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Desk note · Wednesday 11 November 2026 · 7 min read

Nifty and Sensex move 0.05 times implied volatility against 1.10% expectation

SENSEX 25-delta put minus call implied volatility reached -8.4 vol points, 3.0 standard deviations below the 20-session average.

GIFT NIFTY25,225.50-0.41%MES7,612.50+0.90%MGC3,986.40-1.09%CL85.53-0.59%NIFTY25,044.65+0.06%SENSEX81,106.65+0.10%
In brief

Key takeaways

Key takeaways
  • 01S&P 500 volatility: Micro E-mini S&P 500 20-session realised volatility reached the 100th percentile of the past year.
  • 02Nifty range-bound: NIFTY 50 moved 0.06% and closed at 84% of its daily range.
  • 03Volatility skew: SENSEX 25-delta put minus call implied volatility was -8.4 vol points compared to a 20-session average of +2.4 vol points.
  • 04SENSEX range-bound: SENSEX moved 0.10% in a session where the volatility index implied a 1.10% move.
Markets

Futures and indices we track

Pick an instrument for its session path, six-month trend and the numbers behind the session.

GIFT Nifty GIFT NIFTY

GIFT Nifty closed at 25,225.50 index points, down 0.41%.

Close
25,225.50
2026-11-11
Session
-0.41%
gap +0.05%
Day range
1.2%
0.8x its 20-day average
Realised vol, 20d
15.4%
higher than 70% of the last year
Session
5-minute closes, India time
25,225.50-0.41%
25,20025,30025,40018:0000:0006:0012:00Prev close 25,32925,226
Six months
Daily close
25,225.50+6.20%
23,00024,00025,000JunJulAugSeptOctNov25,226
Open
25,341.00
High
25,472.50
Low
25,164.50
Previous close
25,328.50
Gap at open
+0.05%
Session range
1.2%
Average true range, 14 sessions
1.5%
Realised vol, 20 / 60 sessions
15.4% / 14.3%
Volume vs 20-session avg
1.05x
1 week / 1 month
+5.33% / +12.58%
3 months / year to date
+2.41% / -6.85%
From 52-week high
-8.4%
Session: low to high, open and close
25,164.5025,472.50
52 weeks: low to high, last close
22,240.7027,532.14
Realised volatility
20 sessions, annualised, last year
15.4%
10.0%20.0%DecFebAprJunAugOct15.4%
Cross-asset

How the markets moved together

Correlation of daily returns

Last 60 sessions both markets traded.

MESMGCCLNIFTYSENSEXGIFT NIFTY
MES10.33-0.45-0.13-0.14-0.10
MGC0.331-0.280.220.150.23
CL-0.45-0.281-0.24-0.22-0.26
NIFTY-0.130.22-0.2410.980.96
SENSEX-0.140.15-0.220.9810.95
GIFT NIFTY-0.100.23-0.260.960.951

NIFTY against US futures

Rolling 60-session correlation of daily returns, last year.

-0.500.000.50AugNovFebMayAug-0.13
NIFTY vs MES -0.13NIFTY vs MGC 0.22NIFTY vs CL -0.24

Realised volatility side by side

20-session realised volatility, annualised, last year.

0.0%50.0%100.0%DecFebAprJunAugOct15.4%
GIFT NIFTY 15.4%MES 22.0%MGC 24.3%CL 56.0%NIFTY 16.2%

Last 15 sessions

Daily change in %, by instrument.

22 Oct23 Oct26 Oct27 Oct28 Oct29 Oct30 Oct2 Nov3 Nov4 Nov5 Nov6 Nov9 Nov10 Nov11 Nov
GIFT NIFTY-0.1-0.40.9-0.2-0.31.40.21.41.50.82.71.60.21.1-0.4
MES-1.2-0.60.70.60.3-0.4-1.8-0.50.31.6-4.40.32.3-0.40.9
MGC-2.1-1.30.80.9-0.6-0.1-3.31.8-0.73.41.0-0.91.0-2.0-1.1
CL2.43.8-1.5-1.82.9-0.82.1-7.4-0.4-8.32.70.3-4.4-0.9-0.6
NIFTY-0.5-0.40.7-0.0-0.21.00.51.71.60.62.42.00.1
SENSEX-0.6-0.20.7-0.0-0.51.20.41.71.60.52.62.20.1
Options lens

What the option market is saying

The most unusual option-market reading of the session, then the one-day move options priced against the move that followed.

Chart of the day

SENSEX: implied volatility by strike

SENSEX 25-delta put minus call implied volatility was -8.4 vol points against a 20-session average of +2.4 vol points, 3.0 standard deviations below normal.

20.0%30.0%40.0%78,00080,00082,00084,00086,000Spot 81,504
25-delta put minus call implied volatility
SENSEX, last 30 sessions
-8.4 vol points
0.0%10.0%OctNov20-session avg 2.4%-8.4%

Option market readings

Each reading against its own last 20 sessions. The furthest from normal becomes the chart of the day.

MarketReadingToday20-session avgStandard deviations
SENSEX25-delta put minus call implied volatility-8.4 vol points+2.4 vol points-3.0
NIFTY 50At-the-money implied volatility20.5%14.3%+2.2
SENSEXPut-call open interest ratio0.591.03-1.7
NIFTY 50Put-call open interest ratio0.630.93-1.6
S&P 500 0DTEPut-call volume ratio0.911.03-1.2
NIFTY 50Near minus next expiry implied volatility+1.5 vol points+0.1 vol points+1.0
SENSEXAt-the-money implied volatility20.7%17.5%+0.9
S&P 500 0DTE25-delta put minus call implied volatility+2.9 vol points+2.1 vol points+0.6
S&P 500 0DTEAt-the-money implied volatility18.4%22.1%-0.6
SENSEXNear minus next expiry implied volatility+3.2 vol points+2.4 vol points+0.4
NIFTY 5025-delta put minus call implied volatility+2.4 vol points+2.7 vol points-0.1
IndexVol indexImplied moveActual moveActual / impliedInside implied, 20 sessionsSession
S&P 500VIX 19.461.2%0.9%0.74x70%Gap day
NIFTY 50India VIX 17.471.1%0.1%0.05x60%Range-bound
SENSEXIndia VIX 17.471.1%0.1%0.09x60%Range-bound

Range-bound conditions in Indian indices favoured iron condors and other short-premium structures as realised moves fell well below implied levels. Outright option buying faced losses in these markets while vertical spreads benefited from the lack of directional movement.

Volatility

Index levels and volatility gauges

IndexCloseSessionMonth to dateRealised vol, 20 sessions
NIFTY 5025,044.65+0.06%+8.64%16.2%
SENSEX81,106.65+0.10%+8.93%17.3%
India VIX17.42-0.29%+13.86%Index level
S&P 5007,619.38+1.31%+0.52%22.2%
VIX17.49-10.12%-9.94%Index level
Desk

What our books did

US Index Options
-0.73%
MTD +0.59% · since live +1.06%

US Index Options book returned -0.73% for the session with a 1.06% return since inception.

India Index Derivatives book maintains a 1.37% return since inception with a 0.0% drawdown.

Books

Live results, research record alongside

Each curve starts at 100 and adds daily returns on a fixed capital base, so 100 to 103 is 3% of capital.

US Index Options

Systematic, S&P 500 index options

Live since 7 Jul 2026Research from 15 Feb 202319 sleeves
Last session
-0.73%
Month to date
+0.59%
Since live start
+1.06%
85 sessions
Live max drawdown
-9.13%
LiveEquity, indexed to 100
100.0105.0AugSeptOctNov101.1
ResearchEquity, last 260 sessions
100.0125.0150.0NovFebMayAug158.5
Statistics
StatisticLiveResearch
Sessions85936
Total return+1.06%+253.61%
Annualised return+3.1%+68.3%
Annualised volatility13.2%26.3%
Sharpe0.242.59
Sortino0.254.00
Max drawdown-9.1%-6.4%
Current drawdown-6.8%-2.6%
Longest drawdown, sessions3767
Up sessions64%62%
Best session+2.29%+4.63%
Worst session-3.41%-4.73%
Skew-1.29-0.51
ResearchDrawdown from previous high
-10.0%-5.0%0.0%NovFebMayAug-5.5%
ResearchRealised volatility, 20 sessions, annualised
20.0%30.0%NovFebMayAug30.9%
Diversification

How the books and their sleeves move together

Correlation of daily returns

Last 12 months, 233 common sessions.

US optionsIndia optionsNIFTY 50S&P 500
US options1-0.000.08-0.13
India options-0.001-0.02-0.10
NIFTY 500.08-0.0210.08
S&P 500-0.13-0.100.081

Correlation between sleeves

Average pairwise correlation inside each book, rolling 63 sessions. Lower is more diversified.

0.000.100.202024202520260.25
US Index Options, 19 sleeves 0.25India Index Derivatives, 8 sleeves 0.08
Execution

Live fills against the model

The model line uses the same sessions and capital as the live account. The gap is the cost of trading in the market: slippage, fees and missed fills.

US Index Options

Live against the model on the same 91 sessions and the same capital.

Daily correlation
0.97
Live minus model
+1.08%
cumulative
Slippage
9.2 bps
of traded premium
Fees
4.6 bps
of traded premium
98.0100.0102.0AugSeptOctNov102.8
Live 102.8Model 101.7
0100200AugSeptOctNov9

India Index Derivatives

Live against the model on the same 19 sessions and the same capital.

Daily correlation
0.91
Live minus model
+0.28%
cumulative
Slippage
17.7 bps
of traded premium
Fees
58.1 bps
of traded premium, estimated
100.0101.0Nov101.4
Live 101.4Model 101.1
-25025Nov35

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Disclosure

Ekalon Solutions trades this desk with its own proprietary capital. It does not manage outside money, give investment advice or sell signals, and it is not registered with SEBI as a research analyst or investment adviser. Returns are percentages of the capital allocated to each book. India live results are after estimated exchange charges, taxes and brokerage. Research results are simulated: they are hypothetical, are built with hindsight and are always shown apart from live results. Past performance does not indicate future results. Nothing on this page is an offer or a recommendation to trade any instrument.

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