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Desk note · Monday 9 November 2026 · 7 min read

Nifty range 0.05x normal while India VIX rises 12% on a 2% Sensex gain

S&P 500 0DTE put skew reached 4.7 vol points, exceeding the 1.8 vol point 20-session average.

GIFT NIFTY25,044.00+0.21%MES7,580.75+2.41%MGC4,133.70+1.44%CL86.06-5.25%NIFTY25,044.65+0.06%SENSEX81,028.02+2.17%
In brief

Key takeaways

Key takeaways
  • 01Sensex trended up: Sensex moved 2.17%, which is 2.21 times the 0.98% move implied by its volatility index.
  • 02Volatility bid: India VIX rose 12.13% during a session where the Sensex gained 2.17%.
  • 03S&P 500 skew: S&P 500 0DTE 25-delta put minus call implied volatility reached 2.6 standard deviations above the 20-session average.
  • 04Nifty range bound: Nifty moved 0.06%, representing 0.05 times the 1.10% move implied by its volatility index.
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 25,044.00 index points, up 0.21% with volume 1.34 times the 20-session average.

Close
25,044.00
2026-11-09
Session
+0.21%
gap +0.07%
Day range
1.1%
0.6x its 20-day average
Realised vol, 20d
16.9%
higher than 77% of the last year
Session
5-minute closes, India time
25,044.00+0.21%
24,90025,00025,10018:0000:0006:0012:00Prev close 24,99225,035
Six months
Daily close
25,044.00+3.54%
23,00024,00025,000JunJulAugSeptOctNov25,044
Open
25,009.00
High
25,105.00
Low
24,836.00
Previous close
24,992.00
Gap at open
+0.07%
Session range
1.1%
Average true range, 14 sessions
1.6%
Realised vol, 20 / 60 sessions
16.9% / 14.3%
Volume vs 20-session avg
1.34x
1 week / 1 month
+7.01% / +10.63%
3 months / year to date
+1.01% / -7.53%
From 52-week high
-9.0%
Session: low to high, open and close
24,836.0025,105.00
52 weeks: low to high, last close
22,240.5027,532.00
Realised volatility
20 sessions, annualised, last year
16.9%
10.0%20.0%DecFebAprJunAugOct16.9%
Cross-asset

How the markets moved together

Correlation of daily returns

Last 60 sessions both markets traded.

MESMGCCLNIFTYSENSEXGIFT NIFTY
MES10.30-0.41-0.13-0.15-0.11
MGC0.301-0.270.210.150.23
CL-0.41-0.271-0.25-0.23-0.27
NIFTY-0.130.21-0.2510.980.96
SENSEX-0.150.15-0.230.9810.95
GIFT NIFTY-0.110.23-0.270.960.951

NIFTY against US futures

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

-0.500.000.50AugNovFebMayAug-0.12
NIFTY vs MES -0.12NIFTY 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%DecFebAprJunAugOct16.9%
GIFT NIFTY 16.9%MES 22.1%MGC 24.0%CL 57.1%NIFTY 16.2%

Last 15 sessions

Daily change in %, by instrument.

20 Oct21 Oct22 Oct23 Oct26 Oct27 Oct28 Oct29 Oct30 Oct2 Nov3 Nov4 Nov5 Nov6 Nov9 Nov
GIFT NIFTY0.2-0.9-0.1-0.40.9-0.2-0.31.40.21.41.50.82.71.60.2
MES0.30.6-1.2-0.60.70.60.3-0.4-1.8-0.50.31.6-4.40.32.4
MGC-0.40.2-2.1-1.30.80.9-0.6-0.1-3.31.8-0.73.41.0-0.91.4
CL-1.8-4.62.43.8-1.5-1.82.9-0.82.1-7.4-0.4-8.32.70.3-5.3
NIFTY-0.3-0.5-0.40.7-0.0-0.21.00.51.71.60.62.42.00.1
SENSEX-0.2-0.6-0.20.7-0.0-0.51.20.41.71.60.52.62.2
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

S&P 500 0DTE: implied volatility by strike

S&P 500 0DTE 25-delta put minus call implied volatility was +4.7 vol points against a 20-session average of +1.8 vol points, 2.6 standard deviations above normal.

30.0%40.0%50.0%7,3007,4007,5007,6007,700Spot 7,498
25-delta put minus call implied volatility
S&P 500 0DTE, last 30 sessions
+4.7 vol points
0.0%2.0%4.0%OctNov20-session avg 1.8%4.7%

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
S&P 500 0DTE25-delta put minus call implied volatility+4.7 vol points+1.8 vol points+2.6
S&P 500 0DTEPut-call volume ratio0.871.04-2.0
NIFTY 50Near minus next expiry implied volatility+2.2 vol points-0.1 vol points+1.6
SENSEXAt-the-money implied volatility22.3%17.1%+1.5
SENSEXPut-call open interest ratio0.781.06-1.1
S&P 500 0DTEAt-the-money implied volatility26.3%20.5%+0.8
NIFTY 50Put-call open interest ratio0.840.94-0.5
SENSEXNear minus next expiry implied volatility+3.4 vol points+2.4 vol points+0.5
NIFTY 50At-the-money implied volatility15.3%14.1%+0.4
NIFTY 5025-delta put minus call implied volatility+2.1 vol points+2.6 vol points-0.2
SENSEX25-delta put minus call implied volatility+1.9 vol points+2.3 vol points-0.1
IndexVol indexImplied moveActual moveActual / impliedInside implied, 20 sessionsSession
S&P 500VIX 25.641.6%2.4%1.50x65%Gap day
NIFTY 50India VIX 17.471.1%0.1%0.05x60%Range-bound
SENSEXIndia VIX 15.581.0%2.2%2.21x55%Trend up

Short-premium structures faced challenges in the SENSEX where the index moved 2.21 times the implied move, while NIFTY conditions favoured range-bound strategies. Outright option buying benefited from the elevated put skew in S&P 500 0DTEs and the volatility expansion in Indian indices.

Volatility

Index levels and volatility gauges

IndexCloseSessionMonth to dateRealised vol, 20 sessions
NIFTY 5025,044.65+0.06%+8.64%16.2%
SENSEX81,028.02+2.17%+8.82%17.4%
India VIX17.47+12.13%+14.18%Index level
S&P 5007,549.94+2.35%-0.40%21.9%
VIX19.92-22.31%+2.57%Index level
Desk

What our books did

US Index Options
-0.74%
MTD +1.27% · since live +1.74%

US Index Options book realised a daily return of -0.74% with a live versus research correlation of 0.97.

India Index Derivatives book maintains a 0.0% drawdown with a research annualised volatility of 3.3%.

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
-0.74%
Month to date
+1.27%
Since live start
+1.74%
83 sessions
Live max drawdown
-9.13%
LiveEquity, indexed to 100
100.0105.0AugSeptOctNov101.7
ResearchEquity, last 260 sessions
100.0125.0150.0NovFebMayAug157.7
Statistics
StatisticLiveResearch
Sessions83934
Total return+1.74%+254.92%
Annualised return+5.3%+68.8%
Annualised volatility13.3%26.3%
Sharpe0.402.61
Sortino0.404.03
Max drawdown-9.1%-6.4%
Current drawdown-6.1%-2.2%
Longest drawdown, sessions3567
Up sessions64%62%
Best session+2.29%+4.63%
Worst session-3.41%-4.73%
Skew-1.32-0.51
ResearchDrawdown from previous high
-10.0%-5.0%0.0%NovFebMayAug-4.8%
ResearchRealised volatility, 20 sessions, annualised
20.0%30.0%NovFebMayAug30.7%
Diversification

How the books and their sleeves move together

Correlation of daily returns

Last 12 months, 235 common sessions.

US optionsIndia optionsNIFTY 50S&P 500
US options1-0.000.08-0.14
India options-0.001-0.02-0.10
NIFTY 500.08-0.0210.08
S&P 500-0.14-0.100.081

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 89 sessions and the same capital.

Daily correlation
0.97
Live minus model
+1.02%
cumulative
Slippage
15.3 bps
of traded premium
Fees
6.1 bps
of traded premium
98.0100.0102.0AugSeptOctNov102.9
Live 102.9Model 101.8
0100200AugSeptOctNov15

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
9.4 bps
of traded premium
Fees
58.5 bps
of traded premium, estimated
100.0101.0Nov101.4
Live 101.4Model 101.1
-25025Nov20

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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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