Mr Ashwani Gujral has made some interesting observations on this topic in his book on TA and derivatives:-
He says that prior to 2002 before derivatives were introduced, it was expected that the budget would show huge volumes. The budget used to have more importance because of the announcements that the govt made in rationalisation of duties and taxes. Since these are not likely to change abruptly and now the govt will be forced to make economic decisions throughout the year as the Indian economy becomes more developed, the budget shall lose its importance.(Also because after 10 years of liberalizatrion, as govt control over business mitigated, as it is budgets have lost their stranglehold) He observes that because of all these reasons the budget is more of an index play and does not really affect individual companies. Interesting views. For those interested, he advocates selling an at the money straddle after checking that implied volatility is greater than historical volatility.