Nifty
Banknifty
Source: Finowings
Some observations from past data:
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We can expect volatility in the range of 1 to 6 % !! on budget data with an average volatility range of 4% on the event date in Bank Nifty
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We had 8 negative and 8 positive out of 16 times where returns following budget in Bank Nifty
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Even the week prior to budget, the returns are more or less 50% with 9 times giving negative returns and 7 times positive in Bank Nifty.
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Interesting point to be noted this time - as bank nifty is slightly weaker compared to nifty with all the news flows related to HDFC Bank.
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In nifty , the volatility is slightly lower with an average of 2.7% on event day - but this time being an interim budget the range can be on the lower side as market mostly factors in the fact that the announcements may not be major.