---
title: "India VIX Replication from the Option Chain | RupeeCase"
description: "Free India VIX replication on dated NSE Nifty chains: forward, strikes, variance and the 30 day blend step by step, against the published India VIX."
source_url: "https://www.rupeecase.com/learn/tools/vix-replication"
---

* Replicated**15.50**VIX style, 30 days
* India VIX**15.63**NSE close, 10 Jun 2026
* Difference**−0.13**vol points, replicated less published
* Strikes used**136 and 100**near and next expiry

**10 Jun 2026: 15.50 replicated against 15.63 published.** The method prices a variance swap out of the whole strip of out of the money options: no model of the index, no single strike. It runs on the near expiry (20 days) and the next (48 days), then blends the two to a constant 30 days. Thirty days lies between the two expiries, so the blend interpolates.

### The steps for the near expiry, 30 Jun 2026

| Step | Value | How |
| --- | --- | --- |
| 1. Forward | 23,249.60 | Strike 23,250 has the smallest gap between call and put; forward = strike + e^(rT) (call less put). |
| 2. K0 | 23,200 | The highest strike at or below the forward. |
| 3. Strikes | 136 | Puts below K0, calls above, the average of both at K0; from 18,000 to 29,000, stopping after two untraded or cheap strikes in a row. |
| 4. Sum | 0.000709 | Each strike adds step / K squared × e^(rT) × price. |
| 5. Variance | 0.025808 | 2 / T × sum less (F / K0 less 1) squared / T, T = 0.0548 years; volatility 16.06 vol points. |
| 6. Weights | 0.64 and 0.36 | Near and next expiry weights for 30 days. |
| 7. Result | 15.50 | 100 × √( [T1 × var1 × w1 + T2 × var2 × w2] × 365 / 30 ). |

Strikes around K0, and every strike in the sum
| Strike | Option | Price | Step | Share of the sum |
| --- | --- | --- | --- | --- |
| 23,000 | Put | 221.05 | 50.0 | 2.95% |
| 23,050 | Put | 239.25 | 50.0 | 3.18% |
| 23,100 | Put | 258.10 | 50.0 | 3.42% |
| 23,150 | Put | 278.95 | 50.0 | 3.68% |
| 23,200 | Put and call | 324.15 | 50.0 | 4.26% |
| 23,250 | Call | 321.65 | 50.0 | 4.21% |
| 23,300 | Call | 294.60 | 50.0 | 3.84% |
| 23,350 | Call | 272.55 | 50.0 | 3.53% |
| 23,400 | Call | 248.10 | 50.0 | 3.20% |

All 136 strikes of the sum, lowest first.

| Strike | Option | Price | Step | Share of the sum |
| --- | --- | --- | --- | --- |
| 18,000 | Put | 1.65 | 1,000.0 | 0.72% |
| 19,000 | Put | 3.15 | 750.0 | 0.93% |
| 19,500 | Put | 3.65 | 500.0 | 0.68% |
| 20,000 | Put | 4.70 | 300.0 | 0.50% |
| 20,100 | Put | 4.90 | 75.0 | 0.13% |
| 20,150 | Put | 0.05 | 50.0 | 0.00% |
| 20,200 | Put | 0.05 | 50.0 | 0.00% |
| 20,250 | Put | 0.05 | 50.0 | 0.00% |
| 20,300 | Put | 0.10 | 50.0 | 0.00% |
| 20,350 | Put | 0.10 | 50.0 | 0.00% |
| 20,400 | Put | 5.85 | 50.0 | 0.10% |
| 20,450 | Put | 6.10 | 50.0 | 0.10% |
| 20,500 | Put | 6.05 | 50.0 | 0.10% |
| 20,550 | Put | 6.35 | 50.0 | 0.11% |
| 20,600 | Put | 6.65 | 50.0 | 0.11% |
| 20,650 | Put | 0.35 | 50.0 | 0.01% |
| 20,700 | Put | 7.25 | 50.0 | 0.12% |
| 20,750 | Put | 7.55 | 50.0 | 0.12% |
| 20,800 | Put | 7.80 | 50.0 | 0.13% |
| 20,850 | Put | 8.25 | 50.0 | 0.13% |
| 20,900 | Put | 8.60 | 50.0 | 0.14% |
| 20,950 | Put | 9.35 | 50.0 | 0.15% |
| 21,000 | Put | 9.95 | 50.0 | 0.16% |
| 21,050 | Put | 10.45 | 50.0 | 0.17% |
| 21,100 | Put | 10.70 | 50.0 | 0.17% |
| 21,150 | Put | 11.35 | 50.0 | 0.18% |
| 21,200 | Put | 11.45 | 50.0 | 0.18% |
| 21,250 | Put | 12.65 | 50.0 | 0.20% |
| 21,300 | Put | 13.40 | 50.0 | 0.21% |
| 21,350 | Put | 14.45 | 50.0 | 0.22% |
| 21,400 | Put | 15.15 | 50.0 | 0.23% |
| 21,450 | Put | 16.35 | 50.0 | 0.25% |
| 21,500 | Put | 17.55 | 50.0 | 0.27% |
| 21,550 | Put | 19.10 | 50.0 | 0.29% |
| 21,600 | Put | 20.45 | 50.0 | 0.31% |
| 21,650 | Put | 21.90 | 50.0 | 0.33% |
| 21,700 | Put | 23.80 | 50.0 | 0.36% |
| 21,750 | Put | 25.70 | 50.0 | 0.38% |
| 21,800 | Put | 27.95 | 50.0 | 0.42% |
| 21,850 | Put | 29.75 | 50.0 | 0.44% |
| 21,900 | Put | 33.15 | 50.0 | 0.49% |
| 21,950 | Put | 35.85 | 50.0 | 0.53% |
| 22,000 | Put | 39.50 | 50.0 | 0.58% |
| 22,050 | Put | 43.10 | 50.0 | 0.63% |
| 22,100 | Put | 47.05 | 50.0 | 0.68% |
| 22,150 | Put | 50.65 | 50.0 | 0.73% |
| 22,200 | Put | 56.35 | 50.0 | 0.81% |
| 22,250 | Put | 60.55 | 50.0 | 0.86% |
| 22,300 | Put | 66.70 | 50.0 | 0.95% |
| 22,350 | Put | 72.60 | 50.0 | 1.03% |
| 22,400 | Put | 79.80 | 50.0 | 1.12% |
| 22,450 | Put | 87.05 | 50.0 | 1.22% |
| 22,500 | Put | 94.55 | 50.0 | 1.32% |
| 22,550 | Put | 103.90 | 50.0 | 1.44% |
| 22,600 | Put | 112.85 | 50.0 | 1.56% |
| 22,650 | Put | 123.00 | 50.0 | 1.69% |
| 22,700 | Put | 133.70 | 50.0 | 1.83% |
| 22,750 | Put | 146.85 | 50.0 | 2.01% |
| 22,800 | Put | 158.80 | 50.0 | 2.16% |
| 22,850 | Put | 173.10 | 50.0 | 2.34% |
| 22,900 | Put | 188.45 | 50.0 | 2.54% |
| 22,950 | Put | 202.95 | 50.0 | 2.72% |
| 23,000 | Put | 221.05 | 50.0 | 2.95% |
| 23,050 | Put | 239.25 | 50.0 | 3.18% |
| 23,100 | Put | 258.10 | 50.0 | 3.42% |
| 23,150 | Put | 278.95 | 50.0 | 3.68% |
| 23,200 | Put and call | 324.15 | 50.0 | 4.26% |
| 23,250 | Call | 321.65 | 50.0 | 4.21% |
| 23,300 | Call | 294.60 | 50.0 | 3.84% |
| 23,350 | Call | 272.55 | 50.0 | 3.53% |
| 23,400 | Call | 248.10 | 50.0 | 3.20% |
| 23,450 | Call | 226.65 | 50.0 | 2.91% |
| 23,500 | Call | 206.25 | 50.0 | 2.64% |
| 23,550 | Call | 186.65 | 50.0 | 2.38% |
| 23,600 | Call | 171.00 | 50.0 | 2.17% |
| 23,650 | Call | 152.70 | 50.0 | 1.93% |
| 23,700 | Call | 137.85 | 50.0 | 1.73% |
| 23,750 | Call | 124.05 | 50.0 | 1.55% |
| 23,800 | Call | 111.40 | 50.0 | 1.39% |
| 23,850 | Call | 100.35 | 50.0 | 1.25% |
| 23,900 | Call | 89.45 | 50.0 | 1.11% |
| 23,950 | Call | 79.85 | 50.0 | 0.98% |
| 24,000 | Call | 71.75 | 50.0 | 0.88% |
| 24,050 | Call | 63.50 | 50.0 | 0.78% |
| 24,100 | Call | 56.45 | 50.0 | 0.69% |
| 24,150 | Call | 50.80 | 50.0 | 0.62% |
| 24,200 | Call | 44.90 | 50.0 | 0.54% |
| 24,250 | Call | 39.70 | 50.0 | 0.48% |
| 24,300 | Call | 35.45 | 50.0 | 0.42% |
| 24,350 | Call | 31.50 | 50.0 | 0.38% |
| 24,400 | Call | 27.90 | 50.0 | 0.33% |
| 24,450 | Call | 25.00 | 50.0 | 0.30% |
| 24,500 | Call | 22.90 | 50.0 | 0.27% |
| 24,550 | Call | 19.85 | 50.0 | 0.23% |
| 24,600 | Call | 18.25 | 50.0 | 0.21% |
| 24,650 | Call | 16.20 | 50.0 | 0.19% |
| 24,700 | Call | 14.60 | 50.0 | 0.17% |
| 24,750 | Call | 13.55 | 50.0 | 0.16% |
| 24,800 | Call | 12.45 | 50.0 | 0.14% |
| 24,850 | Call | 11.25 | 50.0 | 0.13% |
| 24,900 | Call | 10.50 | 50.0 | 0.12% |
| 24,950 | Call | 9.85 | 50.0 | 0.11% |
| 25,000 | Call | 9.30 | 50.0 | 0.11% |
| 25,050 | Call | 8.45 | 50.0 | 0.10% |
| 25,100 | Call | 7.80 | 50.0 | 0.09% |
| 25,150 | Call | 7.35 | 50.0 | 0.08% |
| 25,200 | Call | 6.95 | 50.0 | 0.08% |
| 25,250 | Call | 6.55 | 50.0 | 0.07% |
| 25,300 | Call | 6.20 | 50.0 | 0.07% |
| 25,350 | Call | 5.95 | 50.0 | 0.07% |
| 25,400 | Call | 5.80 | 50.0 | 0.06% |
| 25,450 | Call | 5.70 | 50.0 | 0.06% |
| 25,500 | Call | 5.30 | 50.0 | 0.06% |
| 25,550 | Call | 5.20 | 50.0 | 0.06% |
| 25,600 | Call | 4.70 | 50.0 | 0.05% |
| 25,650 | Call | 4.75 | 50.0 | 0.05% |
| 25,700 | Call | 4.30 | 50.0 | 0.05% |
| 25,750 | Call | 4.35 | 50.0 | 0.05% |
| 25,800 | Call | 3.85 | 50.0 | 0.04% |
| 25,850 | Call | 3.75 | 50.0 | 0.04% |
| 25,900 | Call | 3.65 | 50.0 | 0.04% |
| 25,950 | Call | 3.75 | 50.0 | 0.04% |
| 26,000 | Call | 3.50 | 50.0 | 0.04% |
| 26,050 | Call | 0.80 | 50.0 | 0.01% |
| 26,100 | Call | 3.35 | 50.0 | 0.03% |
| 26,150 | Call | 2.85 | 50.0 | 0.03% |
| 26,200 | Call | 2.90 | 50.0 | 0.03% |
| 26,250 | Call | 3.00 | 50.0 | 0.03% |
| 26,300 | Call | 2.85 | 75.0 | 0.04% |
| 26,400 | Call | 2.60 | 100.0 | 0.05% |
| 26,500 | Call | 2.20 | 75.0 | 0.03% |
| 26,550 | Call | 2.35 | 250.0 | 0.12% |
| 27,000 | Call | 1.75 | 725.0 | 0.25% |
| 28,000 | Call | 1.05 | 750.0 | 0.14% |
| 28,500 | Call | 1.25 | 500.0 | 0.11% |
| 29,000 | Call | 1.05 | 500.0 | 0.09% |

Out of the money puts supply 54% of the variance, calls 46%

Each strike's share of the sum for the near expiry. The sum leans to the downside because puts are dearer than calls the same distance from the forward, and the weight is the price over the strike squared. Source: NSE end of day settlement prices, VIX style number computed by RupeeCase. As of 10 Jun 2026.On 6 dated sessions the replication lands within 0.6 vol points of India VIX

Same method and same wing cutoff (Rs 0.05) on every date in the file. The gap is the difference between end of day settlement prices and the quotes NSE uses. Source: NSE end of day settlement prices, VIX style number computed by RupeeCase. As of 16 Jun 2026.

| Date | Replicated | India VIX | Difference |
| --- | --- | --- | --- |
| 10 Jun 2026 | 15.50 | 15.63 | −0.13 |
| 16 Jun 2026 | 13.34 | 13.36 | −0.02 |
| 2 Feb 2026 | 13.93 | 13.87 | +0.06 |
| 1 Feb 2026 | 15.18 | 15.10 | +0.08 |
| 11 Jun 2025 | 14.07 | 13.67 | +0.40 |
| 7 Apr 2025 | 22.17 | 22.79 | −0.62 |

What differs from the real calculation: NSE uses bid and ask mid prices through the session where this page uses one settlement price a day; the white paper stops at two zero bids and an end of day file has no bids, so two strikes in a row that did not trade, or settled below the cutoff, stop the wing here; the rate is the T-bill of the date, not NSE's own; time is counted in calendar days to 15:30 on the expiry day. The chains hold strikes within 25% of the forward that traded or carry open interest. The 30 day blend is T1 σ1² (N2 − 30) / (N2 − N1) + T2 σ2² (30 − N1) / (N2 − N1), scaled by 365 / 30. This page cannot trade.

  Prices are NSE end of day settlement prices, dated on the page. A teaching check, not NSE's own calculation. Not live, and this page cannot trade.

## How to read it

### The idea

The fair price of a contract that pays the realised variance of the index over a period can be built from out of the money options of every strike. Each strike counts for its price over the square of its strike, times the gap between strikes. Taking the square root of the annualised variance gives a volatility.

### The steps

Find the forward from the strike where the call and put prices are closest. Take K0, the highest strike at or below the forward. Use puts below K0, calls above and the average at K0, and stop each wing after two strikes in a row that did not trade. Add up, subtract a small correction for the forward not sitting on K0, and divide by the time.

### The 30 day blend

There is one number for each expiry. The near and the next expiry are weighted by how far 30 days lies from each, in total variance, then scaled to a yearly figure. The weights are shown; they add to one when 30 days lies between the two expiries.

### Why it does not match exactly

NSE uses bid and ask quotes through the day; this page uses one settlement price per strike. The gap on the six dates is the chart. [The module on India VIX rebuilt](/learn/path-16/module-16-11-india-vix-rebuilt) goes through the arithmetic and [the variance swaps module](/learn/path-16/module-16-14-variance-swaps) explains why the strip replicates variance.

## What it leaves out

This is a teaching reconstruction. The wing rule is an adaptation because an end of day file has no bid prices, the rate is the T-bill of the date and the chains hold strikes within 25% of the forward that traded or carried open interest. The published index depends on NSE's own inputs and timing, so the gap to this page is expected and small but not zero. India VIX is a measure of implied volatility over the next 30 days, not a forecast of the index.

## Go to the source

1. [NSE, India VIX: what it measures and how it is computed](https://www.nseindia.com/static/products-services/indices-indiavix-index)
2. [NSE, equity derivatives contract specifications](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications)
3. [Demeterfi, Derman, Kamal and Zou, More than you ever wanted to know about volatility swaps (1999)](https://emanuelderman.com/wp-content/uploads/1999/02/gs-volatility_swaps.pdf) paper

Does India VIX use a model like Black Scholes?Not for the index itself. It reads a strip of out of the money option prices and adds them up with fixed weights. A model is used only to know that this sum equals a variance in theory.

Why not use just the at the money option?An at the money option gives the volatility near the index. Variance over a period depends on moves of every size, so the strip prices the whole range, and far strikes matter when the smile is steep.

Why does the replicated number differ from the published one?Different prices (end of day settlement against intraday quotes), a different stop rule for the wings and a different rate. The gap is the chart on the page.

LLearn it in depth

[Module 16.11India VIX rebuilt step by stepAdvanced, Path 16](/learn/path-16/module-16-11-india-vix-rebuilt)[Module 16.14Variance swaps and replicationExpert, Path 16](/learn/path-16/module-16-14-variance-swaps)[Module 16.5Measuring realised volatility: four estimatorsIntermediate, Path 16](/learn/path-16/module-16-5-realised-volatility-estimators)[ToolPayoff builderLegs from a dated chain](/learn/tools/payoff-builder)[Pillar guideDerivatives and QuantPaths 12 to 19](/learn/derivatives)

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