India VIX closed at its window high on Budget day and was below its pre Budget close by 3 Feb 2026
Before a known event, such as a Union Budget or a company's results, the options that span it carry extra volatility. Buyers pay for the chance of a large move on the day, and that payment shows up as higher implied volatility. When the event passes, the uncertainty goes with it, and implied volatility falls back. That fall is the crush.
The chart is India VIX from 20 Jan 2026 to 9 Feb 2026, around Budget day, 1 Feb 2026. NSE held a special session that Sunday. The Budget is presented during trading hours, so that day's close already holds the reaction. NIFTY fell sharply, and VIX closed at the high of the window. By 3 Feb 2026 it was below its close of 30 Jan 2026, the last session before the Budget.
A single expiry shows the same. On the 24 Feb 2026 NIFTY chain, the at the money implied volatility was in the mid teens on the Budget session and fell by a couple of vol points in the next session, when the index rose. That fall mixes event premium with a rebound from the sharp move, so it is not a pure crush.
A buyer who pays the event premium can be right on direction and still lose, because the volatility that was priced in leaves the option when the event passes. A seller collects that premium and carries the risk of a gap before the event.
Two checks help. Compare the same expiry on the day before and the day after the event, not two different expiries. And remember that India VIX blends the near and next expiry into one 30 day figure, so it fell by less than the single expiry did.
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