Implied volatility (IV) is the volatility that, fed into an option pricing model, gives back the option’s market price. It is quoted per year, in percent, in the IV column on both sides of the chain.
Where IV comes from
A pricing model such as Black-Scholes takes the spot price, the strike, the days to expiry, an interest rate and a volatility, and returns a price. Every input except volatility is known. IV is the one volatility that makes the model’s price match what traders are paying, so it is volatility read back out of the premium.
IV across the sample chain
At the at-the-money strike, 25,200, IV is 12.5%. It rises to 15.1% at 24,550 and is lowest, 12.3%, from 25,300 to 25,550. That tilt is called skew: strikes below spot carry higher IV, largely because demand for puts that protect against a fall is persistent.
Calls and puts at the same strike share one IV in this sample.
Show the numbers
| Strike | IV |
|---|---|
| 24,550 | 15.1% |
| 24,600 | 14.7% |
| 24,650 | 14.5% |
| 24,700 | 14.2% |
| 24,750 | 13.9% |
| 24,800 | 13.7% |
| 24,850 | 13.5% |
| 24,900 | 13.3% |
| 24,950 | 13.1% |
| 25,000 | 12.9% |
| 25,050 | 12.8% |
| 25,100 | 12.7% |
| 25,150 | 12.6% |
| 25,200 | 12.5% |
| 25,250 | 12.4% |
| 25,300 | 12.3% |
| 25,350 | 12.3% |
| 25,400 | 12.3% |
| 25,450 | 12.3% |
| 25,500 | 12.3% |
| 25,550 | 12.3% |
| 25,600 | 12.4% |
| 25,650 | 12.4% |
| 25,700 | 12.5% |
| 25,750 | 12.6% |
| 25,800 | 12.7% |
Call IV and put IV
On NSE’s chain, the call and the put at the same strike can show IVs a point or more apart. NSE works each IV out from that option’s last traded price against the spot index, at a fixed 10% interest rate, so stale trades and the gap between spot and the futures price both show up in it. Chains that price off the futures price show call and put IVs much closer together, as put-call parity suggests. In this sample the two are set equal.
How IV moves the premium
When IV rises, every premium rises with it, calls and puts alike. For the sample 25,200 call, one point of IV is worth about ₹10.52: that is the option’s vega. IV often rises ahead of scheduled events, such as the Union Budget or a policy announcement, and falls back once the event has passed, which can pull premiums down even when the index barely moves.
From IV to an expected move
IV is a yearly figure. Scaled to the days left, it gives the size of a one-standard-deviation move the prices imply:
Expected move ≈spot × IV× √(days to expiry ÷ 365)
For the sample: 25,180 × 12.5% × √(4 ÷ 365) is about 329 points either way over 4 days. It measures how large a move the premiums allow for. It says nothing about direction and is not a prediction.
IV and India VIX
India VIX, published by NSE, condenses the implied volatility of Nifty options into one number for the next 30 days. The IV column in a chain is the same idea, strike by strike, for one expiry.
Keep in mind
- IV depends on the model and inputs used, so platforms can show slightly different IV for the same option.
- Strikes far from spot with little trading can show noisy IV.
- High IV means options are priced for bigger moves. It does not say which way.
- IV feeds straight into the Greeks, and how much of a premium is time value depends on moneyness.
Related lessons
- Option Greeks: delta, gamma, theta and vega
- ITM, ATM and OTM strikes in the option chain
- Open interest (OI) in the option chain
Open the sample chain to select any number and read what it means.
Educational content, not investment advice. Every figure here comes from a synthetic sample chain, not live prices. See the terms of use.