VIX is an indicator of volatility in the market and is commonly referred to as the “Fear Index”, since if the VIX is high, then it is interpreted as a high level of fear in the market, and vice-versa. Based on NIFTY Index Option pricing, India VIX is a volatility indicator.
How is India VIX calculated?
India VIX is calculated using the best bid and ask prices of the OTM NIFTY option contracts using the forward index level.
How to read VIX?
For example, if India VIX is at 13, it implies that traders are anticipating a volatility of 13% over the next 30 days.