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Implied Volatility and Nifty 50 correlation ?

Implied Volatility and Nifty 50 correlation ?

Common Questions Regarding to implied volatility?

  1. How to find direction of Nifty 50 if implied volatility increase or decrease ?
  2. How to find direction of Nifty 50  if India Vix increase or decrease ? 
  1. Steps to Find the correlating between nifty 50 and India Vix

           Calculating Correlation between India vix and Nifty 50 Movement.

           For Intraday trading select 5 day data 

           For Swing Trading Select 30 day data 

           For Positional trade select 3 month data

  1. Collect data of India vix and Index data.
  2. Collect 5 day historical data  of India vix .Link is below 
  3. https://www.nseindia.com/products/content/equities/indices/historical_vix.htm
  4. Collect 5 day historical data  of Index .Link is below 
  5. https://www.nseindia.com/products/content/equities/indices/historical_index_data.htm
  6. Select closing  data of India vix and nifty 50.
  7. Go to Excel
  8. Paste the values next to each other.
  9. Use Correlation coefficient formula in excel
  10. Formula is  = (Correl select India vix data , select Nifty 50 data)

Result Conclusion

  1. If value is -1 to -0.8  (Strong Negative) eg. If Vix move up nifty move down
  2. If value is -8 to -0.5  ( Negative) eg. If Vix move up nifty move down
  3. If value is -5 to -0.5  (No Trade)
  4. If value is 0.8 to 0.5  ( Positive) eg. If Vix move up nifty move UP
  5. If value is 1 to 0.8   (Strong Positive) eg. If Vix move up nifty move UP

2. Steps to Find the correlating between Nifty 50 and Implied Volatility

       Calculating Correlation between Implied Volatility and Nifty 50 Movement.

       For Intraday trading select 5 day data 

       For Swing Trading Select 30 day data 

       For Positional trade select 3 month data

  1. Collect data of India Volatility and Index data.
  2. Collect 5 day historical data  of Implied Volatility . Link is below  you need to collect call and put implied volatility data manually every day .
  3. https://www.nseindia.com/live_market/dynaContent/live_watch/option_chain/optionKeys.jsp?symbolCode=-10006&symbol=NIFTY&symbol=NIFTY&instrument=-&date=-&segmentLink=17&symbolCount=2&segmentLink=17
  4. Collect 5 day historical data  of Index .Link is below 
  5. https://www.nseindia.com/products/content/equities/indices/historical_index_data.htm
  6. Select closing  data of Implied Volatility and nifty 50.
  7. Go to Excel
  8. Paste the values next to each other.
  9. Use Correlation coefficient formula in excel for call and put side.
  10. Formula is  = (Correl select Implied Volatility data of call side , select Nifty 50 data)
  11. Same for Put  side.

Result Conclusion

  1. If value is -1 to -0.8  (Strong Negative) eg. Implied Volatility move up nifty move down
  2. If value is -8 to -0.5  ( Negative) eg. Implied Volatility move up nifty move down
  3. If value is -5 to -0.5  (No Trade)
  4. If value is 0.8 to 0.5  ( Positive) eg. Implied Volatility move up nifty move UP
  5. If value is 1 to 0.8   (Strong Positive) eg. Implied Volatility move up nifty move UP
 

 

 
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Saturday, 30 May 2020

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