India VIX

lemondew

Well-Known Member
#3
Mohan bro,

Pls share all your knowledge with respect to vix.

Things I have seen
1. Vix goes up when nifty comes down.
2. Vix generally goes down when nifty goes up.

Live or past data ?

And if you can tell me why, i think i can save you some time as i have backtested vix data in some aspects..
 

mohan.sic

Well-Known Member
#4
Mohan bro,

Pls share all your knowledge with respect to vix.

Things I have seen
1. Vix goes up when nifty comes down.
2. Vix generally goes down when nifty goes up.
Hi bro,

All my knowledge ? :) I hope there is no sarcasm ..I am sorry if you dont mean it.

1. yes most of times
2. yes most of times

But what is the use having this info. Can we use this for trading or not is important.
 
Last edited:

lemondew

Well-Known Member
#5
You said you have backtested vix. Any clues other than that it is random and goes up before some events while doesnt before some other event. Other than when nifty goes down. Any thing which is true for vix and happens all the times since some years. Otherwise it isnt worth the time backtesting vix.... going in wrong directions...

Eg: Earlier 2 weeks before infy results the IVs went up for infy and then on result day it used to fall. Then one fine result day it didnt go up and then now randomly it goes or doesnt...... So Ivs of infy goes up before results isnt true as it may or may not.


Hi bro,

All my knowledge ? :) I hope there is no sarcasm ..I am sorry if you dont mean it.

1. yes most of times
2. yes most of times

But what is the use having this info. Can we use this for trading or not is important.
 

mohan.sic

Well-Known Member
#6
You said you have backtested vix. Any clues other than that it is random and goes up before some events while doesnt before some other event. Other than when nifty goes down. Any thing which is true for vix and happens all the times since some years. Otherwise it isnt worth the time backtesting vix.... going in wrong directions...

Eg: Earlier 2 weeks before infy results the IVs went up for infy and then on result day it used to fall. Then one fine result day it didnt go up and then now randomly it goes or doesnt...... So Ivs of infy goes up before results isnt true as it may or may not.
Its not random. Its a derivative of option prices. But what i am saying is we cant find any clue from its value.

yes, before some events iv's raise and fall after the event and sometimes there are no changes before or after the event.

There is nothing like unworthy for backtesting - infact you can understand that its not worthy, only after spending some time on it. But to clarify i will tell you wht i looked for..

1) If changes in vix occur prior to underlying (nifty future not options) and if they happen, can we get any clue on the direction of the upcoming price move . Can we notice vix move first in a direction and later nifty will move in opposite direction ?
No.. They move in opposite ways in parallel time.

2) It is not that everytime both are negatively correlated. This correlation fails many times. Then its a divergence. Now as per divergence rule, will index correct and move in a direction opposite to match Vix ?
yes it does sometimes and No manytimes.

So overall you cant see any consistent edge in this.

Here i am restricting to Vix and Nifty. So not replying on Infy example.
 
#7
INDIA VIX since jan.1



we are yet since see LOWER levels (recorded in JAN) but away from astronomical limits(80) seen in late MAR. But still VIX is a bit high at 30.
 
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