Today, Dalal Street’s index of near-term volatility, the India VIX, plunged as much as 22% in one of the greatest single-day drops in the history of the stock market, leaving Nifty option traders scratching their heads.
India VIX, which is derived from the best bid and ask prices of near- and mid-month Nifty option contracts that are not in the money, dropped below the 10-point threshold. Nifty increased by up to 0.5% during the day to reach a high of 22,447.
On April 23, the India Vix dropped by 20%.
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