--- title: "India VIX rebuilt from the Nifty option chain" description: "India VIX built from out of the money Nifty options, rebuilt step by step from NSE settlement prices on dated chains and compared with the published index." source_url: "https://www.rupeecase.com/learn/path-16/module-16-11-india-vix-rebuilt" --- [Path 16 11 of 16](/learn/path-16/)India VIX rebuilt step by step[Next 16.12](/learn/path-16/module-16-12-forecasting-volatility) Wednesday 10 Jun 2026. India VIX closed at 15.63. I took the settlement prices of the 30 Jun and 28 Jul Nifty expiries from NSE's end of day file, ran the recipe in NSE's own India VIX methodology note, and got 15.50. Same recipe, different prices, −0.13 points apart. India VIX is not a model and not an at the money vol. It is a sum over a strip of options. This module rebuilds that sum step by step, so you can see where the number comes from, and why a rebuild never matches to the second decimal. Every figure comes from NSE end of day files, dated, so nothing here is live and nothing is a view on the next move. 3By the end you can 1. Rebuild a 30 day volatility index from two dated Nifty expiries, step by step, and compare it with the published India VIX. 2. Say which strikes carry the most weight in the sum, and why far out of the money options still count. 3. List the differences between a rebuild on end of day prices and NSE's own calculation. Watch in the terminal: which figures are mine? A short tutorial on sample data. ## The idea, plainly ### What is India VIX, in one line? It is NSE's volatility index. Its methodology note says it uses the best bid and ask quotes of the near and next month Nifty options, follows a method first built for the US index options market with amendments for the Nifty order book, and reads as the expected volatility over the next 30 calendar days, as a yearly percentage. The [India VIX module](/learn/path-16/module-16-2-india-vix-explained) covers what it means. This one covers how it is made. The index does not pick the at the money option. It adds up the out of the money options on both sides of the forward. ### Why does a strip of options give a variance? The fair price of a contract that pays the realised variance of the index over a period can be built, in theory, from out of the money options of every strike, each weighted by one over its strike squared. That is the result in the volatility swaps paper listed in the sources. India VIX takes that price, scales it to a year and reads the root. Two things follow. Far out of the money options count for more than their small prices suggest, because the weight grows as the strike falls. And no model of the index is used, only prices. Six steps from a chain to the index A sketch of the method, not a market number. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. ### What are the steps? 1. **The forward.** NSE takes the latest traded price of the Nifty future of that expiry. This rebuild takes the parity forward, found at the strike where the call and put settled closest. For the 30 Jun expiry that was 23,249.60, against 23,240.10 for the future. 2. **K0.** The strike just below the forward: 23,200 here. 3. **The strip.** Puts below K0, calls above it, and at K0 the average of the put and the call. NSE uses the middle of the best bid and ask, and fills a strike whose spread is over thirty percent of the middle with a cubic spline. The rebuild uses the settlement price, skips a strike that settled at zero, and stops each side after two strikes in a row that did not trade. 4. **Each strike's share.** The gap between strikes over the strike squared, times the option price, times a small interest factor. The factor is e raised to the rate times the time, and for the near expiry here it is 1.0028. 5. **The expiry's variance.** Add the shares, double, divide by time, take off a small term for the forward not sitting on K0. 6. **The blend.** Near and next expiry are weighted so that the result sits at thirty days, then scaled to a year. 7. **The root.** Take the square root and multiply by one hundred. One more rule on the strip itself. NSE's note says a spline is built only when at least three usable quotes exist. If they do not, no volatility is computed for that expiry on that tick, and the previous tick's value for it is carried forward. I take the method from that published note. NSE may have refined details since, which is one more reason a rebuild differs. What are the steps?, in 7 steps The list in this section, as a sequence. Source: Module 16.11, India VIX rebuilt step by step. The maths: the three formulas For one expiry, with strikes K, the gap between neighbouring strikes dK, the option price Q, the rate R and time T in years: s^2 = (2 / T) x sum of [dK / K^2 x e^(RT) x Q] less (1 / T) x (F / K0 - 1)^2 The gap dK is half the distance between the strikes either side, and the whole step at the two ends of the strip. The blend takes the near and next variances, with N the days to each expiry: w1 = (N2 - 30) / (N2 - N1) w2 = (30 - N1) / (N2 - N1) VIX = 100 x sqrt( [T1 s1^2 w1 + T2 s2^2 w2] x 365 / 30 ) NSE counts time in minutes, to the close at 3:30 pm on expiry day, uses an NSE MIBOR tenor for the rate, and rolls to the next and far expiry when three trading days are left in the near one. This rebuild counts calendar days, uses the T-bill rate of the date, and stays on the two monthlies that bracket 30 days. ## Worked example: 10 Jun 2026 ### What does each step give? The two expiries are the 30 Jun monthly with 20 days left and the 28 Jul monthly with 48. Thirty days lies between them, so the blend interpolates. Read the table down each column and then across. | Step | Near | Next | | --- | --- | --- | | Days to expiry | 20 | 48 | | Forward F | 23,249.60 | 23,348.84 | | K0 | 23,200 | 23,300 | | Sum of dK/K^2 x Q | 0.000707 | 0.001483 | | Variance s^2 | 0.02581 | 0.02267 | | Volatility s | 16.06% | 15.06% | | Weight in blend | 0.6429 | 0.3571 | Read one more paragraph, 92 words The near variance, 0.02581, is above the next, 0.02267: the shorter expiry carries more variance per year, as the curve of at the money vols also showed. Blend the two variances with those weights, scale to a year, and the 30 day variance is 0.02401. Its root, times one hundred, is 15.50. NSE published 15.63. The two expiries' volatilities, 16.06% and 15.06%, are both above the 15.03 percent at the money vol of the near expiry, because the strip includes the left side of the smile. ### Where does the number come from? Split the near expiry's sum by how far each strike is from K0. The four groups sum to 0.000397, 0.000203, 0.000070 and 0.000038, from the centre outward. The centre dominates, because option prices are largest there. The wings count less each but cover many strikes, and their weight per rupee of premium is higher. More than half the sum sits within two percent of the money Nifty 30 Jun 2026 expiry, strikes in the strip grouped by distance from K0. The sum is dK over K squared times the settlement price. Computed by RupeeCase from NSE settlement prices. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. Read one more paragraph, 64 words Strikes within two percent of K0 carry 56.1 percent of the sum, those two to five percent away 28.7 and those five to ten percent away 9.8. The strikes more than ten percent away, which most traders never look at, still carry 5.4 percent. A rise in the price of those far puts would lift India VIX with no change at the money. ### How close does the rebuild land? On 7 Apr 2025 the near expiry had 17 days and the next 52. Their variances were 0.07064 and 0.03724, and the rebuild gave 22.17 percent against 22.79 published. On 11 Jun 2025 the expiries had 15 and 50 days, variances 0.02000 and 0.01970, and the rebuild gave 14.07 against 13.67. The rebuild was under the published index on two dates and over it on one. The rebuild landed within a point of the published index each time Rebuilt from NSE settlement prices of the two monthly expiries that bracket 30 days. Published value from NSE's index file. Computed by RupeeCase. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. The gap has no fixed sign because the differences pull in different directions. * **Prices.** NSE uses the middle of the best bid and ask through the day. The rebuild uses one settlement price per strike. * **The forward.** NSE takes the future. The rebuild takes parity. * **Gaps in the strip.** NSE fills them with a cubic spline. The rebuild stops each side after two strikes that did not trade. * **Time and rate.** Minutes to 3:30 pm and a MIBOR tenor, against calendar days and a T-bill. * **The roll.** With three trading days left in the near expiry, the note has NSE move to the next and far expiry. The three dates here are all well clear of that. * **The note itself.** Its worked example uses index levels from long ago, and I read the method from it, not the numbers. ### Is it the at the money implied volatility? No. On 10 Jun 2026 the at the money vol of the near expiry was 15.03 percent and India VIX 15.63. The chart sets India VIX beside a constant 30 day at the money measure from the same files. The at the money measure runs under India VIX for most of the year India VIX close, and the constant 30 day at the money implied volatility computed by RupeeCase from NSE settlement prices, both in percent a year. Source: NSE end of day data, computed by RupeeCase. As of 30 Jun 2026. Read one more paragraph, 55 words Over the 300 sessions from 1 Jul 2025 to 15 Sep 2026 in the series files, a longer span than the chart, the at the money measure averaged 12.42 and India VIX 13.49. The file's own note says why: the at the money measure reads one strike, and India VIX reads the whole smile. ### What the index does not do It does not say which way Nifty goes. The strip holds puts and calls, and a variance has no sign. It does not read one strike, so a quiet at the money option with dear wings still lifts it. And it does not forecast: it is a price for the next thirty days of variance, with the charge for bearing the risk inside it. When India VIX jumps and the at the money vol barely moves, the wings are the place to look, and a rebuild like this one shows how much of the move came from them. ## The common mistake The claim: India VIX is the implied volatility of the at the money Nifty option. It is not. On 10 Jun 2026 the at the money vol of the 30 Jun expiry was 15.03 percent against 15.63 for the index, and the strip behind the index carried 5.4 percent of its sum in strikes more than ten percent from K0. The at the money option is the centre of the strip, not the whole of it. I read India VIX as a price of variance over the next 30 days, and I do not read it as one option's vol. ## Key takeaways * India VIX adds up out of the money options on both sides of the forward. * Each strike counts for its price over the square of its strike. * Two expiries are blended to a constant 30 days, then rooted. * The rebuild landed within a point of the published index on three dates. * More than half the sum sat within two percent of the at the money strike. * India VIX is not the at the money implied volatility. The term this section turns on: India VIX From the module glossary; every term is in the Learn glossary too. Source: Module 16.11, India VIX rebuilt step by step. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What does India VIX rebuilt step by step cover?India VIX is not an at the money implied volatility and not a model. It is a sum over a strip of options. Here is the sum, rebuilt, and where it differs from NSE's. It works through The idea, plainly, Worked example: 10 Jun 2026, The common mistake, Key takeaways. It is module 16.11 of Path 16, Volatility, about 10 minutes of reading, free. TTry it ## VIX replication, on the same example. The seven steps from a dated chain to a 30 day volatility number, checked against India VIX that day. Dated NSE end of day data, nothing live, no orders. **VIX replication**, Nifty, 10 Jun 2026, 30 Jun 2026 expiry. [Open the vix replication](/learn/tools/vix-replication?chain=NIFTY_2026-06-10_2026-06-30) AF&O on RupeeCase ## Hedging only, in development F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging) QQuick check ## 10 questions, 7 to pass. Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 16 certificate. 7 of 10 correct passes module 16.11 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 16 so far. Your quick check results on this device, stop by stop. Stop 11 of 16 on Path 16 Volatility: every live stop, this module ringed. Source: RupeeCase Learn, Path 16. 1. [16.1Volatility: historical against impliedNot yet](/learn/path-16/module-16-1-historical-vs-implied-volatility) 2. [16.2India VIX for beginners: what it measures and what it does notNot yet](/learn/path-16/module-16-2-india-vix-explained) 3. [16.3Solving for implied volatilityNot yet](/learn/path-16/module-16-3-solving-for-implied-volatility) 4. [16.4IV rank and IV percentile, done properlyNot yet](/learn/path-16/module-16-4-iv-rank-and-iv-percentile) 5. [16.5Measuring realised volatility: four estimatorsNot yet](/learn/path-16/module-16-5-realised-volatility-estimators) 6. [16.6Events and IV crush: results, Budget, RBI and electionsNot yet](/learn/path-16/module-16-6-iv-crush-around-events) 7. [16.7Smile and skew: a first look at Nifty and stocksNot yet](/learn/path-16/module-16-7-volatility-smile-and-skew) 8. [16.8Skew measures: risk reversal, butterfly and slopeNot yet](/learn/path-16/module-16-8-skew-measures) 9. [16.9Term structure and event varianceNot yet](/learn/path-16/module-16-9-term-structure-and-event-variance) 10. [16.10Forward volatility from two expiriesNot yet](/learn/path-16/module-16-10-forward-volatility) 11. [16.11India VIX rebuilt step by stepNot yet](/learn/path-16/module-16-11-india-vix-rebuilt#quiz) 12. [16.12Forecasting volatility: EWMA, GARCH and HARNot yet](/learn/path-16/module-16-12-forecasting-volatility) 13. [16.13The variance risk premium in NiftyNot yet](/learn/path-16/module-16-13-variance-risk-premium) 14. [16.14Variance swaps and replicationNot yet](/learn/path-16/module-16-14-variance-swaps) 15. [16.15Volatility surface models: SVI, SABR, local and stochastic volNot yet](/learn/path-16/module-16-15-volatility-surface-models) 16. [16.16Skew dynamics: sticky strike against sticky deltaNot yet](/learn/path-16/module-16-16-skew-dynamics) 17. [TPath test, 30 questionsNot yet](/learn/path-16/module-16-16-skew-dynamics#pathTestSection) Path 16 in reading time: 159 minutes over 16 modules Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 16. Explore next ## Put the module to work. * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [Free module 16.2India VIX for beginners: what it measures and what it does not8 min read](/learn/path-16/module-16-2-india-vix-explained) * [Free module 16.1Volatility: historical against implied7 min read](/learn/path-16/module-16-1-historical-vs-implied-volatility) * [Free module 16.3Solving for implied volatility9 min read](/learn/path-16/module-16-3-solving-for-implied-volatility) * [Free module 16.7Smile and skew: a first look at Nifty and stocks8 min read](/learn/path-16/module-16-7-volatility-smile-and-skew) * [Free module 16.9Term structure and event variance10 min read](/learn/path-16/module-16-9-term-structure-and-event-variance) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 6 sources, NSE the most cited The publisher of each source listed below. Source: Module 16.11 source list. 1. [NSE, India VIX: index page](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE 2. [NSE, India VIX white paper: computation methodology](https://nsearchives.nseindia.com/web/sites/default/files/inline-files/white_paper_IndiaVIX.pdf) NSE 3. [NSE, derivatives end of day reports: the F&O bhavcopy these figures are built from](https://www.nseindia.com/all-reports-derivatives) NSE 4. [NISM, Series VIII Equity Derivatives, test objectives (option pricing, volatility and option strategies)](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM 5. [SEBI investor education, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI 6. [Demeterfi, Derman, Kamal and Zou (1999), More than you ever wanted to know about volatility swaps](https://emanuelderman.com/wp-content/uploads/1999/02/gs-volatility_swaps.pdf) Paper GTerms ## 5 terms from this module. India VIXNSE's volatility index. It is built from the prices of near and next month Nifty options and reads as an expected volatility over the next 30 calendar days, as a yearly percentage. K0The strike just below the forward. It is the dividing line between the puts and the calls in the strip. StripThe set of out of the money options used: puts below K0, calls above it, and the average of the call and the put at K0. Variance swapA contract that pays the realised variance of the index over a period. Its fair price can be read out of a strip of options. Cubic splineA smooth curve through the quotes of nearby strikes. NSE uses it to fill a strike whose quote is missing or too wide. [All 230 terms in the glossary](/learn/glossary) [Question people askHow is India VIX calculated?A short answer with a dated chart](/learn/questions/how-india-vix-is-calculated)[Related module16.2 India VIX for beginners: what it measures and what it does not8 min, Beginner](/learn/path-16/module-16-2-india-vix-explained)[Related module16.1 Volatility: historical against implied7 min, Beginner](/learn/path-16/module-16-1-historical-vs-implied-volatility)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives) Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.