Nifty Actual Volatility Chart

[prasham]

Hi,


I know that there is VIX which is suppose to track the volatility of Nifty but its not actually tracking it. VIX is calculated on the basis of the nifty options data and not actual volatility of Nifty.

Can I find actual volatility chart of Nifty somewhere?

Regards

 

[cinderblock]

VIX is the actual volatility of Nifty (not of options). NF volatility is back-calculated using option values and hence it is called implied volatility because Nifty Spot volatility is Implied by the option prices.

 

[prasham]

VIX is the actual volatility of Nifty (not of options). NF volatility is back-calculated using option values and hence it is called implied volatility because Nifty Spot volatility is Implied by the option prices.

This is what the India VIX page says about it

India VIX* is a volatility index based on the NIFTY Index Option prices. From the best bid-ask prices of NIFTY Options contracts, a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days. India VIX uses the computation methodology of CBOE, with suitable amendments to adapt to the NIFTY options order book.

Source: https://www.nseindia.com/live_market/dynaContent/live_watch/vix_home_page.htm

I recently read a book where the author says that the Volatility Index and the actual volatility are different. Volatility Index is calculated from the Options data while the actual volatility is based on the movement of the underlying. So there could be little difference of as much as 4-7% between the movement of the two.[/quote][/quote]

 

[Sandy James]

What the OP means by "actual" ? Is there an imaginary volatility!

Anyway, ATR is a volatility measure. Daily high low range is another metric. To compare volatility of different instruments, express the daily high low range as % of the closing price.