Chapter 03 of 6 · 5 lessons · Concept, Lab
Volatility
Volatility is the input that moves an option price without the index moving at all. These lessons separate what is measured from what is inferred, and say which is which.
Volatility is the input that moves an option price while the index does nothing at all, and it is where two entirely different quantities are routinely quoted as though they were one.
Historical volatility is a measurement: take the daily closes, compute the standard deviation of their log returns, annualise. Nothing is assumed. Implied volatility is not a measurement at all - it is the figure that reconciles a pricing model with a premium somebody paid, so it carries whatever else was in that premium alongside any expectation of movement. India VIX is a third thing again, an index NSE publishes from the near-month order book rather than from any single contract.
Keeping them apart matters because the gap between them is where most claims about volatility live. Over the 30 sessions to 23 September 2026, NIFTY realised 7.01% annualised while implied ran near 11% and India VIX read 11.00. That gap is real and well documented. What this chapter will not do is tell you what to do about it, because thirty sessions cannot establish that it persists.
By the end of this chapter
- Tell a measured volatility figure from a derived one, and say which you are looking at
- Read India VIX without reading a direction into it
- Compare what the chain is charging against what the index has actually been doing
- Read the market-implied move straight off a straddle price
The lessons
In order, though each one stands on its own.
Common questions
What is the difference between India VIX and implied volatility?
India VIX is computed by NSE across the near and next-month order book, so it describes the whole chain. Implied volatility is solved from one contract's traded premium. On 23 September 2026 the two landed within a fifth of a point of each other, which is usual but not guaranteed.
Does high implied volatility mean the market will move?
It means the market is charging more for optionality. Over the 30 sessions to 23 September 2026 NIFTY implied volatility ran near 11% while realised volatility was 7.01% - the charge exceeded the movement that followed.
How do I convert an annualised volatility to a single day?
Divide by the square root of the number of periods in a year. At an India VIX of 11.00, a one-day move of roughly 0.7% was being priced.
Written and maintained by MarketCue research
How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
Where our own data cannot support a claim, the page says so instead of generalising. MarketCue is not a registered investment adviser, research analyst or broker under SEBI regulations.