Is India VIX seasonal? Yes.
There is a huge amount of dispersion in the daily data when grouped by months. Taking averages of these may not make much sense.
![](https://github.com/stockviz/blog/blob/master/volatility/vix-seasonality/INDIA-VIX.monthly.png?raw=true)
However, when you decompose the series, you get some interesting monthly seasonality.
![](https://github.com/stockviz/blog/blob/master/volatility/vix-seasonality/INDIA-VIX.decomposition.png?raw=true)
Zooming into the “season_year” chart:
![](https://github.com/stockviz/blog/blob/master/volatility/vix-seasonality/INDIA-VIX.seasonality.png?raw=true)
If you transform the seasonality component and plot it by month, you’ll notice why everybody gets nervous in May.
![](https://github.com/stockviz/blog/blob/master/volatility/vix-seasonality/INDIA-VIX.seasonality.month.png?raw=true)
Code and charts on github.
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