A Look at Nifty Volatility - Before and After Expiry

Linus

Active Member
#1
Here we take a look at the volatility in Nifty a week before and after the Futures and Options expiry. Generally, people expect a volatile week before the expiry and a quiet week after the expiry.

The chart below shows data for three years. Out of 35, there were 11 (31%) occasions when the volatility was more after the expiry and 17 (48.5%) occasions when the volatility was more before the expiry. On 7 occasions, the volatility in the two weeks was almost at the same level. There were three cases of extreme differences (see peaks) and that was the time when the markets were really hot - (May 06, August and October 07)

s :) s
 

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sudoku1

Well-Known Member
#2
Here we take a look at the volatility in Nifty a week before and after the Futures and Options expiry. Generally, people expect a volatile week before the expiry and a quiet week after the expiry.

The chart below shows data for three years. Out of 35, there were 11 (31%) occasions when the volatility was more after the expiry and 17 (48.5%) occasions when the volatility was more before the expiry. On 7 occasions, the volatility in the two weeks was almost at the same level. There were three cases of extreme differences (see peaks) and that was the time when the markets were really hot - (May 06, August and October 07)

s :) s
:thumb:..............
 

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