ICICIBANK Vega Analysis
What implied volatility did today Nearest expiry at least 2 days away, 5 strikes either side of the previous session's ATM, the same contracts both days. It describes the session; it does not call the next one.
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Vega analysis: calls vs puts Top: daily candles with EMA 20 / 50 / 100 / 200. Bottom: the measure you pick. Calls red, puts green. Drag the chart or the date axis to move, scroll to zoom.
Day-wise vega table IV change: vega-weighted, in IV points. Premium from IV: sum over the strikes of vega × IV change, in index points.
IV is solved from each option's closing price with Black-76 on the same-expiry futures close (or put-call parity when no such future exists). Only contracts that traded in both sessions are used, because an untraded contract's close is stale. Vega is the premium change for a 1-point change in IV. End-of-day data: one value per session, no intraday line.
What our backtest found NSE bhavcopy, 9 Jul 2024 – 8 Oct 2026, nearest expiry
ICICIBANK (ICICIBANK) Vega Analysis: What It Shows
Vega in one line
Vega is how much an option's premium changes when its implied volatility (IV) changes by one point. If a call has a vega of 10 and its IV rises from 12% to 13%, the call gains about 10 points from IV alone, even if ICICIBANK does not move.
What we measure each day
For the nearest expiry we take 5 strikes either side of the previous session's at-the-money strike and keep the same contracts for both days. For each call and put we work out the IV at the previous close and at today's close, then add up vega x IV change. The call total and the put total show how much premium was added or taken away by changes in IV, separately from the effect of the price moving or of time passing.
IV change (vega-weighted)
The same numbers divided by the total vega give the average IV change of the calls and of the puts, in IV points. It is the easiest way to see whether the market repriced calls or puts more.
Put − call difference
Put premium from IV minus call premium from IV. Positive means put IVs rose more (or fell less) than call IVs. We keep the same sign as other Indian vega tools so the numbers can be compared.
ATM straddle split
The change in the at-the-money straddle is split into the part that came from IV and the rest (the price move and time decay). It shows how much of a premium move was a volatility story.
How to Read It
Both sides up
Calls and puts both got dearer: traders paid more for options of every kind, as they often do before events such as results, the Budget or policy meetings, and on sharp falls.
Both sides down
Calls and puts both got cheaper: the market expects less movement. After an event this is the IV crush that hurts option buyers even when they guessed the direction right.
Calls and puts diverge
On the NSE indices, call IVs usually fall on up days and rise on down days more than put IVs do, because of the volatility skew. So a positive put − call difference has mostly appeared on days the index rose; it describes the day's move rather than fear building up.
Intraday vs end of day
Intraday vega charts track changes from the morning open minute by minute. This page uses NSE's official closing prices, so it shows one reading per session with a long, comparable history.
What Our Backtest Found
Same-day relation
On NIFTY (547 sessions, July 2024 to October 2026) the put − call difference moved with the index on the same day (correlation +0.46; Bank Nifty +0.53): on up days call IVs fell more than put IVs.
No next-day signal
After a positive difference NIFTY rose the next day 49% of the time, after a negative one 46%, against 47% for all days; the correlation with the next day's return was −0.03. Bank Nifty gave the same answer. IV moving on both sides did not predict the size of the next day's move either.
Where vega matters
Changes in IV explained a large part of the ATM straddle's daily change: the IV part was typically about 60% of the size of the total move. For option buyers and sellers, IV is a big driver of day-to-day profit and loss; for the direction of the index, it is not a forecast.
ICICIBANK Vega Analysis: Frequently Asked Questions
What is vega analysis in options?
It splits option premium changes into the part caused by changes in implied volatility. Vega analysis of ICICIBANK on this page adds up vega x IV change across near-the-money calls and puts for each session.
What does a positive put vega and negative call vega mean?
Put IVs rose and call IVs fell, so puts gained premium from volatility while calls lost. On NSE indices this pattern has mostly appeared on up days because of the volatility skew.
Can vega analysis predict the market?
On our two years of NSE data, no: the next-day direction after any reading was close to a coin flip. Use it to understand why option prices moved, not as a buy or sell signal.
Why is this different from intraday vega charts?
Intraday charts track changes from the day's open minute by minute. This tool uses end-of-day prices, so each point is one full session and the history goes back to July 2024.
Which expiry is used?
The nearest expiry that is at least two days away. In the last day or two before expiry an option has so little time value left that its IV jumps around, so the next expiry is used instead.
Vega Analysis for other indices & stocks
Data: NSE F&O bhavcopy (end of day). This page explains how market participants commonly read this data. It is for education only and is not a recommendation to buy or sell any security.