An implied volatility number on its own says almost nothing about whether an option is expensive. Thirty per cent is cheap on one stock and rich on another, and rich on the same stock a month later. What carries information is where a symbol's implied volatility sits against where that symbol's volatility usually sits.
This chart plots both lines together: the IV history of the symbol day by day, and the mean-reversion baseline fitted on that same history. The gap between them is the reading, not the absolute level of either.
Each point is one trading day: the closing implied volatility for that symbol and expiry, with the high and low the day reached. The series runs from whatever anchor date you choose, and both the current and the far expiry are available, which matters because front-month IV is routinely inflated near expiry and reading it alone will tell you an option is dear when only the clock is.
A cross-sectional comparison against the market tells you which stocks are volatile, which you mostly already know. Comparing a symbol against its own history tells you something harder to see: whether its options are currently mispriced relative to how they normally trade. A stock that lives at forty per cent implied volatility is not expensive at forty. It is expensive at sixty.
Implied volatility stretched well above the baseline means options are dear against their own history. That is the condition premium sellers wait for, though it is rarely free money: elevated volatility usually reflects a real event ahead, and the market is often right about it.
Implied volatility pinned below the baseline is the reverse. Optionality is cheap, and a volatility expansion from that level pays without needing the underlying to move far. Long premium is a losing position most days and a very good one on a few, which is why the entry level matters more here than the direction.
Implied volatility is solved per contract from its traded price using a Black-Scholes model, with the forward taken from call-put parity on the at-the-money pair rather than from the spot index. Dividends and cost of carry are then already embedded in the forward, which removes a systematic skew that appears when a raw spot price is used instead.
Both expiries are plotted, and the spread between them is its own reading. The near month sitting well above the far month is backwardation in volatility: the market expects trouble soon rather than eventually, which is the normal shape into results and an abnormal one otherwise. The two converging as expiry approaches is ordinary and says nothing.
Coverage is the whole NSE F&O segment, over two hundred symbols, on both the current and far expiry. The chart is free, needs no account, and is analytics rather than advice.
There is no absolute level. Thirty per cent is cheap on a volatile midcap and rich on a large private bank, and rich on that same bank a month later. The only reading that carries information is where implied volatility sits relative to its own history on that symbol, which is what the baseline on this chart supplies.
It is the level that symbol's implied volatility has tended to return to, computed from its own volatility history rather than from a cross-sectional average across stocks. Comparing one symbol against the market average tells you which stock is volatile. Comparing it against itself tells you whether its options are mispriced.
It is solved per contract from the traded price with a Black-Scholes model. The forward comes from call-put parity on the at-the-money pair rather than from the spot index, so dividends and cost of carry are already embedded in it. That avoids the systematic skew you get from feeding a raw spot price into the model.
Options on that symbol are expensive against their own history. It usually reflects a known event ahead, results or a policy decision, and it is the condition premium sellers wait for. It is not a signal on its own: volatility can stay elevated for weeks, and the event it is pricing may justify every point of it.
The chart draws daily closing implied volatility from whatever anchor date you pick, with that day's high and low, for both the current and the far expiry. Coverage is every stock and index in the NSE F&O segment, currently over two hundred names. The same stored history is what the mean-reversion baseline is fitted on, so the two lines always come from one source.
Analytics only. Not investment advice. Last updated .