India VIX & Expected Move — Sizing Option Trades with Volatility
The India VIX represents the market's 30-day implied volatility extracted from Nifty option prices. Translating it into an "expected move" gives options traders, hedgers, and directional speculators a probabilistic boundary within which the underlying will trade ~68% of the time over a given horizon.
The Formula
Expected Move = Price × (VIX/100) × √(Days/365). This yields one standard deviation. Multiplying by 2 gives the 95% confidence interval; by 3 the 99.7% boundary.
Trading Applications
- Strike selection for iron condors and short strangles.
- Stop-loss placement on directional swing trades.
- Hedge ratio calibration on equity portfolios.
Caveats
The model assumes log-normal returns and constant volatility — both violated in crisis regimes. Fat tails routinely produce 4σ–6σ events that the standard formula underweights.