{"id":40890383,"date":"2023-10-07T11:35:28","date_gmt":"2023-10-07T06:05:28","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890383"},"modified":"2023-10-07T11:35:28","modified_gmt":"2023-10-07T06:05:28","slug":"historical-vs-implied-volatility","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/10\/07\/historical-vs-implied-volatility\/","title":{"rendered":"Historical vs. Implied Volatility"},"content":{"rendered":"\n<p>India VIX is a volatility index computed by NSE based on the order book of NIFTY Options. For this, the best bid-ask quotes of near and next-month NIFTY options contracts. India VIX indicates the investor&#8217;s perception of the market&#8217;s volatility in the near term i.e. it depicts the expected market volatility over the next <strong>30 calendar days<\/strong>. Higher the India VIX values, higher the expected volatility and vice versa. (<a rel=\"noreferrer noopener\" href=\"https:\/\/static.nseindia.com\/\/s3fs-public\/inline-files\/white_paper_IndiaVIX.pdf\" target=\"_blank\">NSE<\/a>)<\/p>\n\n\n\n<p>Does the actual volatility come close what the VIX was implying 30 calendar days before? Not always and probably never.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-historical\/vix-historical.lag-20.gif?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>What if it&#8217;s pricing something more immediate? Here&#8217;s the regression with a 10-day lag:<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-historical\/vix-historical.lag-10.gif?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Regression with no lag:<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-historical\/vix-historical.lag-0.gif?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>The relationship between implied and historical is one of those things that are directionally true&#8230; sometimes.<\/p>\n\n\n\n<p>Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/volatility\/vix-historical\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>India VIX is a volatility index computed by NSE based on the order book of NIFTY Options. For this, the best bid-ask quotes of near and next-month NIFTY options contracts. India VIX indicates the investor&#8217;s perception of the market&#8217;s volatility in the near term i.e. it depicts the expected market volatility over the next 30 &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3221,1150],"class_list":["post-40890383","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-vix","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890383","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890383"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890383\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890383"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890383"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890383"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}