Post event volatility crush is a known phenomenon across various underlyings. Post state election results this week Indian traders saw massive doses of implied volatility dump across various underlyings.
The most widely traded underlyings, $Nifty and $BankNifty saw implied volatility crush across the option chain.
This vol crush was also accompanied by a fairly decent two day rally in the indices. With no further news based events lined up for December, we’re expecting implied volatility to continue petering out and rolling out to a $INDIAVIX base of 15.
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