VIX, India Vix, India Vix Chart, India Vix Index, India Vix Futures, Volatility Index, Nifty Vix, NSE Vix, India Vix Options, Vix index india, NSE Volatility, Implied Volatility

India Vix, India’s Volatility Index, shows negative correlation with the Nifty which makes it a great hedging tool. I tried to find out the correlation between these two indexes. For the year 2010, the correlation comes out to be -0.92. So, traders can almost perfectly hedge there positions in nifty. However, the hedging strategies can only be finalised once the Futures and Options in indiavix are introduced by NSE. It will depend on the lot size of india vix and other parameters like liquidity and margin requirements etc. The Vix options in US markets are great hit and i hope the same for indian markets aswell.

India Vix Historical Data Compared with Nifty Historical Data

India Vix Historical Data is available on the NSE website at http://www.nseindia.com/content/vix/hist_vix_data.htm

Correlation = – 0.92

Date Nifty India Vix Nifty Change India Vix Change
4-Jan-10 5232.2 23.73 NA NA
5-Jan-10 5277.9 22.21 0.87% -6.41%
6-Jan-10 5281.8 22.1 0.07% -0.50%
7-Jan-10 5263.1 22.29 -0.35% 0.86%
8-Jan-10 5244.75 22.41 -0.35% 0.54%
11-Jan-10 5249.4 22.45 0.09% 0.18%
12-Jan-10 5210.4 22.96 -0.74% 2.27%
…… …… …… …… ……
…… …… …… …… ……
30-Aug-10 5415.45 18.36 0.12% -6.47%
31-Aug-10 5402.4 18.47 -0.24% 0.60%
1-Sep-10 5471.85 16.7 1.29% -9.58%
2-Sep-10 5486.15 16.15 0.26% -3.29%
3-Sep-10 5479.4 15.86 -0.12% -1.80%
Date Nifty India Vix Nifty Change India Vix Change
4-Jan-10 5232.2 23.73 NA NA
5-Jan-10 5277.9 22.21 0.87% -6.41%
6-Jan-10 5281.8 22.1 0.07% -0.50%
7-Jan-10 5263.1 22.29 -0.35% 0.86%
8-Jan-10 5244.75 22.41 -0.35% 0.54%
11-Jan-10 5249.4 22.45 0.09% 0.18%

Further Readings

India Vix Basics

India Volatility Index Calculations

How India Vix is related to Nifty Options

Future of India Vix Futures

1 Comment

Leave a Reply

Your email address will not be published. Required fields are marked *

Previous Post
«