The India Volatility Index (VIX) soared by more than 50% today, in line with the sell-off in the global markets mainly attributed to the unwinding of the Yen trade. This is the largest single-day surge since August 2015.
What is India VIX?
India VIX is a volatility index based on the index option prices of NIFTY and is computed using the best bid and ask quotes of the out-of-the-money near and mid-month NIFTY option contracts.
The index depicts the expected market volatility over the next 30 calendar days expressed in annualized terms.
If you are interested to know about the formula and the way it is computed, Check out our Varsity post and the below links by NSE
Instances where India VIX spiked more than 30% in a day
| Date | % change | Reason |
|---|---|---|
| 24th August 2015 | 64.36% | Global flash crash due to Chinese markets weakness |
| 29th September 2016 | 33.24% | Indo-pak war tensions |
| 28th February 2020 | 30.79% | Initial COVID related panic in India |
| 12th March 2020 | 30.45% | Global COVID crash |
| 24th February 2022 | 30.31% | Beginning of Russia - Ukraine war |
| 5th August 2024 | 51.31% | unwinding of the Japanese Yen carry trade |
