---
title: "Event Hedging and Event Variance: Budget 2026 Nifty Data"
description: "How event variance is read from two Nifty expiries, why it rests on a guess, and what a put costs before an event, on NSE data around the Budget of 1 Feb 2026."
source_url: "https://www.rupeecase.com/learn/path-17/module-17-19-event-hedging"
---

[Path 17 19 of 23](/learn/path-17/)Event hedging with event variance[Next 17.20](/learn/path-17/module-17-20-tail-hedging)

Sunday 1 Feb 2026. In the Budget session the Nifty fell 1.96%. On Friday 30 Jan India VIX had closed at 13.63, which prices an ordinary trading day at about 0.86 percent. The Budget session moved 2.3 times that. Then came Tuesday 3 Feb, which rose 2.55 percent, a bigger move than the event itself. Anyone hedging "for the Budget" had two questions: what did the market charge for the event, and was the hedge pointed at the right day? My data set has no chain from 30 Jan, so I cannot show the price. This lesson shows the arithmetic on chains I do have, and the week as it unfolded. Dated NSE data, nothing live, nothing a view on the next event.

3By the end you can

1. Read the variance of an event day from two expiries and say what base volatility it rests on.
2. Compare the Budget week of 2026 with the move an ordinary day was priced for.
3. Price a put and a put spread before an event and read the crush in a scenario grid.

Watch in the terminal: what do estimated costs take? A short tutorial on sample data.

## The idea, plainly

### What is event variance?

Variance adds up over days. An expiry that holds a known event day carries the variance of its ordinary days plus the variance of the event day, which is larger than an ordinary day's. Subtract the ordinary days and what remains is the market's price for the event. Its square root is the one day move the price allows for. The Budget, an RBI policy day, election counting and a results day all work this way.

Total variance = IV^2 * T
Two expiries, T1 below T2:
span = IV2^2*T2-IV1^2*T1
event day = span
  -base^2*(T2-T1-d)
d: 1 day in years
base: quiet day vol

### How do I read it from two expiries?

Take the at the money implied volatility of a near expiry and a later one that holds the event. Work out the variance of the span between them. Take away the variance of the quiet days, at a base volatility you have to choose. What is left belongs to the event day. The forward volatility tool on this page does the sum for any dated pair.

A term structure is a path with forward volatilities between the points

At the money implied volatility by expiry on 11 Jun 2025. The segments between points are the forward volatilities of each span, from total variance. A rise from one expiry to the next is where an event lump would sit. Source: NSE end of day data, computed by RupeeCase. As of 11 Jun 2025.
Read 3 more paragraphs, 211 words
Which expiries to pair matters. The nearest expiry is distorted by expiry day gamma, so I avoid a near leg with only a day or two left. A weekly and a monthly are priced a little differently, so a mixed pair can show a bump that is only that difference. Pairs of the same kind, with a few days between, are cleaner.

The sum has one catch. The chart shows a rise between expiries, and a rise is exactly what an event lump looks like. It is also what an ordinary upward sloping term structure looks like. The term structure cannot tell the two apart. Only a calendar can: a dated event that falls inside the span. I read event variance only when I can name the date.

India makes the calendar easy to read and hard to price. Budget day is announced, RBI policy dates are published well ahead, results dates are filed with the exchange, and counting day is fixed. The Budget of 1 Feb 2026 fell on a Sunday and the exchange held a special trading session. Each is a name on a calendar, which is what the sum needs. What none of them gives is the size, which is why the sum is only half the work.

### How fragile is the answer?

Take the 16 Jun and 30 Jun 2026 expiries of the 10 Jun 2026 chain. No dated event sits between them, and the pair is a weekly against a monthly, so this tests the sum and reads no event. Priced at 14.61% and 15.03% for 6 and 20 days, the span carries more variance than quiet days at the near volatility would. If the quiet days run at 14.61%, the leftover day carries 2.17 times an ordinary day's variance. If they run at 15.03%, it carries 1.33 times. If at 15.53%, only 0.42.

A nearly flat curve leaves little for an event, and the answer rests on one guess

At the money implied volatility by expiry on 10 Jun 2026, with forward volatilities between expiries. A flat curve gives an event day close to an ordinary day, unless you assume quiet days run lower. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
The maths: event day as a multiple of an ordinary day
Span variance:
w = IV2^2*T2-IV1^2*T1
event = w-b^2*(T2-T1-d)
ratio = event / (b^2 * d)
ratio = 1: an ordinary day
Move = S * sqrt(event)
b = forward vol: ratio = 1
b below it: ratio above 1
If the quiet days run at exactly the forward volatility of the span, nothing is left over and the ratio is one. A lower base leaves more for the event, and a higher one leaves less. The ratio is a multiple of variance. The move is its square root.

Read one more paragraph, 61 words
Same chain, three guesses, three answers from more than double to under half of an ordinary day. The event variance is the residue after a guess, and the residue swings when the guess moves a few tenths of a vol point. That is why I show the sensitivity, as the tool does, and why I treat the reading as a range.

## Worked example: the Budget week and a hedge before it

### What did the Budget week do?

The ordinary day at VIX 13.63 is a move of 0.86 percent. Here is the week, five sessions, with moves of 0.30, 0.39, 1.96, 1.06 and 2.55 percent in size. The Budget session was 2.3 times an ordinary day, and the next two sessions were both larger than an ordinary day too.

The biggest move of the Budget week came two sessions after the Budget

Percent, close to close, from the NSE index file. The last bar is India VIX of 30 Jan divided by the square root of 252, the move an ordinary day was priced for. Source: NSE end of day data, computed by RupeeCase. As of 3 Feb 2026.
Read one more paragraph, 71 words
An event hedge is a bet on a date. A put that expires on the day of the event covers the event. A put that expires a week later covers the event and everything after. The week showed that the move can come later. I do not read this as a case for hedging after the fact. I read it as a reason to know exactly which sessions a hedge covers.

### What does a hedge before an event cost?

Take one lot of 65 units on the 10 Jun 2026 chain, with the 16 Jun weekly. A put struck at 22,700 costs 27.60 a unit, Rs 1,794 a lot, which is 0.12% of the lot's value. The index has to fall 2.34% for it to pay at expiry. An ordinary day at that date's India VIX is 0.98 percent, so the break even is about 2.4 ordinary days.

After the event, the put loses on time and on crush even when the index is flat

| Index move | 3 days on, rupees a lot |
| --- | --- |
| IV −3 | IV same | IV +3 |
| −4% | +24,599 | +25,189 | +26,001 |
| −2% | +2,976 | +4,538 | +6,113 |
| 0% | −1,665 | −1,355 | −829 |
| +2% | −1,794 | −1,787 | −1,752 |
| +4% | −1,794 | −1,794 | −1,793 |

Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.

One lot, rupees, Black 76, three days after the example date. The middle row is an unmoved index. The left column is a three point fall in implied volatility, the crush when the event is out. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read 2 more paragraphs, 147 words
The grid shows the part people forget. With the index unmoved, the put loses on time, and it loses more when implied volatility falls three points once the event is out: compare the left column with the middle one on the unmoved row. A fall of two percent pays, and pays less if volatility drops with it. The price of waiting for an event is paid whether or not it moves.

Costs add to this. A buyer pays the premium up front, STT does not apply to a put that expires worthless, and exercise on an in the money index option is taxed on its intrinsic value, so a put that pays in a fall has a charge at expiry too. The [cost of a trade lesson](/learn/path-12/module-12-6-cost-of-an-fo-trade) adds the lines up. None of it changes the shape of the grid, and all of it is on top.

The term this section turns on: Crush

From the module glossary; every term is in the Learn glossary too. Source: Module 17.19, Event hedging with event variance.

### Are there cheaper shapes?

A put spread sells a lower strike against the put. On the same chain, the 22,700 put bought against the 22,400 put sold costs Rs 1,216 a lot, and the most it can pay is Rs 18,284 a lot. Cheaper, and capped. Selling a lower strike gives away the part of the move beyond it, which is the part a hedge buys for a real shock. The [collar and put spread lesson](/learn/path-17/module-17-14-collars-and-put-spreads) sets the trade offs out.

Read 3 more paragraphs, 207 words
Two other tools carry no option premium. Hold less beforehand, which has no volatility exposure at all, or sell a future against the holding, which has margin and costs of its own but no crush. Neither pays like an option, and neither loses to crush. Which suits an event depends on whether it is the size of the move or the timing of it that worries the holder, and no number in this file decides that.

One more line on the week. The straddle logic of the [IV crush lesson](/learn/path-16/module-16-6-iv-crush-around-events) says a long straddle gains only if the move beats its price. The same holds for a hedge: a put that cost the event's price pays only for the part of the move beyond what was paid for. A hedge is insurance, so the premium is a cost every time the event passes quietly. Whether that cost is worth paying is a question about the holder's exposure, not about the chain.

Elections, RBI policy days and results days follow the same arithmetic. The files here have no pre event chain for them, so I draw no number. The method carries over: name the date, find the two expiries around it, choose the base, and show the range.

## The common mistake

The claim: The term structure tells you how big the event move will be. It tells you what is left after a guess. On the 10 Jun 2026 chain the same prices give 2.17 times an ordinary day, 1.33 times or 0.42 times, depending on the quiet day volatility chosen. Even when the reading is sound, the Budget week of 2026 shows a move can land on a different day than the event, and a bigger one. Treat the implied event move as a range with a stated base, and know which sessions the hedge covers.

## Key takeaways

* Event variance is the variance of a span less its quiet days.
* It is a residue: the answer swings with the quiet day guess.
* Only a dated event inside the span makes a rise in the curve an event.
* The biggest move of the Budget week came two sessions after the Budget.
* A put bought before an event loses to crush even when the index is flat.
* A hedge covers sessions: know which ones it covers.

Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data.

Two terms to hold on to from 17.19

From the module glossary. Source: Module 17.19, Event hedging with event variance.
**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 Event hedging with event variance cover?An event adds a lump of variance to the expiries that hold it. Reading the lump takes a guess, and the guess moves the answer. It works through The idea, plainly, Worked example: the Budget week and a hedge before it, The common mistake, Key takeaways. It is module 17.19 of Path 17, Strategies and Hedging, about 10 minutes of reading, free.

TTry it

## Forward vol and event move, on the same example.
The volatility between two expiries and the move an event prices in. Dated NSE end of day data, nothing live, no orders.

**Forward vol and event move**, Nifty, 11 Jun 2025, 26 Jun 2025 expiry.

[Open the forward vol and event move](/learn/tools/forward-vol?chain=NIFTY_2025-06-11_2025-06-26)

  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 17 certificate.

7 of 10 correct passes module 17.19

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

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CCheck yourself

## Path 17 so far.
Your quick check results on this device, stop by stop.

Stop 19 of 23 on Path 17

Strategies and Hedging: every live stop, this module ringed. Source: RupeeCase Learn, Path 17.

1. [17.1Reading and building payoff diagramsNot yet](/learn/path-17/module-17-1-payoff-diagrams)
2. [17.2Vertical debit spreads: bull call and bear putNot yet](/learn/path-17/module-17-2-bull-call-and-bear-put-spreads)
3. [17.3Covered call, protective put and cash secured putNot yet](/learn/path-17/module-17-3-covered-call-and-protective-put)
4. [17.4Why and when to hedge: insurance in plain numbersNot yet](/learn/path-17/module-17-4-why-hedge)
5. [17.5Straddles and strangles, long and shortNot yet](/learn/path-17/module-17-5-straddles-and-strangles)
6. [17.6Credit spreads: bull put and bear callNot yet](/learn/path-17/module-17-6-credit-spreads)
7. [17.7Iron condor and iron fly on NiftyNot yet](/learn/path-17/module-17-7-iron-condor-and-iron-fly)
8. [17.8Butterflies and broken wing butterfliesNot yet](/learn/path-17/module-17-8-butterflies)
9. [17.9Option calendar spreadsNot yet](/learn/path-17/module-17-9-option-calendar-spreads)
10. [17.10Choosing a strategy by view: direction, volatility and timeNot yet](/learn/path-17/module-17-10-strategy-by-view)
11. [17.11Adjustments: what they really do to riskNot yet](/learn/path-17/module-17-11-option-adjustments)
12. [17.12Expiry day: gamma, theta, settlement and the rulesNot yet](/learn/path-17/module-17-12-expiry-day)
13. [17.13Hedging a stock portfolio with Nifty putsNot yet](/learn/path-17/module-17-13-hedging-with-nifty-puts)
14. [17.14Collars and put spreads as cheaper hedgesNot yet](/learn/path-17/module-17-14-collars-and-put-spreads)
15. [17.15Hedging mutual fund portfolios: beta and basisNot yet](/learn/path-17/module-17-15-hedging-mutual-fund-portfolios)
16. [17.16Ratio spreads and backspreadsNot yet](/learn/path-17/module-17-16-ratio-spreads-and-backspreads)
17. [17.17Diagonals and double calendarsNot yet](/learn/path-17/module-17-17-diagonals-and-double-calendars)
18. [17.18P&L attribution by GreeksNot yet](/learn/path-17/module-17-18-pnl-attribution-by-greeks)
19. [17.19Event hedging with event varianceNot yet](/learn/path-17/module-17-19-event-hedging#quiz)
20. [17.20Tail hedging and long dated Nifty optionsNot yet](/learn/path-17/module-17-20-tail-hedging)
21. [17.21Hedging an option selling book: wings, vega, gaps and margin stressNot yet](/learn/path-17/module-17-21-hedging-an-option-selling-book)
22. [17.22Kelly and sizing for option strategiesNot yet](/learn/path-17/module-17-22-kelly-sizing)
23. [17.23Risk for option books: scenarios, stress, VaR, ES and margin shocksNot yet](/learn/path-17/module-17-23-option-book-risk)
24. [TPath test, 30 questionsNot yet](/learn/path-17/module-17-23-option-book-risk#pathTestSection)

Path 17 in reading time: 215 minutes over 23 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 17.

    Explore next

## Put the module to work.

* [Free module 16.9Term structure and event variance10 min read](/learn/path-16/module-16-9-term-structure-and-event-variance)
* [Free module 16.10Forward volatility from two expiries10 min read](/learn/path-16/module-16-10-forward-volatility)
* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)

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SSources

## Go to the source.
6 sources, NSE the most cited

The publisher of each source listed below. Source: Module 17.19 source list.
1. [NSE, India VIX: index page and methodology](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE
2. [NSE, derivatives end of day reports (the bhavcopy these figures are built from)](https://www.nseindia.com/all-reports-derivatives) NSE
3. [NSE, equity derivatives contract specifications: expiry cycles and lot sizes](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
4. [NSE, end of day index file for 15 Sep 2026 (index closes and India VIX)](https://nsearchives.nseindia.com/content/indices/ind_close_all_15092026.csv) NSE
5. [NISM, Series VIII Equity Derivatives certification examination: test objectives](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM
6. Gatheral, J., The Volatility Surface: A Practitioner's Guide, Wiley (2006), on term structure and forward variance Book

GTerms

## 5 terms from this module.
Event varianceThe variance an expiry carries for a known event day, over and above the quiet days around it. Its square root is the one day move the price allows for.
Forward volatilityThe volatility priced between two expiries, from the difference of their total variances. It is not the average of the two implied volatilities.
Base volatilityThe volatility assumed for the quiet days when separating an event day from a span. The event variance changes with this choice.
CrushThe fall in implied volatility, and so in option prices, once a known event is out and its extra variance leaves the price.
Put spreadA bought put with a lower strike put sold against it. It costs less than the put alone and pays no more than the gap between the strikes.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhat happens to options around Budget day and results day?A short answer with a dated chart](/learn/questions/budget-day-option-strategy)[Question people askHow does hedging before elections, the Budget or an RBI policy work?A short answer with a dated chart](/learn/questions/hedge-before-elections-budget)[Related module16.6 Events and IV crush: results, Budget, RBI and elections9 min, Intermediate](/learn/path-16/module-16-6-iv-crush-around-events)[Related module17.13 Hedging a stock portfolio with Nifty puts9 min, Intermediate](/learn/path-17/module-17-13-hedging-with-nifty-puts)[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.