Traders are off to one of the most turbulent starts to a derivatives series as Omicron has sent volatility soaring. The table (Extreme action) illustrates how Nifty option contracts with 17,000-strike price, expiring on December 30, 2021, have moved.
The contracts have witnessed an average daily change of 40 per cent in the past six trading sessions as the underlying index has seesawed amid the uncertainty caused by the new Coronavirus variant.
The Nifty on Monday ended at its lowest level in over three months because of the panic caused by the spread of the new variant and sustained selling by overseas investors. From there, the index has rebounded nearly 3.5 per cent.
The India Vix, a gauge for future volatility, has cooled off in the last two sessions, indicating the wild gyrations may moderate in the immediate term.
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