India Volatility Index ie India VIX is a measurement of expected volatility in the near term usually over the next 30 days in the Nifty50 index.
India Volatility Index ie India VIX is a measurement of expected volatility in the near term usually over the next 30 days in the Nifty50 index.
India VIX uses the computation methodology of Chicago Board of Options Exchange (CBOE), with suitable amendments to adapt to the NIFTY options order book.
1.Bid-Ask quotes
2.Time to expiry
3.Weightage
4.Risk free interest rates
5.Forward index level
Here - orange = VIX and Blue = Nifty
If the VIX is rising, it means that there is a higher probability of a far тАШOut of the moneyтАЩ strike option expiring as тАШAt the moneyтАЩ or тАШIn the moneyтАЩ. Hence in this case, option premiums will be higher.
When VIX is rising,a net debit strategy can give good returns since itтАЩs a directional strategy while a net credit strategy when VIX is falling or low can give better returns as premiums are falling
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