VIX close chg × Nifty close chg
-0.573
R² = 0.328 · p < 0.001
VIX × Nifty Correlation Lab
Complete statistical analysis of how India VIX moves Nifty 50 — correlation, lags, win rates, and regime behavior.
2010-01-05 → 2026-08-14 · 4,118 aligned trading days
VIX up → Nifty down
+64.3%
Win rate when VIX closes up
VIX down → Nifty up
+69.4%
Win rate when VIX closes down
VIX open gap × Nifty close
-0.092
Same-day headline relationship
Spearman rank (VIX×Nifty close)
-0.531
Robust to non-normal VIX
Best lagged signal
close → t+0
r = -0.573
Nifty avg return, VIX > 20
-0.07%
High-vol regime
Nifty avg return, VIX < 15
+0.10%
Low-vol regime
VIX and Nifty 50 — Full History
India VIX close (left axis) and Nifty 50 close (right axis) since 2010. Note how VIX spikes coincide with Nifty drawdowns.
Same-Day Correlation Matrix — All OHLC Fields
Pearson correlation of daily percentage changes. Every VIX OHLC field is correlated with every Nifty OHLC field. The strongest negative cells are the most actionable same-day signals.
VIX Close Change vs Nifty Close Change
Scatter with fitted regression line. Each point is one trading day; the negative slope is the core inverse relationship.
Lagged Correlation — VIX Close Predicts Nifty Close
How strongly VIX close-to-close change today predicts Nifty close return 0–5 days later. Decay toward zero means the signal is mostly same-day.
Rolling 90-Day Correlation
The relationship is not constant. This shows the 90-day rolling correlation of VIX vs Nifty close changes over time.
Decile Analysis — VIX Move Buckets
Days sorted into ten deciles by VIX close-to-close change. The leftmost (largest VIX drops) and rightmost (largest VIX spikes) buckets show the strongest Nifty reaction.
Volatility Regime Returns
Average Nifty close-to-close return when VIX closes in each level bucket. High VIX regimes tend to produce worse (often negative) Nifty returns.
Conditional Return Distribution
Distribution of Nifty close returns on days when VIX closed up versus days when VIX closed down. The VIX-up distribution is shifted left.
Headline Takeaways
- When VIX closes up, Nifty closes down +64.3% of the time.
- When VIX closes down, Nifty closes up +69.4% of the time.
- The VIX open gap → Nifty close correlation is -0.092 — a gap-up in VIX at open is a bearish same-day signal for Nifty.
- Best signal: VIX close today → Nifty close 0 days later (r = -0.573).
Win Rates & Conditional Returns
| Condition | Days | Nifty down % | Nifty avg return |
|---|---|---|---|
| VIX close up | 1,934 | +64.3% | -0.387% |
| VIX close down | 2,160 | +30.6% | +0.428% |
| VIX open gap up | 48 | +60.4% | -0.615% |
| VIX open gap down | 138 | +37.7% | +0.246% |
| VIX extreme spike (top 5%) — same day | 205 | +87.3% | -1.510% |
| VIX extreme spike (top 5%) — next day | 205 | +44.9% | +0.202% |
Statistical Caveats
- Correlation is not causation. VIX and Nifty are mechanically linked through options pricing.
- All correlations use daily percentage changes, not raw levels — level correlations are non-stationary.
- p-values on overlapping financial data overstate significance; treat them as rough guides.
- The VIX series has zero volume throughout; volume is ignored.
Data Sources
- India VIX historical data — NSE Historical VIX Data
- Nifty 50 historical data — NSE Historical Index Data