Hi All,

Can someone help me get Historical Volatility Of NSE Stocks & Nifty for last 1-5 years?

Thanks in advance.

Regards
Abhinav

Originally Posted by abhinkoi

Hi All, Can someone help me get Historical Volatility Of NSE Stocks & Nifty for last 1-5 years? Thanks in advance. Regards Abhinav

30 views but 0 response. Looks like no one has this data

http://www.nseindia.com/products/con...rchieve_eq.htm

in select report .....daily volatility files

is this what u looking for?

Originally Posted by LiveW

http://www.nseindia.com/products/con...rchieve_eq.htm in select report .....daily volatility files is this what u looking for?

Thanks much LiveW. This is in EQ section hence doesnt give any data for volatility. Produces this error -

No file found for specified date. Try another date.

However in FNO section when I use this option it gives the data I want but in daily format....I mean you have to download the data on per day basis...Its not feasible to download it for a year or so ....I will go mad...
Thats why I am requesting this data from someone who already has it..

Thx for your response though...

Cheers
Abhi

Does anyone has a CSV file of NSE stocks historical volatility till date?

Wouldn't the Volatility Index VIX for NSE suffice?

It's available as a historical download at http://www.nseindia.com/content/vix/hist_vix_data.htm

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Originally Posted by xyte

Wouldn't the Volatility Index VIX for NSE suffice? It's available as a historical download at http://www.nseindia.com/content/vix/hist_vix_data.htm

Thanks Xyte but I dont know how to use it for Options trading. Wud u mind shedding some lights over it?

Thx in advance.

Take care
Abhinav

Originally Posted by abhinkoi

... However in FNO section when I use this option it gives the data I want but in daily format....I mean you have to download the data on per day basis...Its not feasible to download it for a year or so ....I will go mad... ...

You just need the the volatility prior to your starting day (as well as the previous day close) The rest can be calculated as per the formula given in the header row of the files. (This though is for the underlying equity NOT futures itself)

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Originally Posted by abhinkoi

Thanks Xyte but I dont know how to use it for Options trading. Wud u mind shedding some lights over it? Thx in advance. Take care Abhinav

Here is the NSE white paper on the VIX computation
http://www.nseindia.com/content/vix/...r_IndiaVIX.pdf

Interpreting The VIX

The VIX is quoted as a percentage estimating the implied volatility of the market, which is the expected annualized movement of NIFTY over the next 30 days. Not to get too technical, when the VIX is at 30, it means that the S&P-500 might move as much as 2.5% (30% divided by 12 months).

When the market is trending steadily upwards, there is generally a low level of volatility in the market as complacency sets in and more call options are bought than put options. Conversely, when a market is falling, there is generally widespread panic in the market causing a high level of volatility as more put options are bought than call options. This correlation is also why the Put Call Ratio is read in conjunction with the VIX to provide more insight into the state of volatility in the market. Together, the Put Call Ratio and the VIX have been known as "investor fear gauges".

The correlation between the VIX and the state of the market is uncanny. This is why the VIX is useful not only for options traders as stock traders and investors also use the VIX as a market timing devise or a contrarian indicator.

As a contrarian indicator, the higher the VIX, the more bearish the market is and conversely, the lower the VIX, the more bullish the market is.

VIX is also a direct indication of the level of implied volatility in the options market. The higher the VIX, the more profitable credit spreads and naked writes become due to the fact that all options contains relative higher extrinsic value than when the VIX is low. Options traders could therefore change options strategies as the market conditions change, favoring debit spreads when the VIX is low and credit spreads when the VIX is high.

The real question now is, when is the VIX high or low?

There really isn't a standard to what constitutes a high or low VIX reading. Apart from using your experience and gut feel, there are 2 main ways to read the VIX. 1, Multi-years high or low. 2, VIX trend.

Multi-year highs or lows typically warns investors that turning points may be near. The above examples marked two market reversals when the VIX was in multi-year high and low. Investors and traders may consider covering or closing profitable positions when these points are reached.

The trend of the VIX also provides an indication to the trend of the stock market. In a bull market, the VIX is typically trending downwards and in a bear market, the VIX is typically trending upwards.
--
Excerpted from OptionTradingPedia.com with editing for brevity.

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You can only talk rubbish if you're aware of knowledge. - Karl Pilkington

Abhinav,
As I said in PM couldn't reply to queries, most of the members gave answers to your queries..
Also, I am sure that you are aware of the difference between implied volatility and historical volatility. Both are totally different ( search investopedia.com )

As Xyte sir mentioned VIX data from nse site would be sufficient to understand price behavior along with VIX, however Indian vix started after sub prime crisis, after market meltdown during sub-prime crisis there was very interesting study on VIX, you can get the chart of CBOE VIX compare to s&p for study during that phase.
Most of the time VIX is useful to predict major top and major bottom that is extremes of market.

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