Volatility Lab: implied vs historical volatility, IV skew and expected move for NSE indices

Implied volatility set against what the index has actually delivered, the skew across strikes, the term structure across expiries, and where today sits in the index's own history.

Implied against realised

The first card compares today's at-the-money implied volatility with the index's 30-day realised volatility, both annualised. The gap is shown in percentage points and as a ratio, with a plain sentence saying which way it runs: options pricing a wider range than the index has recently moved, or a narrower one. It is a measurement of two numbers. It does not call options cheap or expensive, and it does not say which way the index will go. The implied volatility guide explains both measures.

Expected move

From the ATM implied volatility and the days left to the expiry, the lab works out one standard deviation in index points and the statistical range it gives around spot. The assumptions behind it are printed under the figure. The range is where about two thirds of outcomes would fall if implied volatility turned out to be the realised one. It is not support, resistance or a target, and when no days are left to expiry it is not computed at all.

The volatility cone

Realised volatility over 10, 20, 30, 60 and 90-day windows, each set inside its own range from about a year of daily closes: the minimum, quartiles, median and maximum, today's reading, and its percentile. Each row shows how many windows it rests on. These are historical figures from closing prices, labelled as such, so the cone is never read as implied volatility.

Skew and the surface

• IV skew. Call and put implied volatility drawn against strike for the front expiry, as two separate lines, because the gap between them is the skew. Strikes with no recent trade, no two-sided quote or a very wide quote are left out rather than drawn faintly, and the count of excluded strikes and the reasons are stated under the chart.
• IV surface. On request, the same reading across the next four expiries: ATM IV, the put and call wings at strikes near 5% either side of spot, the skew between them, and the difference against the next expiry with the gap in days beside it. One expiry standing out from its neighbours, ahead of a policy date for example, is what the table is for.

IV rank and IV percentile, from the app's own record

No free Indian source publishes a year of option IV, so EzyOptions records its own for each index, starting in July 2026. IV rank and IV percentile are computed against that record. Until at least 20 sessions are in, the panel shows how many have been recorded instead of a rank. After that the figures name the number of sessions they rest on, which stays below the usual 252 until a full year has been recorded.

What the Volatility Lab cannot tell you

Every figure here describes the size of movement expected or delivered, never its direction. A high reading is not a reason to expect a fall and a low one is not a reason to expect a rise. The page states how fresh each of its three sources is: the option chain, the daily closes and the recorded IV history. The "What the data says" summary makes only the statements its data can support, and says nothing when it cannot. None of it is a forecast or a trade recommendation.

Volatility Lab questions

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Educational analytics only: not investment advice. You are responsible for your own trading decisions.