A study on VIX index and volatility trading and its applicability to Indian markets

The Digital Institutional Repository of IIM Bangalore

Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/2074/19127

DC Field	Value	Language
dc.contributor.advisor	Sen, Anindya
dc.contributor.author	Singh, Vaibhav
dc.contributor.author	Mohapatra, Sudeep
dc.date.accessioned	2021-05-17T09:49:43Z	-
dc.date.available	2021-05-17T09:49:43Z	-
dc.date.issued	2012
dc.identifier.uri	https://repository.iimb.ac.in/handle/2074/19127	-
dc.description.abstract	Derivatives based on the VIX index, which was first developed by Chicago Board of Options Exchange (CBOE) is widely used as a means to hedge volatility in the US markets. This paper makes an attempt to test the correlation between the VIX Index calculated on NIFTY 50 and the actual NIFTY returns. Results of these studies will give an idea about the effectiveness of using the VIX index for hedging against volatility of the Indian markets. The accuracy of the NIFTY VIX index is further compared against the Realized Volatity Index (RealVol) of the Sensex to check for the accuracy of VIX as an indicator of actual volatility.
dc.publisher	Indian Institute of Management Bangalore
dc.relation.ispartofseries	PGP_CCS_P12_236
dc.subject	Trading
dc.subject	Traditional volatility trading
dc.subject	Derivatives
dc.subject	Volatility index (VIX)
dc.title	A study on VIX index and volatility trading and its applicability to Indian markets
dc.type	CCS Project Report-PGP
dc.pages	21p.
dc.identifier.accession	E38338
Appears in Collections:	2012

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