India VIX drops close to four-month low as Nifty rally stays calm
India’s equity rally looks stretched with volatility staying low. India VIX sits at 11.92, suggesting the options market expects the Nifty 50 to move about 3.4% over the next 30 days, or around 833 points based on Monday’s 10:11 a.m. Nifty print of 24,385.4 from Reuters. Earlier this year on March 30, when VIX hit 28.9, the implied swing was about 2,020 points. According to NSE, India VIX tracks expected 30-day volatility from Nifty options’ best bid-ask quotes.
