Index IV term structure
| Expiry | Date | DTE | ATM strike | ATM IV |
|---|
Reading the term structure
Near below far is normal contango. A spike at the nearest expiry usually means an event is priced in. Compare with India VIX, NSE's 30-day measure.
- Upward slope — normal; more time, more uncertainty.
- Near-expiry spike — a specific event is priced; check the calendar.
- Flat — similar uncertainty at every horizon.
Methodology & data
NSE and BSE don't publish implied volatility directly, so ATM IV at each expiry is back-solved from that strike's own last-traded price via Black-Scholes — the same method used on the gamma exposure and skew pages. This is a single-moment snapshot across expiries, not a historical time series.
What is IV term structure?
At-the-money implied volatility plotted across every listed expiry at the same moment, showing how the market's uncertainty pricing changes with time horizon.
What is backwardation in IV term structure?
When near-dated IV is higher than far-dated IV — the opposite of the normal upward-sloping shape. It usually signals a specific event priced into the nearest expiry.
How does this compare to India VIX?
VIX is NSE's own official 30-day forward volatility measure, computed across the near-term chain as one number. This page shows back-solved ATM IV per individual expiry, so the two won't always agree exactly.
Which indices are covered?
NIFTY and SENSEX — switch between them using the selector above.