Volatility · Lesson 01 of 5 · Concept
Implied volatility
Implied volatility is the volatility figure that makes a pricing model agree with a traded premium. It is an output of the price, not an input to it. Solved from the NIFTY 23,350 call on 23 September 2026, it read 11.15% at the open and 8.22% at the close while the index rose 89 points.
NIFTY 23,350 CE, 23 September 2026 · solved from traded premiums with lib/learn/greeks.ts
Move it
Black-Scholes, not market data — the premiums elsewhere in this topic were traded, these are what the model returns for the inputs you set.
Black-Scholes, European exercise, 6.5% risk-free rate. These are model outputs, not traded prices.
A price expressed in different units
Black-Scholes takes a volatility and returns a premium. Implied volatility runs that backwards: it takes the premium the market actually paid and asks what volatility would have produced it.
That makes implied volatility a restatement of the price rather than an independent measurement. When it rises, the premium rose. It is useful precisely because it strips out strike, spot and time, so two contracts with nothing else in common can be compared.
It is routinely described as the market’s forecast of future volatility. It is better described as what the market charged, which includes a forecast and also includes whatever else buyers and sellers were pricing that day.
Solved, not read
The implied-volatility column in our chain capture was empty for the whole of 23 September 2026, so the figures on this page were solved from the traded premiums with the same implementation the calculator uses.
Doing it that way has one advantage worth keeping: the inputs are visible. Spot 23,357.60, strike 23,350, premium ₹150.00, six days, 6.5% rate — anyone with those five numbers gets 11.15% and can check it.
By the close the same contract implied 8.22%, a fall of 2.93 points, and that fall removed roughly ₹34.80 from the premium through vega while the index was moving in the contract’s favour.
Solving for volatility means dividing by vega, and vega collapses towards zero as expiry approaches. Our own capture shows one contract reading 244% at 15:15 on an expiry day and 0% fifteen minutes later. Neither is a market reading; both are the solver failing. Treat any implied-volatility print in the last half hour of an expiry session as noise.
Common questions
What is implied volatility in options?
The volatility figure that makes a pricing model return the premium an option actually traded at. It is derived from the price rather than measured from the market, and it lets contracts with different strikes and expiries be compared on one scale.
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.
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.