Implied Volatility Above Historical Volatility (NSE F&O)neutral
F&O stocks whose options price in much more movement than the stock has actually shown over the last twenty sessions.
Showing top 25 of 31 matches · ranked by significance · click any symbol for the full smart-money deep dive · Download CSV
| Stock | ATM IV | IV rank | IV percentile | HV20 | IV − HV (pts) |
|---|---|---|---|---|---|
| OFSSOracle Financial Services Software Ltd. | 46.7% | 66.2 | 97.6 | 25.9% | +20.8 |
| SRFSRF Ltd. | 38.3% | 85.4 | 97.2 | 19.2% | +19.0 |
| COFORGECoforge Ltd. | 46.5% | 79.7 | 93.1 | 29.6% | +16.9 |
| IREDAIndian Renewable Energy Development Agency Ltd. | 43.8% | 66.7 | 91.9 | 27.6% | +16.2 |
| KEIKEI Industries Ltd. | 44.5% | 84.1 | 95.1 | 28.5% | +16.0 |
| HINDZINCHindustan Zinc Ltd. | 39.7% | 47.9 | 78.0 | 23.8% | +15.9 |
| SAGILITYSagility Ltd. | 44.0% | — | — | 29.0% | +15.0 |
| SBICARDSBI Cards and Payment Services Ltd. | 40.0% | 86.2 | 96.3 | 25.3% | +14.6 |
| ETERNALEternal Ltd. | 40.1% | 38.8 | 81.3 | 25.7% | +14.4 |
| VMMVishal Mega Mart Ltd. | 43.5% | 67.8 | 90.0 | 30.2% | +13.2 |
| POLYCABPolycab India Ltd. | 34.3% | 60.6 | 82.8 | 21.3% | +13.0 |
| TORNTPHARMTorrent Pharmaceuticals Ltd. | 29.5% | 69.8 | 91.6 | 16.6% | +12.9 |
| FORCEMOTForce Motors Ltd. | 31.9% | 10.1 | 12.5 | 20.2% | +11.7 |
| IEXIndian Energy Exchange Ltd. | 36.1% | 36.0 | 69.9 | 25.0% | +11.1 |
| SONACOMSSona BLW Precision Forgings Ltd. | 37.9% | 70.7 | 85.0 | 27.2% | +10.6 |
| ABBABB India Ltd. | 42.3% | 83.5 | 98.0 | 31.7% | +10.5 |
| SHREECEMShree Cement Ltd. | 30.6% | 73.5 | 90.5 | 20.9% | +9.7 |
| ATHERENERGAther Energy Ltd. | 44.5% | — | — | 35.0% | +9.5 |
| BANKINDIABank of India | 42.1% | 74.6 | 89.8 | 32.7% | +9.4 |
| GODREJPROPGodrej Properties Ltd. | 35.8% | 39.9 | 67.1 | 26.5% | +9.3 |
| CIPLACipla Ltd. | 23.9% | 47.6 | 70.7 | 14.9% | +9.0 |
| MUTHOOTFINMuthoot Finance Ltd. | 30.6% | 25.8 | 44.7 | 21.7% | +8.9 |
| DRREDDYDr. Reddy's Laboratories Ltd. | 31.2% | 68.5 | 92.3 | 22.3% | +8.9 |
| CGPOWERCG Power and Industrial Solutions Ltd. | 43.6% | 83.2 | 95.9 | 34.9% | +8.8 |
| JINDALSTELJindal Steel Ltd. | 36.1% | 69.0 | 96.3 | 28.5% | +7.6 |
How this screen works
Historical volatility (HV) measures how much a stock has actually moved; implied volatility (IV) is how much its options are pricing in. When IV runs well above HV, the market expects the next few weeks to be livelier than the last few - often ahead of results or a known event.
This screen lists the F&O stocks where at-the-money IV is at least 1.25 times their 20-session historical volatility, ranked by the gap in volatility points.
HV20 is the annualised standard deviation of the last twenty daily close-to-close returns. At-the-money IV comes from the nearest expiry at least seven days away.
The two are not perfectly comparable: IV looks forward over the option's life, HV looks back twenty sessions. A persistent gap usually reflects an expected event.
FAQ
What does IV above HV mean?
The options are pricing in more movement than the stock has recently shown. It often happens ahead of results, policy decisions or other scheduled events.
Does IV above HV mean options are overpriced?
Not necessarily. IV prices the future; HV measures the past. If the expected event is real, the gap may be fair. Treat it as a measure of expectations, not a mispricing.
How is historical volatility calculated?
As the standard deviation of the last twenty daily log returns, annualised with the square root of 252 trading days, and expressed as a percentage.