Above is the options chain table of NIFTY index and VIX chart on Yearly Budget announcement day 23Jul2024. Below are few important analysis points
- Index close just 0.1% lower than previous close value , however the ATM , and nearby ITMs of CE and PE have significant LTP change
- This is due to the impact of VIX during pre and post event
- Before commencement of Budget speech , VIX value was almost 20% higher compared to after speech which results in increased premium values
- Post event , VIX dropped significantly resulting in drop in premium rates. This is more beneficial for option sellers to collect premiums, while for buyers may notice draw downs.
A similar pattern on 1Feb2025 Budget day as indicated in below option chain . After a volatile day , NIFTY ended almost near day open
