Volatility regime dashboard

Feed in a volatility index level, a term structure and a realised volatility, and see the regime the numbers describe.

Quick answer: The volatility regime dashboard combines a volatility index level, the slope of the implied-volatility term structure, and the gap between implied and realised volatility into a single description of the market's current volatility state — which is a description, not a signal.

Volatility Regime Dashboard

Every output here is a description of where the market has been. Regimes are named after the fact; nobody can reliably say what regime they are in today.

Figures are per unit of the underlying and exclude brokerage, STT, exchange charges, stamp duty and GST.

How this calculator works

Three readings, three different questions

The LEVEL of the volatility index answers 'how much movement is being priced?'. The SLOPE of the term structure answers 'does the market think this level is temporary?'. The GAP between implied and realised volatility answers 'is the option market charging more than the underlying has been delivering?'. They are independent questions, and a dashboard is useful precisely because they can disagree.

The slope carries more information than the level

A volatility index at 22 that arrived from 12 last week is a completely different market from one at 22 that has been falling from 35 for a month. The first is a market discovering a problem; the second is a market recovering from one. The level is identical and the correct behaviour is opposite. Contango says the market believes today's level is temporary; backwardation says it believes the current stress is real but will subside.

The bands are conventions, not laws

The five bands used here — complacent under 11, normal 11 to 15, elevated 15 to 20, stressed 20 to 28, crisis above 28 — are calibrated to NIFTY. A reading of 20 is elevated for an index and entirely unremarkable for a mid-cap stock. Nothing about these thresholds is derived from theory; they are a description of where NIFTY has spent its time.

Why this cannot be a signal

Regimes are named after the fact. You can always say what regime you were in last month. Nobody can reliably say what regime they are in today, because the defining feature of a regime change is that it has not been confirmed yet. Any rule of the form 'sell volatility when the index is under 12' works for years and then loses more in one week than it made in all of them. This dashboard exists to help you understand what you are looking at, not to tell you what to do about it.

Term-structure slope and the premium

slope = (σ_90 − σ_30) ÷ σ_30 × 100 VRP = σ_30 − σ_realised

A positive slope is contango, the market's calm-market default. A negative slope is backwardation. The premium is quoted in volatility points and is meaningful only when the implied and realised windows are comparable in length.

σ_3030-day at-the-money implied volatility.
σ_9090-day at-the-money implied volatility.
σ_realisedRealised volatility over a trailing window. Twenty days is conventional and is NOT the same length as thirty.
slopeThe percentage steepness of the term structure. Positive is contango; negative is backwardation.
VRPVolatility risk premium, in volatility points.

Using it, step by step

Enter the volatility index level for the market you are looking at — India VIX for NIFTY.
Enter the 30-day and 90-day at-the-money implied volatilities. Their difference is the term-structure slope.
Enter a trailing realised volatility. Twenty days is conventional, and note that it is not the same window as the 30-day implied figure.
Read the regime band, the slope, and the premium together. If they disagree — a low index level with an inverted curve, for instance — the disagreement is the information.
Do not act on it. Check whether a scheduled event sits inside the near expiry before drawing any conclusion at all.

Worked example

NIFTY

India VIX reads 12.4, sitting in the normal band. The 30-day at-the-money implied volatility is 12.9% and the 90-day is 14.6%, giving a slope of +13.2% — comfortable contango, meaning the market expects the current calm to persist over the near term and charges more for distant uncertainty. Trailing 20-day realised volatility is 9.4%, so the premium is 3.5 volatility points and the option market is charging about 37% more than the underlying has recently delivered. Read together: a calm market, priced as calm, with a normal insurance premium attached. None of that tells you what happens next. The identical configuration precedes both another quiet month and the first day of a crisis, and there is no reading of these three numbers that distinguishes them.

Assumptions and limitations

What this calculator assumes. Every number it produces is only as good as the assumptions below, and each of them is wrong to some degree in a real market. The output is a model's opinion, not a measurement.

The regime bands are conventions calibrated to NIFTY. They do not transfer to single stocks, to commodities, or to another index without recalibration.
The 20-day realised volatility and the 30-day implied volatility are different window lengths, so the premium they produce is approximate. Matching the windows is more correct and rarely done.
The slope is computed from two points. A real term structure is a saw-tooth across weekly expiries, not a smooth curve, and two points cannot see the event bumps.
None of the three inputs can see the calendar. An implied volatility elevated by a scheduled event will read as an elevated regime, which is a fact about the calendar rather than about the market's state.
Every output is a DESCRIPTION of where the market has been. The defining feature of a regime change is that it has not been confirmed yet, so no reading here can identify one in advance.

Common mistakes

Using the dashboard as a signal. Every rule of the form 'sell volatility when the index is under 12' works for years and then loses more in one week than it made in all of them.
Reading a low volatility index as evidence the market is safe. Low implied volatility means options are cheap. It is a statement about price, and the calmest periods are when leverage accumulates.
Ignoring the slope because the level looks comfortable. An index at 14 with an inverted curve is a market that has just discovered something.
Applying NIFTY's bands to a single stock, where a reading of 20 is unremarkable.
Comparing a 20-day realised volatility with a 30-day implied one and treating the difference as a precise premium.

Frequently asked questions

What is a volatility regime?

A persistent market state characterised by a typical level of volatility and a typical behaviour of it. Volatility clusters, so calm days follow calm days, and it mean-reverts, so no regime is permanent.

What do the five regime bands mean?

Under 11 is complacent, 11 to 15 normal, 15 to 20 elevated, 20 to 28 stressed, and above 28 crisis. These are conventions calibrated to NIFTY and India VIX, not laws, and they do not transfer to single stocks.

What does contango in the volatility term structure mean?

That longer-dated implied volatility exceeds shorter-dated implied volatility. It is the market's calm-market default state, and it says the market believes today's level of volatility is temporary rather than permanent.

What does backwardation mean?

That near-dated implied volatility exceeds longer-dated. The front expiry carries the panic. Backwardation appears in selloffs and crises, and it is when short-volatility strategies that looked effortless for months surrender most of what they made.

Can this dashboard tell me when to buy or sell volatility?

No, and no dashboard can. Regimes are named after the fact. The defining feature of a regime change is that it has not been confirmed yet, so the same configuration of readings precedes both another quiet month and the first day of a crisis.

Why does a low volatility index not mean the market is safe?

Because it means options are cheap, which is a statement about their price. Calm periods are when position sizes creep up and leverage accumulates across the market, which is what makes the eventual reversal violent.

What is the slope telling me that the level is not?

Whether the market believes today's level will persist. An index at 22 that came from 12 last week is a market discovering a problem; an index at 22 falling from 35 is a market recovering from one. The level is identical.

Should I use a 20-day or 30-day realised volatility?

Ideally one matched to your implied volatility's tenor. Twenty days is conventional because it is roughly one trading month, but comparing it against a 30-day implied volatility compares slightly different periods.

Voice search & related questions

What volatility regime are we in?

Enter a volatility index level and the dashboard will place it in one of five conventional bands. But the honest answer is that regimes are only identifiable after they have ended, and no combination of readings tells you which one you are in today.

Is a VIX of 12 low?

For NIFTY, a reading of 12.4 sits in the normal band, just above complacent. For a mid-cap stock, 12 would be extraordinarily low. The bands are calibrated to the index, not to the number.

How do I tell if the market is in contango or backwardation?

Compare a longer-dated implied volatility with a shorter-dated one. If the longer is higher, the curve is in contango — the calm-market default. If the shorter is higher, it is backwardation, and the market is frightened now.

Last reviewed 10 July 2026. Educational content only — not investment advice.