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VRP Monitor

The VRP Monitor shows the NIFTY volatility risk premium: how far ATM implied volatility (what option prices imply) sits above or below realised volatility (how much NIFTY actually moved). It shows today's gap live, any past day, a daily or intraday chart, and reference tables by market state and by year.

ShowsATM implied vol, 21-day Yang-Zhang realised vol, and IV − RV in vol points
LayoutThree summary cards, a day lookup, a chart, a distribution rail, a market-state table and a year table
DataATM call and put on the nearest expiry; daily NIFTY OHLC for realised vol
InstrumentsNIFTY
UpdatesLive values every 30 seconds during market hours; history once per trading day after the close
HistoryPick any day in the shown history range; chart periods from 1 month to all history
Open itquintalmind.com/analysis/vrp-monitor

What you see​

How the numbers are built

  • Implied volatility (IV): the Black-Scholes IV of the ATM call and the ATM put on the nearest expiry, averaged.
  • Realised volatility (RV): the Yang-Zhang estimator, which uses each day's open, high, low and close, over 21 trading days, annualised at 252 days.
  • Premium: IV − RV, in volatility points. A positive number means options priced in more movement than NIFTY delivered.

Top cards

  • Premium Edge Today: IV − RV, with the market IV and realised vol shown below it. Outside market hours it shows the archived close instead.
  • Market State: today's IV ranked against its recent range and placed in one of five bands: Calm, Low, Normal, Fear or Panic.
  • Edge After Costs: the premium minus a volatility-point hurdle worked out from brokerage costs, with days to expiry. It is a cost hurdle, not a profit figure.

Day lookup. Pick a date to see that day's spot close, ATM strike, implied vol, 21-day realised vol and premium.

Volatility & premium chart. Daily plots closing IV, RV and the premium over 1 month, 3 months, 6 months, 1 year, 2 years or all history. Click a point to load that day. Intraday plots one day minute by minute. On past days, intraday RV is a rolling 30-minute measure. On recorded and live days, the premium is live IV minus the completed 21-day RV.

Where today sits. A rail of percentile markers with today's premium pinned on it, plus average, typical (median), day-to-day spread, share of days overpriced and underpriced, and today's rank.

Market State Breakdown and Year-by-year list days, average, typical and spread of the premium for each band and each year. These two tables and the rail use a published reference sample. Its source and number of sample days are printed in the page footer.

How to use it​

  1. Sign in with your broker and open VRP Monitor, or go to Analysis.
  2. Read the three cards for today's premium, market state and premium after costs.
  3. Use Look up a specific day to load a past date, or Live today to return.
  4. Switch the chart between Daily and Intraday, and pick a period for the daily view.

On expiry day, IV is left blank in the last 10 minutes because the option model gives meaningless values that close to expiry.

FAQ​

Where can I see NIFTY implied volatility vs realised volatility?​

On Quintal Mind's VRP Monitor. It shows NIFTY ATM implied volatility, 21-day Yang-Zhang realised volatility and the gap between them, live and for past days.

How is the NIFTY volatility risk premium calculated?​

Implied volatility is the average Black-Scholes IV of the ATM call and put on the nearest expiry. Realised volatility uses the Yang-Zhang estimator over 21 trading days, annualised at 252 days. The premium is IV minus RV, in volatility points.

Can I see the premium during the day?​

Yes. The Intraday tab shows minute-by-minute IV, realised volatility and the premium for one trading day. Live values refresh every 30 seconds.

Which instruments does it cover?​

NIFTY only.

Quintal Mind shows market data and analytics for information only. Nothing here is investment advice, and Quintal Mind does not place orders.

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