Volatility indices: one number for the whole option chain

India VIX condenses an entire NIFTY option chain into a single annualised percentage. That compression is what makes it useful and what makes it dangerous: everything about strike, skew and expiry is thrown away in the process, and the number that survives is routinely read as a forecast of direction, which it categorically is not.

What is volatility indices? A volatility index is a model-free measure of the volatility that an index's option chain is currently pricing over a fixed forward window, usually 30 days, quoted as an annualised percentage. India VIX does this for NIFTY and CBOE's VIX does it for the S&P 500. Both measure expected magnitude of movement, not its direction.

India VIX

VIX

India VIX is NSE's volatility index — a model-free measure of the volatility the near-dated NIFTY option chain is pricing over a fixed forward 30-day wind…

30-day expected NIFTY volatility Beginner →

CBOE VIX

CBOE VIX is the Chicago Board Options Exchange's volatility index — a model-free measure of the volatility the near-dated S&P 500 option chain is pricing …

30-day expected S&P 500 volatility Intermediate →

VVIX

VVIX is the volatility of the volatility index — a model-free measure of how much the VIX itself is expected to move over the next 30 days, computed from …

Volatility of the volatility index Advanced →

VIX Futures

VIX futures are exchange-traded contracts on the future value of a volatility index, and because volatility mean-reverts they price toward its long-run av…

Market-traded expectations of future VIX Advanced →

VIX Options

VIX options are options written on a volatility index that settle against the VIX future of matching expiry rather than against spot VIX, which — together…

Options on a volatility index Advanced →

VIX Term Structure

VIX term structure is the curve of a volatility index across expiries — VIX9D, VIX, VIX3M and VIX6M — whose slope reveals whether the market believes toda…

Expected volatility across horizons Advanced →

Fear Index

Fear Index is the popular nickname for a volatility index such as India VIX, and it is a misnomer — the index measures the price of optionality, meaning t…

Market Sentiment

Market sentiment, read through volatility, is what option prices reveal about crowd positioning — via the put-call ratio, the skew, and the term-structure…

What volatility says about positioning Intermediate →

Explore the other sections

Frequently asked questions

What is volatility indices?

A volatility index is a model-free measure of the volatility that an index's option chain is currently pricing over a fixed forward window, usually 30 days, quoted as an annualised percentage. India VIX does this for NIFTY and CBOE's VIX does it for the S&P 500. Both measure expected magnitude of movement, not its direction.

How many volatility indices pages does VolatilityGyan have?

VolatilityGyan documents 8 concepts under Volatility Indices, each with a plain-English definition, a professional explanation, the formula with every variable defined, an original diagram, worked NIFTY examples, its limitations, common mistakes and at least twenty frequently asked questions.

Where should I start with volatility indices?

Start with India VIX. India VIX is NSE's volatility index — a model-free measure of the volatility the near-dated NIFTY option chain is pricing over a fixed forward 30-day window, quoted as an annualised percentage and computed from a strip of option prices rather than by inverting Black–Scholes on any one option.