India VIX Index- Fact Sheet

India VIX* is a volatility index based on the NIFTY Index Option prices. The index measures
the expected market volatility over the next 30 calendar days.

Methodology
India VIX uses the computation methodology of CBOE, with suitable amendments to adapt
to the NIFTY options order book. The index is computed from the best bid-ask prices of
NIFTY Options contracts. The price of call and put options are used to calculate volatility,
because volatility is one of the factors used to calculate the value of these options. Higher
(or lower) volatility of the underlying security makes an option more (or less) valuable.

The variance for the near and mid month expiry computed separately are interpolated to
get a single variance value with a constant maturity of 30 days to expiration. The square
root of the computed variance value is multiplied by 100 to arrive at the India VIX value.

India VIX values will be computed in percentage terms upto 4 decimals as market
participants like to measure the impact on prices on account of small changes in volatility.
The tick value of India VIX index is 0.0025

Interpretation
The India VIX reflects the expected movement in the Nifty index over the next 30-day
period, which is then annualized. For example, if India VIX is 16.8025, this represents an
expected annualized change of 16.8025% over the next 30 days

Although India VIX is often called the "fear gauge", a high India VIX is not necessarily
bearish for stocks. Instead, the India VIX is a measure of market perceived volatility in either
direction, including to the upside.

*
“VIX” is a trademark of Chicago Board Options Exchange, Incorporated ("CBOE") and Standard & Poor’s has
granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for
purposes relating to the India VIX
Index Performance

Statistics
Closing Values on India VIX Index
Year Mean Max Min
2010 21.81 34.37 15.22
2011 23.84 37.19 16.73
2012 19.72 28.92 13.04
2013 18.89 32.49 13.07

Historical Volatility of Nifty

Year Mean Max Min
2010 19.46 27.96 12.92
2011 24.38 32.84 16.34
2012 18.88 28.79 11.66
2013 20.43 38.85 8.94
Volatility of Nifty index computed using exponential weighted moving average method
Disclaimer

The information contained in this document, including text, graphics, links or other items are provided on an 'as is', 'as
available' basis. NSEIL does not warrant the accuracy, adequacy or completeness of this information and material and
expressly disclaims liability for errors or omissions in this information and material. No warranty of any kind, implied,
express or statutory, including but not limited to the warranties of non-infringement of third party rights, title,
merchantability, fitness for a particular purpose is given in conjunction with the information and materials.

In no event will NSEIL be liable for any damages, including without limitation direct or indirect, special, incidental, or
consequential damages, losses or expenses arising in connection with this document or use thereof or inability to use by
any party, or in connection with any failure of performance, error, omission, interruption, defect, even if NSEIL, or
representatives thereof, are advised of the possibility of such damages, losses or expenses. Hyperlinks from and to other
websites are at your own risk; the content, accuracy, opinions expressed, and other links provided by these resources are
not investigated, verified, monitored, or endorsed by NSEIL