India Vix @ 15. 34 but 8400 CE volatility @ 12. 3. If Vix lowers to 12-13, what would be 8400 ce volaility

General
1

I read that if market rises, volatility falls. But since last 3-4 sessions Vix hasn,t gone below 15. plz answer the 8400 CE query. Thanks

2

Firstly, India ViX represents the volatility of ATM options. You are referring to 8400 CE which is an OTM option.

Secondly, it would be really hard to pin point the exact volatility value for the option based on the ViX movement. I supposed you will have to build a volatility model to predict this…maybe something like GARCH (1,1).

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3

Thanks for answering Sir. But here its mentioned that India Vix is computed by using the best bid and ask quotes of the out of the money, not ATM.
Link: http://zerodha.com/z-connect/queries/stock-and-fo-queries/trading-india-vix-simplified