On 15 Sep 2026 implied volatility stood above recent realised volatility over every window up to three months
Implied volatility is the price of expected movement, and realised volatility is the movement that came. Compare the two over the same window and you can tell whether option prices paid more or less than the index delivered. The gap between them, measured in variance terms, is the variance risk premium.
The cone sets the range of realised volatility over several windows, from ten sessions to one hundred and twenty, using the Nifty close series. The line is the latest thirty day implied volatility. On 15 Sep 2026 that line sat above realised volatility over the ten, twenty, forty and sixty session windows, and below it over one hundred and twenty sessions, the one window where realised ran higher. The options were priced for more movement than the index had shown over the shorter windows.
The usual explanation is that investors pay to be protected against sudden falls, and option sellers take the other side for a premium. That is a reason a premium can exist, not a promise that it will persist. The same record shows stretches where realised volatility ran above implied, and in April 2026 it did so on every session, so the sign reverses.
Measure both sides over the same window, or the gap mixes two periods.
A positive premium is compensation for the rare large move, not extra income. The seller carries that tail, and the premium is the price of carrying it. The short straddle page shows how often a seller of at the money options finishes inside the breakevens, and why the tail matters more than the average.
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