Will Volatility Fall This October?
Volatility in Indian equities jumped 35 percent in September, the most in nearly three years, as a string of defaults by IL&FS Ltd. triggered liquidity concerns in the debt market and a weaker rupee increased the possibility of another rate hike by the central bank.
There’s a solace though. Historical trend shows that in six of the last seven years, India VIX, a measure of volatility in Nifty 50 index option prices, fell in October. The only time it rose during the period in 2014 was by a meagre 1.1 percent.
Will the trend hold this October?