IV Grid: Implied Volatility of NSE F&O Stocks

IV Grid: What Each Column Means

IV (implied volatility)

The ATM implied volatility of the monthly expiry: the average of the at-the-money call and put IV, with the ATM strike taken off the monthly futures price. It is solved from closing option prices with the Black-76 model, so it is the volatility the market is pricing for that expiry, expressed per year.

IV change %

The percentage change in IV from the previous session. A rise means options as a whole became more expensive relative to the underlying.

HV and RV

Historical volatility (HV) is the standard deviation of daily log returns of the spot close over the last 21 sessions, annualised. Realised volatility (RV) uses the same returns without subtracting their average. Both measure how much the stock actually moved.

IV rank and IV percentile

IV rank (IVR) places today's IV between its lowest and highest values of the past year, from 0 to 100. IV percentile (IVP) is the share of sessions in the past year when IV was lower than today. IVP is less affected by a single extreme day than IVR.

IV minus HV

The gap between implied and historical volatility. Positive means options are pricing more movement than the stock has recently shown; negative means less.

How Traders Use the IV Grid

Comparing a stock with its own past

IV of 30% is high for one stock and low for another. IVR and IVP put today's number in the context of the same stock's past year, which is why they are often read alongside raw IV.

Implied against realised

Comparing IV with HV shows whether option prices assume a calmer or a busier market than the recent past. Many option sellers look for IV above HV and many buyers the reverse, but neither guarantees a result.

Events

IV usually rises before results, policy announcements and other scheduled events, and drops after them. A high IVP before an event is normal and does not by itself mean options are mispriced.

Limitations

End-of-day data

All figures use NSE end-of-day bhavcopy prices. Thinly traded stocks can show jumpy IV when the ATM options barely traded.

History length

IVR and IVP use up to one year of stored sessions. Stocks added to F&O recently have a shorter history, so their ranks rest on fewer sessions.

Corporate actions

Splits, bonuses and large dividends can distort HV on the days they occur, because the spot price changes without a real move.

IV Regime, Candles and What the Backtest Found

IV regime

IV percentile (IVP) ranks today's ATM IV against the past year: below 20 options are cheap, above 80 they are expensive. The card shows what followed similar readings on two years of NSE data.

IV with candles

The chart shows ATM IV, 21-session HV and the 20-session average of IV on top, with daily candles and EMA 20, 50, 100 and 200 below. Drag it to go back in time.

What IV predicts

On NSE data from July 2024 to October 2026, ATM IV was above the volatility that followed 62% of the time on NIFTY and 57% on stocks, and high-IVP days were followed by about twice the daily move of low-IVP days. IV did not predict direction: today's IV change had almost no link with the next day's return.

F&O IV Grid: Frequently Asked Questions