NSE's volatility index tumbles after Wednesday's sharp rise

F&O turnover spurts due to rollover

Nifty September 2010 futures were at 5472.50, at a discount over the spot closing of 5477.90. Turnover in NSE's futures & options (F&O) segment surged to Rs 156182.79 crore from Rs 139650.18 on Wednesday, 25 August 2010, as traders rolled positions from the near-month August 2010 series to September 2010 series. The August 2010 derivatives contracts expired today, 26 August 2010.



In the spot market, the S&P CNX Nifty rose 15.55 points or 0.28% to settle at 5477.90, as bargain hunting emerged after a two-day slide in share prices.

NSE's volatility index, India VIX, a gauge of traders' perception of near-term risks in the market based on options prices, lost 9.67% at 17.09. The index had jumped 11.36% to 18.92 on Wednesday, 25 August 2010. The index had lost 0.88% to 16.99 on Tuesday, 24 August 2010. India VIX is calculated based on the S&P CNX Nifty options prices. India VIX is a measure of the market's expectation of volatility over the next 30 calendar days.