How NIFTY option prices change across strikes and expiries: the implied volatility (IV) of every call and put, the skew between puts and calls, the term structure, and the skew over the last year.
1.0points of put skew · lower than 82% of days since 201511 Nov close
In plain words: Puts are only a little dearer than calls right now (skew 1.0 against a usual 2.7), so traders are not paying up much for protection against a fall. In the 8 Dec expiry, puts 2% below the price (15.2%) cost more than calls 2% above (14.8%): buyers lean towards protection against a fall. Nearer expiries are dearer (ATM IV 15.6% → 14.8%): traders expect bigger moves in the coming days than later.
ATM IV
14.8%
8 Dec expiry
Put 2% below
15.2%
24,850 put
Call 2% above
14.8%
25,700 call
Skew 2% away
+0.4
put minus call IV
Monthly skew
1.0
5% away · usual 2.7
Term structure
15.6 → 14.8%
nearest to 4th expiry
Volatility smile
IV by strike for the 8 Dec expiry · grey: the other expiries · tap the chart
CallsPutsOther expiries (out-of-the-money side)NIFTY now
Term structure
ATM IV for each expiry
IV grid
Every strike within 10 strikes of the price, for each expiry. Warmer = dearer options. Out of the money: puts below the ATM strike, calls above (the ones traders mostly buy).
Strike
17 Nov (5d)
23 Nov (11d)
1 Dec (19d)
8 Dec (26d)
25,800
16.7
16.2
15.6
–
25,750
16.5
16.1
15.4
–
25,700
16.4
16.1
15.4
14.8
25,650
16.3
15.9
15.3
14.8
25,600
16.1
15.9
15.4
14.7
25,550
16.0
15.9
15.3
14.7
25,500
15.9
15.7
15.2
14.8
25,450
15.8
15.7
15.2
14.7
25,400
15.7
15.6
15.2
14.7
25,350
15.7
15.6
15.2
14.7
25,300 ATM
15.6
15.6
15.2
14.8
25,250
15.6
15.4
15.1
14.8
25,200
15.4
15.7
15.0
14.9
25,150
15.3
15.7
15.1
14.7
25,100
15.2
15.7
15.2
14.9
25,050
15.3
15.8
15.2
14.9
25,000
15.2
15.7
15.3
15.0
24,950
15.2
15.8
15.4
15.0
24,900
15.1
15.8
15.4
15.1
24,850
15.2
15.9
16.9
15.2
24,800
15.2
16.2
15.6
–
Put skew over the last year
put 5% below minus call 5% above, monthly expiry, each day's close
Higher = traders paying more for protection against a fall. We keep this every day back to 2015 (2,925 days); the usual level is 2.7.
What is volatility skew?
Options at different strikes trade at different implied volatilities (IV). In Indian index options, puts below the price usually cost more than calls the same distance above, because traders pay extra to protect against a fall. That difference is the skew. When it rises, fear is rising; when it falls or turns negative, traders are relaxed or even expect a rise.
How to read the IV grid
Down a column: the smile for one expiry. A deep "U" means far strikes are dear.
Across a row: the term structure for one strike. Nearer expiries are often dearer before events.
Warm cells are expensive options to buy and rich options to sell.
How we work it out
Every minute we record the price of each NIFTY option near the money. This page takes the latest minute (15:40, Thu, 12 Nov) and works out the IV of each one with the Black-Scholes model, priced off the forward the options themselves imply at the ATM strike, so calls and puts agree.
Information only, not investment advice.
What is NIFTY volatility skew today?
It is shown at the top of this page: how much more implied volatility NIFTY puts below the price carry than calls the same distance above. A positive number means puts are dearer.
Why do puts usually cost more than calls?
Investors and funds buy puts to protect against a fall, and falls tend to be sharper than rises, so option sellers charge more for downside protection.
What does a negative skew mean?
Calls above the price cost more than puts below it: traders are paying for a move up, or have stopped worrying about a fall.
What is an IV grid?
A table of implied volatility for every strike (rows) and expiry (columns). Down a column is the volatility smile; across a row is the term structure.
How often is it updated?
Every minute during market hours, from our recorded option prices. After the close the page shows the day's final reading. The NIFTY daily skew history is added each evening.