session at 25,111. 'Indian markets are currently mirroring the US VIX, which is at a 7-8 month low, offering some relief to traders globally,' Ajit Mishra, senior vice-president, research, Religare Broking told ET. The firm noted that with few domestic triggers and most of the earnings season already factored in, the index continues to stay muted. Since the beginning of July, the Nifty has been trading within a narrow 25,000–25,500 range, failing to break out in the absence of meaningful catalysts. How does India VIX work? India VIX measures the expected volatility in the stock market over the next 30 days, based on Nifty options prices. It rises when markets are predicted to undergo sharp movements and drops during calmer, more stable periods. In the past month, the India VIX has declined by nearly 22%, even as the Nifty 50 has edged up by around 1%. by Taboola by Taboola Sponsored Links Sponsored Links Promoted Links Promoted Links You May Like People Aged 50-85 With No Life Insurance Could Get This Reassured Get Quote Undo Similarly, the CBOE Volatility Index (VIX), which measures market volatility in the US based on S&P 500 index options, dropped 19.7% over the same period. The subdued India VIX may also be partly due to lower participation in the options market. 'At first glance, this may seem like a sign of market confidence, but the reality points to suppressed hedging activity and reduced participation,' Dhupesh Dhameja, derivatives analyst at Samco Securities was quoted as saying. He highlighted that traders have largely avoided buying deep out-of-the-money put options, which has kept premiums low and suppressed implied volatility. Dhameja further added that a dip in activity from major global liquidity providers like Jane Street has resulted in lower trading volumes in derivatives and less depth in the options market, particularly in far out-of-the-money contracts, which usually indicate broader economic risk sentiment. While the India VIX is a useful tool for gauging sentiment, it tracks only the Nifty 50 and its large-cap constituents, and may not capture broader market dynamics. 'The market appears calm on surface, but history suggests that such low-volatility phases are often followed by sharp directional moves,' Dhameja cautioned. He added that while the trend may remain range-bound for now, any sudden spike in the VIX 'signal worth watching closely.' Stay informed with the latest business news, updates on bank holidays and public holidays . AI Masterclass for Students. Upskill Young Ones Today!– Join Now
Time of India
18-07-2025
- Business
- Time of India
India VIX falls to 15-month low on no sharp market swings
Mumbai: Volatility Index or India VIX-the fear gauge of the Indian stock market-has dropped to its lowest level in 15 months, as the absence of sharp swings of late, a decline in US volatility, and falling derivatives options volumes have eased risk sentiment. The India VIX remained flat and ended at 11.2 on Thursday. The benchmark Nifty 50 index fell 100.60 points or 0.40% to close at 25,111. "Indian markets are currently mirroring the US VIX, which is at a 7-8 month low, offering some relief to traders globally," said Ajit Mishra, senior vice-president, research, Religare Broking. "With limited domestic triggers and much of the earnings season already priced in, the index remains subdued." Explore courses from Top Institutes in Select a Course Category Public Policy Data Science Others Management CXO Digital Marketing Leadership Project Management Technology Design Thinking healthcare Data Analytics others MCA Finance Cybersecurity MBA Artificial Intelligence Product Management Data Science Degree Healthcare Operations Management PGDM Skills you'll gain: Duration: 12 Months IIM Calcutta Executive Programme in Public Policy and Management Starts on undefined Get Details Skills you'll gain: Economics for Public Policy Making Quantitative Techniques Public & Project Finance Law, Health & Urban Development Policy Duration: 12 Months IIM Kozhikode Professional Certificate Programme in Public Policy Management Starts on Mar 3, 2024 Get Details Since the start of July, Nifty has traded in a narrow 25,000-25,500 range, failing to break out in the absence of triggers. India VIX is a volatility index based on Nifty option prices. It uses the best bid-ask prices of Nifty options to calculate expected market volatility over the next 30 days. The index typically rises when traders expect bigger market swings and falls when markets appear stable. In the last month, India VIX is down almost 22%, whereas the benchmark Nifty 50 has edged up 1%. The Chicago Board Options Exchange's CBOE Volatility Index, which measures volatility based on US S&P 500 index options, is also down 19.7% over the past month. The drop in VIX could also be on account of a fall in trader participation in Nifty options. Agencies "At first glance, this may seem like a sign of market confidence, but the reality points to suppressed hedging activity and reduced participation," said Dhupesh Dhameja, derivatives analyst, Samco Securities. "Traders have largely avoided buying deep out-of-the-money puts, keeping option premiums subdued and implied volatility low." Dhameja said reduced activity of global liquidity providers like Jane Street has led to lower derivative volumes and thinner option market depth, especially in far out-of-the-money contracts, which typically reflect macro risk sentiment. India's VIX may not fully reflect what is happening across the market, as it tracks only the benchmark Nifty 50 and its large-cap constituents. "The market appears calm on surface, but history suggests that such low-volatility phases are often followed by sharp directional moves," said Dhameja. He said that for now, the trend may stay range-bound, but any spike in VIX could be a "signal worth watching closely."
