Volatility · Lesson 03 of 5 · Concept
Historical volatility against implied
Historical volatility measures how much the index actually moved; implied volatility is derived from what options cost. Over the 30 sessions to 23 September 2026 NIFTY realised 7.01% annualised, while implied volatility on the at-the-money call read 11.15% and India VIX 11.00.
^NSEI daily closes in market_daily (30 sessions to 23 Sep 2026) · implied solved from the traded premium · India VIX from NSE
Two different questions
Historical volatility is arithmetic on closing prices: take the daily log returns, compute their standard deviation, annualise by the square root of 252. Nothing is assumed and nothing is inferred. The answer for NIFTY over the 30 sessions to 23 September 2026 is 7.01%.
Implied volatility is not a measurement at all. It is the number that reconciles a model with a premium somebody paid, which means it carries whatever else was in that premium alongside any expectation of movement.
Comparing them is comparing what happened with what is being charged. They are routinely quoted side by side as though they were two estimates of the same quantity, and they are not.
The gap in this window
Implied sat near 11% while realised was 7.01% — a gap of around four points, with options priced for substantially more movement than the index had been delivering.
A persistent gap of that direction is well documented in equity index options generally and has a name, the variance risk premium. What this page will not do is tell you what to do about it, for two reasons: it would be advice, and our own archive is nowhere near deep enough to establish that the gap persists on Indian weeklies rather than being a property of these particular thirty sessions.
The method is published so the comparison can be repeated. When the archive covers enough expiries to say something about frequency rather than a single window, that becomes a Verdict lesson rather than an observation.
A 7.01% annualised figure is not a forecast for a seven-day option. Scaling to a horizon means multiplying by the square root of the fraction of a year, so 7.01% annualised is roughly 1.0% over a week — and both implied and realised have to be put on the same horizon before any comparison means anything.
Common questions
What is the difference between historical and implied volatility?
Historical volatility is computed from past price movement and is a measurement. Implied volatility is solved from option premiums and reflects what the market is charging. Over the 30 sessions to 23 September 2026, NIFTY realised 7.01% while implied read about 11%.
How do you calculate historical volatility?
Take the natural log of each day’s close divided by the previous close, compute the standard deviation of that series, and multiply by the square root of 252 to annualise.
Written and maintained by MarketCue research · Updated 9:30 AM IST · 23 October 2026
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.