## Friday, October 06, 2006

### Volatility of the Indian equity market

The mass media often has a conspiracy theory view of stock market volatility. E.g. see this piece by Sucheta Dalal. The empirical evidence supports more prosaic interpretations. I did a talk at ICRIER on the subject of Indian stock market volatility. The PDF file of the slideshow might interest you.

2. I think that the ATM Nifty options are actually at a point where you can do long-vol or short-vol type positions of fair size - I think it's not hard to have notional values like $1 million. What is missing is the human capital that thinks vol. The onshore OTC equity derivatives market is indeed a big gap. Please note: Comments are moderated. Only civilised conversation is permitted on this blog. Criticism is perfectly okay; uncivilised language is not. We delete any comment which is spam, has personal attacks against anyone, or uses foul language. We delete any comment which does not contribute to the intellectual discussion about the blog article in question. LaTeX mathematics works. This means that if you want to say$10 you have to say \\$10.