Index Futures
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Index Futures
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Theoretical Futures Price Calculator

Enter Date Spot Price of India VIX Expected Spot Price of India VIX

How to use Theoretical Futures Price Calculator

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.

Download India VIX Futures Theoretical Pricing Model

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.

Portfolio Diversification

  • Asset 1
  • Asset 2
  • Short Long
  • Ratio of Asset 2
  • Select Maturity
  • Rebalancing

Volatility Comparison

Enter Date NIFTY 50 Index % Change INDIA VIX Index % Change

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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