Following the footsteps of NSE, BSE has come up with the SENSEX Realized Volatility (REALVOL) Index similar to NSE’s India Vix which provides market participants with an accurate measure of the historic volatility of the SENSEX over fixed one, two and 3-month time horizons, which are synchronized with BSE’s 1, 2, and 3-month futures & options expiration cycles. Each index is reset at the end of its respective cycle.

The SENSEX REALVOL will be a useful tool for option writers attempting to manage their risk, as their P&L is driven by the difference between realized volatility and implied volatility over the life of options written. Products based on the REALVOL family of indices will allow Indian traders to hedge against sudden price movements (i.e. reducing Gamma exposure) and to take directional bets on the realized volatility of the SENSEX.

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