The fair value of equity futures is computed using the cost-of carry relationship between the futures and the underlying stock index.
However, since India VIX index represents volatility there is no carry between India VIX futures and India VIX. Therefore the fair value of
India VIX is derived from the term structure of average variance rate.
While India VIX is expected volatility over 30 days from the current day, India VIX futures is expected volatility over 30 days from expiry.
Using the Theoretical Futures Prices Tool
Theoretical futures price can be computed for any day from September 29, 2009 till current day
On selecting the date, the tool shall display the latest India VIX price for the selected day
Users can change the expected India VIX spot price. The expected spot price can be entered upto 4 decimals with tick value of 0.0025
On clicking “calculate” the tool shall compute the theoretical futures price for India VIX
Theoretical futures price shall be computed for three weekly contracts expiring on Tuesday
The futures price is quoted as 100 times the Index Value. For example if expected India VIX price on expiry is 16.3275, the user shall quote 1632.75 as futures price for trading.
NIFTY 50 Index
INDIA VIX Index
The volatility comparison tool has been provided to facilitate investors to know the trends in historical volatility, implied volatility and India VIX
About the tool
Historical volatility is standard deviation of daily returns of Nifty close price over a period of 10 day, 20 day, 30 day
Implied volatility of Call, Put Nifty options is computed based on the last trade prices of select OTM strikes for the respective days. Implied volatility is computed using Black-Scholes model
The historical volatility and implied volatilities are shown before 1 week and before 2 weeks from current day
52 week high and 52 low of respective volatilities are also displayed
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