Futures on India VIX - NSE
• India VIX based best bid-ask quotes of OTM strikes • Nifty near and mid option contract used • Mid and Far option contract quotes used with 3 days to expiry • Variance (volatility squared) computed separately for near and mid month expiry • Interpolated to get a single variance with a constant maturity of 30 days • Square root of variance is India VIX value. 4 Relationship between India VIX and Nifty • Negative … ................
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