---
title: "Implied Correlation Tool for the Nifty 50 | RupeeCase"
description: "Free implied correlation tool on one dated NSE session: Nifty index IV, 50 stock IVs and weights, the correlation they imply and what was realised."
source_url: "https://www.rupeecase.com/learn/tools/implied-correlation"
---

* Implied correlation**0.39**on 10 Jun 2026, 30 Jun 2026 expiry
* Realised, 20 sessions before**0.18**to 10 Jun 2026, known that day
* Realised, 60 sessions before**0.40**to 10 Jun 2026, known that day
* Realised over the option's life**0.28**13 sessions, 10 Jun 2026 to 30 Jun 2026

**On 10 Jun 2026, the 30 Jun 2026 Nifty options were priced at 15.03 vol points.** The 50 stocks in the set, weighted by the fund holdings, average 23.3 vol points, and would add up to 4.7 if no two of them moved together. An index priced at 15.03 sits at a common correlation of 0.39 between those two ends. The same formula applied to what the stocks and the index then realised gives 0.28 over the 13 sessions to expiry, against 0.18 over the 20 sessions before and 0.40 over the 60 before.

|  | Correlation | Index vol | Stock vol, weighted | No correlation level |
| --- | --- | --- | --- | --- |
| Implied (10 Jun 2026) | 0.39 | 15.03 | 23.32 | 4.72 |
| Realised, 20 before | 0.18 | 10.30 | 22.63 | 4.42 |
| Realised, 60 before | 0.40 | 19.46 | 29.77 | 6.03 |
| Realised, to expiry | 0.28 | 12.82 | 23.11 | 4.70 |

Volatilities are in vol points a year. Implied rows use at the money implied volatilities of the 30 Jun 2026 expiry; realised rows use close to close volatilities of the Nifty 50 and of each stock, 252 sessions a year. The 20 and 60 session rows were known on the day; the last row was not, and is the one the implied figure was a price for. A stock whose price moved by more than 25 percent in one day inside a window (a corporate action or a crash) is left out of that window and the weights renormalised: here TRENT. 13 sessions is a short sample, so the realised figure over the life moves a lot with one or two days.

The index is priced at 15.0 vol points, 55% of the way from 4.7 to 23.3

The two ends come from the stock IVs alone: 4.7 if the stocks never moved together, 23.3 if they always did. Correlation is where the index variance sits between the variances at those two ends. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.Realised correlation has run from 0.04 to 0.60 over 20 sessions; the implied figure is 0.39

Each point is the same formula on the sessions up to that date, with the weights of 10 Jun 2026 held fixed throughout. The dashed line is the implied figure; the dot marks 10 Jun 2026, the session it comes from. Source: NSE end of day data, computed by RupeeCase. As of 15 Sep 2026.

### The largest names

| Stock | Weight | ATM IV | Realised, 20 before | Realised, to expiry |
| --- | --- | --- | --- | --- |
| HDFCBANK | 10.8% | 23.5 | 20.5 | 24.5 |
| ICICIBANK | 8.7% | 18.3 | 17.9 | 17.8 |
| RELIANCE | 8.0% | 26.7 | 17.6 | 18.7 |
| BHARTIARTL | 5.1% | 19.1 | 25.0 | 17.9 |
| LT | 4.3% | 19.9 | 16.4 | 26.9 |
| SBIN | 3.9% | 22.4 | 18.0 | 16.8 |
| INFY | 3.8% | 29.5 | 38.7 | 43.4 |
| AXISBANK | 3.6% | 19.9 | 19.2 | 18.5 |
| KOTAKBANK | 2.7% | 21.7 | 19.5 | 22.6 |
| ITC | 2.6% | 16.7 | 22.4 | 11.3 |

All 50 names in the set
| Stock | Weight | ATM IV | Realised, 20 before | Realised, to expiry |
| --- | --- | --- | --- | --- |
| HDFCBANK | 10.78% | 23.5 | 20.5 | 24.5 |
| ICICIBANK | 8.72% | 18.3 | 17.9 | 17.8 |
| RELIANCE | 8.02% | 26.7 | 17.6 | 18.7 |
| BHARTIARTL | 5.14% | 19.1 | 25.0 | 17.9 |
| LT | 4.34% | 19.9 | 16.4 | 26.9 |
| SBIN | 3.93% | 22.4 | 18.0 | 16.8 |
| INFY | 3.79% | 29.5 | 38.7 | 43.4 |
| AXISBANK | 3.56% | 19.9 | 19.2 | 18.5 |
| KOTAKBANK | 2.70% | 21.7 | 19.5 | 22.6 |
| ITC | 2.58% | 16.7 | 22.4 | 11.3 |
| M&M | 2.49% | 26.8 | 22.6 | 29.3 |
| BAJFINANCE | 2.23% | 27.4 | 23.1 | 30.5 |
| TCS | 2.07% | 29.0 | 42.6 | 30.6 |
| HINDUNILVR | 1.82% | 19.7 | 20.4 | 18.0 |
| SUNPHARMA | 1.78% | 15.9 | 17.6 | 9.7 |
| ETERNAL | 1.63% | 35.1 | 31.2 | 29.0 |
| MARUTI | 1.62% | 20.5 | 15.1 | 35.7 |
| TITAN | 1.57% | 22.1 | 22.7 | 25.6 |
| NTPC | 1.57% | 23.4 | 21.4 | 20.5 |
| TATASTEEL | 1.55% | 27.2 | 27.1 | 17.2 |
| HINDALCO | 1.42% | 28.8 | 36.5 | 25.3 |
| BEL | 1.38% | 24.9 | 19.7 | 25.8 |
| ADANIPORTS | 1.27% | 25.8 | 19.6 | 21.4 |
| POWERGRID | 1.23% | 21.5 | 24.4 | 15.2 |
| ULTRACEMCO | 1.21% | 21.3 | 17.4 | 21.1 |
| SHRIRAMFIN | 1.19% | 30.5 | 25.0 | 38.9 |
| ASIANPAINT | 1.16% | 21.6 | 19.7 | 16.1 |
| HCLTECH | 1.13% | 28.1 | 29.5 | 27.1 |
| JSWSTEEL | 1.12% | 24.2 | 18.9 | 19.1 |
| GRASIM | 1.10% | 20.5 | 24.6 | 14.0 |
| BAJAJ-AUTO | 1.06% | 23.1 | 22.9 | 20.5 |
| NESTLEIND | 0.97% | 19.4 | 16.2 | 21.9 |
| COALINDIA | 0.97% | 22.1 | 23.9 | 17.9 |
| INDIGO | 0.97% | 24.6 | 28.0 | 38.9 |
| EICHERMOT | 0.94% | 24.4 | 29.3 | 33.5 |
| ONGC | 0.92% | 23.2 | 25.2 | 21.3 |
| BAJAJFINSV | 0.91% | 23.1 | 18.7 | 24.3 |
| TECHM | 0.89% | 27.9 | 38.6 | 28.6 |
| APOLLOHOSP | 0.82% | 19.3 | 18.7 | 8.5 |
| ADANIENT | 0.79% | 35.0 | 42.0 | 29.7 |
| TMPV | 0.75% | 28.6 | 32.9 | 47.8 |
| SBILIFE | 0.73% | 21.2 | 17.3 | 19.5 |
| DRREDDY | 0.73% | 22.0 | 19.0 | 16.2 |
| CIPLA | 0.73% | 20.3 | 32.3 | 23.1 |
| JIOFIN | 0.71% | 29.7 | 21.6 | 21.9 |
| MAXHEALTH | 0.71% | 23.9 | 34.2 | 34.3 |
| TATACONSUM | 0.68% | 22.2 | 18.1 | 26.4 |
| TRENT | 0.58% | 30.3 | left out | 40.3 |
| HDFCLIFE | 0.56% | 24.7 | 17.9 | 26.6 |
| WIPRO | 0.48% | 30.0 | 39.4 | 22.7 |

Weight is the share of the set after renormalising. ATM IV is the at the money implied volatility of the stock's 30 Jun 2026 option, in vol points, plus your shift. Realised columns are annualised close to close volatilities in vol points.

### How much the number moves

| Index IV | Stocks −2 | As typed | Stocks +2 |
| --- | --- | --- | --- |
| 13.03 (−2) | 0.35 | 0.28 | 0.23 |
| 14.03 (−1) | 0.41 | 0.33 | 0.28 |
| 15.03 (typed) | 0.48 | 0.39 | 0.32 |
| 16.03 (+1) | 0.55 | 0.45 | 0.38 |
| 17.03 (+2) | 0.62 | 0.51 | 0.43 |

Rows move the index IV, columns move every stock IV, both in vol points.

One vol point on the index is worth about 0.06 of correlation here, and two vol points on every stock about 0.07 the other way. A small difference in the IV of one index expiry therefore moves the correlation by a lot: read it to one decimal, not two.

| Correlation | Index IV it implies |
| --- | --- |
| 0.20 | 11.25 |
| 0.40 | 15.19 |
| 0.60 | 18.31 |
| 0.80 | 20.96 |

Method: with weights w (summing to 1) and stock vols s, the index variance is the sum of (w s) squared plus the correlation times the cross terms, so ρ = (σ² − Σ(w s)²) / ((Σ w s)² − Σ(w s)²). The weights are a proxy: the holdings of a Nifty 50 index fund at the month end before 10 Jun 2026, times each stock's NSE closing price on the day, not the index provider's own file. Each stock is represented by its at the money IV alone, so its smile, its dividends and the difference between the index options' skew and the stocks' skews are left out; the index IV is the at the money IV of the same expiry. One common correlation for all pairs is a simplification: the real matrix has high and low pairs, and the number is an average in that sense. Weights, IVs and realised volatilities come from end of day files, not from a quote you could trade at. A Nifty Bank version is not offered: the data holds no weights file for its twelve stocks, and a stand in built from the six banks that are also in the Nifty 50 would not be that index. This page cannot trade.

  Prices come from NSE end of day files of one session, dated on the page. The weights are a proxy. A calculation on past data, not a forecast; there are no orders and this page cannot trade.

## How to read it

### Two ends and a point between

Take the 50 stocks with their weights and at the money IVs. If no two of them ever moved together, the index would be as volatile as the root of the sum of squared weighted vols. If all of them always moved together, it would be as volatile as their weighted average. The index IV sits somewhere between, and where it sits is the correlation.

### One number for every pair

The formula assumes the same correlation between every pair of stocks. The real matrix has high pairs, such as two large private banks, and low ones, so the number is an average. It is the figure that makes the weighted stocks add up to the index, not a measured pair.

### Realised, on the same formula

Replace each implied vol with the stock's realised vol over a window, and the index IV with the index's realised vol over the same window. The same formula then gives a realised correlation. The tool shows the 20 and 60 sessions before the date, which were known, and the sessions up to the expiry, which were not.

### Why one vol point matters so much

The index IV is squared in the numerator and the gap between the two ends is small next to it. The sensitivity table shows it: a vol point on the index moves the correlation by a visible amount. [The implied correlation module](/learn/path-18/module-18-10-implied-correlation) builds the formula, [the dispersion module](/learn/path-18/module-18-11-dispersion-trades) covers how a correlation view becomes a position and [the correlation risk premium module](/learn/path-18/module-18-12-correlation-risk-premium) looks at implied against realised.

## What it leaves out

Each stock is represented by its at the money IV, so skew is left out, and index options carry a steeper skew than most stocks, which pulls the two sides apart in ways one number cannot show. The weights are the month end holdings of a fund that tracks the Nifty 50, multiplied by closing prices on the day: close to the index, not the index provider's own weights. Index and stock options expire together here, but they are separate markets with their own liquidity, and a settlement price on a thin strike is partly a model price. Stock dividends and corporate actions sit inside the prices. The realised figure over the option's life covers only a few sessions. A Nifty Bank version is not offered: no weights file for its twelve stocks is in the data. None of this is a forecast or a signal.

## Go to the source

1. [NSE, equity derivatives contract specifications: lot sizes, expiries and cash settlement of index and stock options](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications)
2. [NSE Indices, Nifty 50: methodology and factsheet](https://www.niftyindices.com/indices/equity/broad-based-indices/nifty-50)
3. [Driessen, Maenhout and Vilkov, The Price of Correlation Risk: Evidence from Equity Options, Journal of Finance (2009)](https://doi.org/10.1111/j.1540-6261.2009.01467.x) paper

Is implied correlation a forecast of how stocks will move?No. It is the correlation that makes stock option prices and index option prices consistent on one day. It includes the price the market puts on that risk, so it is not an unbiased estimate of what will be realised.

Why can the realised figure differ so much from the implied one?Because a few sessions of realised data is a small sample, and because the implied figure carries a premium. The tool shows three realised windows so the spread between them is visible.

Why is there no Nifty Bank version?The weights of its twelve stocks are not in the data, and the six banks that are also in the Nifty 50 would not make that index. A tool that cannot be fed the right weights would give a wrong number.

LLearn it in depth

[Module 18.10Implied correlationExpert, Path 18](/learn/path-18/module-18-10-implied-correlation)[Module 18.11Dispersion trades: construction and risksExpert, Path 18](/learn/path-18/module-18-11-dispersion-trades)[Module 18.12The correlation risk premiumExpert, Path 18](/learn/path-18/module-18-12-correlation-risk-premium)[ToolPayoff builderLegs from a dated chain](/learn/tools/payoff-builder)[Pillar guideDerivatives and QuantPaths 12 to 19](/learn/derivatives)

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