Project Report

ON

Volatility and its comparative analysis on different sectors

of
Nifty50 companies

DEPT. OF CMH
Financial management
(HSM 404)

Session: 2019-2020

Submitted By: Submitted to:

Chandan Mishra 16103074 Prof. Monika Khanna
Priyam Bains 16103083
Muskan Sharma 16103109
 Acknowledgment
It is our duty to acknowledge with gratitude the help we got from those individuals who provided us with
guidance, valuable information and who were the grinding force, motivation & inspiration during the successful
completion of this project. The completion of our project work is a combination of the efforts of many people.

First, we extend all our sincere regards and gratitude to our course instructor Prof. Ms. Monika Khanna, CMH,
PEC, for her constant guidance, advice, support and pedagogy she offered. We deem it our privilege to have
carried out our project work under her sincere and able guidance.

Second, we extend all our sincere regards and gratitude to our course coordinator Prof. (Ms. Shweta) and all the
concerned Professors and staff of our college for providing all the facilities required.

Third, we would like to express our sincere thanks to our fellow students in our class for their constant help,
support and guidance throughout the project.

Last but not least, we would like to sincerely thank all those people who have left unmentioned here, but have
helped us directly or indirectly by their contribution to giving us a sharp and rewarding insight about the
successful completion of this project.
 Abstract
Study of variation and dynamism of stock market trends has been an area of vast interest both for those who wish
to make profit by trading stock in the stock market. India is one of the emerging economies, which has witnessed
significant developments in the stock markets during the liberalization policy initiated by the government.
Though it is tough to predict behaviour of share market return because it varies with a lot of sudden situational
factors but analysis of the volatility of nifty companies in the past can help in decision making by predicting the
variation. This research is a humble attempt to measure the volatility of the nifty index stocks and compare it with
that of the volatility of NIFTY. Stock markets in general are considered volatile and volatility plays a key role in
measuring the risk return trade-offs. While there are so many factors that make the stock market volatile, one is
very curious to understand if the volatility of the stock market in India is in line with the volatility of the different
sectors in India. Estimating volatility enables the pricing of securities and, understanding stock market volatility
or individual stock price volatility enables good decisions on the part of investors. Investors who are risk-averse
would not be happy to invest in a highly fluctuating stock, whereas those with a thirst for riskiness would happily
invest in a highly volatile market. Volatility is simply a measure of variability or dispersion from the mean
values. In this study standard deviation and individual beta values have been calculated to get an idea of the
volatility.
 Chapter 1
INTRODUCTION
The capital market in India is a very robust market and has undergone drastic changes in the last two or more
decades. Stock markets in India have now become more transparent than ever. Index of Nifty varies according to
simple demand and supply rule but this depends on a lot of market factors and varies dynamically so prediction of
exact trends of stock market return is not feasible but quantitative analysis of previous trends and forecasting can
help a lot to make decisions of investments. This can be done by volatility analysis. Volatility is the change in the
prices of the asset for the arrival of every piece of new information emanating out of economy, company, or
industry specific news. Change in the prices of assets happens due to demand and supply forces which takes place
by impatient traders in the intraday scenario. If the day to day variation of the price of the securities is more, it
can be said that the volatility of it will be high, and conversely if the day to day variation is low, the value of
volatility will be low as well. It is measured by the standard deviation of logarithmic returns during a certain
period. The trend setting companies are listed under ‘Nifty 50’ which represents the weighted average of 50
Indian company stocks in 13 sectors. The Nifty 50 Index represents about 66.17% of the free float market
capitalization of the stocks listed on NSE as on March 31, 2015 so they cover many aspects of prediction and risk
minimization. Our objective is to provide the comparative study of leading Nifty 50 companies of different
sectors along with their exceptional impact on the stock market.

Volatility Index
Volatility Index is a measure of the market's expectation of volatility over the near term. Usually, during periods
of market volatility, the market moves steeply up or down and the volatility index tends to rise. As volatility
subsides, the volatility index declines. Volatility Index is different from a price index such as NIFTY. The price
index is computed using the price movement of the underlying stocks. Volatility Index is computed using the
order book of the underlying index options and is denoted as an annualized percentage.
First to introduce the volatility index was the Chicago Board of Options Exchange (CBOE) for the US markets in
1993 based on S&P 100 Index option prices. In 2003, the methodology was revised and the new volatility index
was based on S&P 500 Index options. Since its inception it has become an indicator of how market practitioners
think about volatility. Investors use it to gauge the market volatility and base their investment decisions
accordingly.

2. India VIX
India VIX is a volatility index computed by NSE based on the order book of NIFTY Options. For this, the best
bid-ask quotes of near and next-month NIFTY options contracts which are traded on the F&O segment of NSE
are used. India VIX indicates the investor’s perception of the market’s volatility in the near term i.e. it depicts the
expected market volatility over the next 30 calendar days. Higher the India VIX values, higher the expected
volatility and vice-versa.

Measures of volatility:
1-Historical Volatility
Historical volatility is a measure of how much the stock price fluctuated during a given time period (in the past).
It is referred to as the asset's actual or realized volatility. Traders make use of historical volatility to estimate the
future movement, but there is a chance that the future volatility could deviate from the expected value as the
factors influencing the price could change. Major fundamental changes could cause the asset price to stray away
from the expected historical volatility.
Calculation
Historical statistical volatility is calculated as follows:
1) Daily returns are calculated as return = natural log of (t/t1). Where t is the closing price of the present day and
t1 is the closing price one day prior.
2) Then standard deviation of these returns is calculated for the desired time period.
3) The standard deviation value is then annualized by multiplying by the square root of 356.
Interpretation of Historical Volatility
• Historical Volatility does not measure direction; it just measures how much the securities price is
deviating from its average.
• When a security’s Historical Volatility is rising, or higher than normal, it means prices are moving up and
down farther/more quickly than usual and is a sign that something is likely to happen, or has already
happened, regarding the underlying security.
• When a security’s Historical Volatility is falling, it implies that that the uncertainty regarding the security
has reduced and things are returning back to usual.
Volatility tends to surge when there is heavy price fluctuation in the market. In the above example, Nifty Futures
witnessed a correction from 10400 levels all the way till 10050, which was followed by a pullback in the markets
back to 10400 levels again. During this phase, volatility increased from 7.6 all the way till 11.9. This was
followed by a period of sideways consolidation in the markets during which the volatility cooled from levels of
11.9 to 6.8.
2-Implied Volatility
Implied volatility is the expected magnitude of a stock's future price changes, as implied by the stock's option
prices. Implied volatility is represented as an annualized percentage. If market participants are willing to pay a
high price for options, then that implies they are expecting major movements in the stock price or implied
volatility in the near term. On the other hand, if there is no heavy demand for options and trades aren’t willing to
pay much for options, then it indicates that market is not expecting significant price movement. Implied volatility
is just a way to describe the size of the market's expectations for stock price movements.
Consider the following stocks and their respective option prices (options with 23 days to expiration):

Stock 35 Call Price 30 Put Price Implied Volatility

NHPC(33.5) Rs. 0.7 Rs. 0.20 40.53%

RCOM(34) Rs. 2.9 Rs. 1.45 104.49%

As we can see, both stocks are of nearly the same price. However, same strikes for each stock have different
prices. In the case of RCOM, the call and put prices are much higher than NHPC's options. The reason of this
being the 63.96 % difference in implied volatility between the two options. This indicates that the traders expect
heavy price fluctuation in the price of RCOM compared to NHPC. Many professional traders consider buying or
selling options based on the implied volatility.
Stocks with a high I.V tend to witness major price swings hence the risk-reward ratio is also higher for traders in
such stocks. RCOM is clearly the riskier of the two and more rewarding as well.

3. India VIX:: computation methodology

India VIX uses the computation methodology of CBOE, with suitable amendments to adapt to the NIFTY options
order book.
The formula used in the India VIX calculation is:
 where:
σ India VIX/100; India VIX= σ x 100
T Time to expiration
Ki Strike price of ith out-of-the-money option; a call if Ki > F and a put if Ki < F
ΔKi Interval between strike prices- half the distance between the strike on either side of Ki.
(Note: Δk for the lowest strike is simply the difference between the lowest strike and the next higher strike.
Likewise, Δk for the highest strike is the difference between the highest strike and the next lower strike)
R Risk-free interest rate to expiration
Q(Ki) Midpoint of the bid ask quote for each option contract with strike Ki
Forward index taken as the latest available price of NIFTY future contract of corresponding expiry
0 First strike below the forward index level, F. Some of these symbols are further explained below

6. Computation of India VIX from the Volatilities

India VIX value is arrived at by interpolating the near and next month sigma values. If either of the month’s
sigma value is not computed then the previous tick’s sigma value for the corresponding month is carried forward
for computation. However, if India VIX is not computed at least once for the day then the previous India VIX
value is carried forward.
These values are interpolated to arrive at a single value with a constant maturity of 30 days to
expiration. The formula used for interpolation is as under:

Where,
NT (number of minutes to expiration of the near month options) = 12960
1

NT (number of minutes to expiration of the next month options) = 53280

2

N = (number of minutes in 30 days) =43200

30

N = (number of minutes in a 365-day year) = 525600

365
 Chapter 2

REVIEW OF LITERATURE

1. VIX computation methodology from nseindia official portal: This gives broad description along with
the mathematical calculation model of volatility along with the definition of all terms.

2. Dr. Prema Chandran carried out a research on the topic, “A Study on the Volatility and Returns of
the Indian Banking Sector Index with Reference to NSE Nifty” with a view to compare and analyze
volatility of the Bank index stocks and compare it with that of the volatility of NIFTY. This research paper
presents the nature and extent of relationship between returns and volatility of the Bank Index stocks and the
NSE NIFTY and also to find out if the stock appearing in the Bank index are more or less volatile than the
NSE NIFTY

3. Dr. N R Parasuraman conducted a research on the topic, “HISTORICAL AND IMPLIED

VOLATILITY: AN INVESTIGATION INTO NSE NIFTY FUTURES AND OPTIONS”: The broad
objective of the paper is to have an understanding of the movement of volatility over a fair period in respect
of the market portfolio. Also, it enables an understanding on how divergent the implied volatility has been
from this estimate. It uses Volatility Cone, Volatility Smile and Volatility Surface as the parameters. The
study takes different rolling periods percentiles of volatility.

4. Dr. Ashok Bantwa carried out a research on the topic, “A Study on India Volatility Index (VIX) and
its Performance as Risk Management Tool in Indian Stock Market” This study is aimed at examining the
relationship between India VIX and NIFTY and to examine the usefulness of volatility index as risk
management tool for stock market trading.

5. Dr. S.Akhila and Mrs. K. Neeraja undertook a research on the topic, “A Comparative Analysis of
Sectoral Indices with NSE Index”. In this study, five sectors of NSE are considered where the sector-wise
returns and risk are calculated and compared with nifty 50. For this, the automobile sector, FMCG sector,
banking sector, pharmaceutical sector and media sector are considered and quarterly values for 5 years are
considered. Though the sectors are performing well in gaining high returns they are underperforming the
market risk.

6. D. S. Nagarajan and Dr. K Prabhakaran carried out research on “A STUDY ON EQUITY

ANALYSIS OF SELECTED FMCG COMPANIES LISTED ON NSE”. This study examined the effect
of selected FMCG companies' share price movement on Nifty Index .It concludes that selected FMCG
 companies share having moderate risk and generate moderate gain / loss to the investors during the study
period .

7. Sunaina Kanojia and Neeraj Jain carried out research on Forecasting Volatility and Pricing Option:
An Empirical Evaluation of Indian Stock Market. This study empirically investigates and examine seven
models of volatility forecasting, namely unconditional standard deviation.
 Chapter 3

GAP OF STUDY
Need for Study

Importance

The main purpose of this study is to know about volatility and its trend. More precise model and observation
of volatility trends gives the investment pattern and idea with minimum risks. Nifty50 covers 13 different sectors
of leading NSE companies and sector wise observation of volatility variation can give more precise trends of
investment returns.

Gaps in Literature

• The studies don’t include sector wise combined analysis of Nifty50 companies so in absence of the study
reports of common patterns they showed a rise and fall in price earning ratio of Nifty. To derive a pattern
for decision making and prediction for investment, the factors affecting leading companies listed in
Nifty50 and volatility model can help to minimize the risk factor. For this comparative analysis, study of
how nifty and its price ratio works and how volatility trends derive patterns was needed. study of
historical behaviour of these market leading companies derives the usual stock market trends and
predictions.

• The above studies give only a broad view of how volatility affects the investments and investment
strategy to minimize risks but
• The pattern of volatility change in different sectors has not been clarified by a specific set of parameters
yet. So, it is not obvious which one is dominant in an actual scenario.
 Chapter 4

RESEARCH METHODOLOGY
The research methodology is a careful investigation or inquiries in a systematic manner and finding a solution to
the problem under investigation. It is used for finding and re-finding the solution for any problem which has
occurred in our project.
The type of research design we used in the study is Quantitative and Analytical Research. we will try to explore
the latest impacts of the aforementioned factors, and also the work done till now and we will analyze the
decisions of companies and market situation that affected their shares.

Objectives: The Main Objectives of this project are:

1. To analyse the risk and return of selected sectors from Nifty50 companies;
2. To analyse how the volatility and forecasting can help to minimise risks of investments.
2. The primary objective of this study is to analyse the risk and return of selected sectoral indices from
NSE
3. To study the behaviour of variation of Nifty and factors affecting its volatility.
4. To study the relationship between India Volatility Index (India VIX), CNX Nifty Index (NIFTY).
5. To examine the performance of VIX as a risk management tool and for employing timing strategies for
stock market trading.
6. To study the performance of Volatility Index as a barometer of investor's sentiment and volatility in
stock market

Sources of data:
The data collected for the study are Secondary data. Primary data is the data which is collected directly
through investigation. There is no primary data as it can only be collected through direct investigation.
Secondary source of data obtained from periodicals, journals & websites and by studying the patterns
derived by nifty 50 companies and VIX trends. In this analysis, the majority of the data is collected from
nseindia.com

Research Design

1. Definition of problem: In dynamic share market, to measure the risks and fluctuation for investment,
volatility is the mathematically derived and quantitative measure. It is necessary to know the sector wise
 comparison and general trends of how volatility is the deciding factor to make investments and to
minimize risks.
2. Types of Research: This research is qualitative and analytical in nature. Qualitative research talks about
the quality of the research work & analytical research are concerned with determining the validity of a
hypothesis based on analysis of facts collected.
 Chapter 5

Comparative Analysis
As many investors are more interested in trading, the study of the impact of volatility variation in different sectors
given in nifty50 plays an important role in risk minimisation. Without proper knowledge, no investor can
succeed, where this analysis will help him/her to choose a better sector to invest. In this study, 3 sectors of NSE
are considered where the sector-wise returns and risk are calculated and compared with nifty 50. For this, FMCG
sector, IT sector and banking sector are considered and the trend of companies belongs to them are analysed.
Though the sectors are performing well in gaining high returns they are underperforming the market risk.

1-FMCG sector:
The Indian economy experienced an economic slowdown with high inflation in fiscal year2012. However,
India’s FMCG Industry was resilient in face of slowdown with growth in both sales and profitability. The ever-
increasing middle class backed by rising per capita income is driving the growth of the FMCG sector in the
country. Moreover, the wide distribution network built by erstwhile major players ensures the high penetration of
the FMCG products in rural India as well, which is home to more than 65% of Indian population. Hence, FMCG
is one of the sectors in the country which has successfully mitigated the rural-urban divide. In the second half of
2012, consumer confidence remained strong in the Indian market. India was ranked first along with Indonesia in a
consumer confidence index published by Nielsen. However, inflation was hovering around the 10% mark which
prevented the Reserve Bank of India from initiating any cuts in benchmark interest rate. The performance of
leading players in the FMCG sector was above par in the second half with almost all of them experiencing double
digit growths. Their stock prices also saw a significant appreciation during the course of the year. The outlook for
Indian FMCG is positive because of growing sales, strong financials of leading players and ever-increasing
urbanization. Reforms announced in the second half of the year like opening of the retail sector to foreign
companies will add further to the growth of the sector. The burgeoning middle-class Indian population, as well as
the rural sector, present a huge potential for this sector. The FMCG sector in India is at present, the fourth largest
sector with a total market size in excess of USD 13 billion as of 2012. This sector is expected to grow to a USD
33 billion industry by 2015 and to a whooping USD 100 billion by the year 2025. This sector is characterized by
strong MNC presence and a well-established distribution network. In India the easy availability of raw materials
as well as cheap labour makes it an ideal destination for this sector. There is also intense competition between the
organised and unorganised segments and the fight to keep operational costs low. Two comparison groups provide
a powerful and disturbing insight into India’ s growth process. First, there are many countries which have grown
at rates very similar to India’ s but which The growth process currently underway in India is inherently biased
against the poor, the marginalized and underprivileged. If economic growth is to lead to substantial improvements
in the living standards (measured by indicators of wellbeing like life expectancy, literacy, infant mortality) of the
vast majority of the world ’ s population, a radically different socio-economic paradigm must be put in place of
the currently dominant neoliberal one. This sector will continue to see growth as it depends on an ever-increasing
internal market for consumption, and demand for these goods remains more or less constant, irrespective of
recession or inflation. Hence this sector will grow, though it may not be a smooth growth path, due to the present
world-wide economic slowdown, rising inflation and fall of the rupee. This sector will see good growth in the
long run and hiring will continue to remain robust.

The NIFTY FMCG Index is designed to reflect the behaviour and performance of FMCGs (Fast Moving
Consumer Goods) which are non-durable, mass consumption products and available off the shelf. The NIFTY
FMCG Index comprises 15 stocks from the FMCG sector listed on the National Stock Exchange (NSE).

NIFTY FMCG Index is computed using the free float market capitalization method, wherein the level of the
index reflects the total free float market value of all the stocks in the index relative to particular base market
capitalization value. NIFTY FMCG Index can be used for a variety of purposes such as benchmarking of fund
portfolios, launching of index funds, ETFs and structured products.

From the table we can see that Beta of all the FMCG companies taken for the study was less than 1, and share
price was defensive. In short, all the five companies share prices moved in the positive direction inconnection
with Nifty Index.
Historical volatility of Dabur Pvt. Ltd

Year Volatility (र)

2010 9.64
2011 5.81
2012 17.35
2013 14.90
2014 26.43
2015 21.80
2016 21.79
2017 25.20
2018 42.07
2019 38.96
IT Sector :

Indian IT industry has more than 17,000 firms, of which over 1,000 are large firms with over 50 delivery
locations in India. The country's cost competitiveness in providing IT services, which is approximately 3-4 times
more cost-effective than the US, continues to be its unique selling proposition in the global sourcing market.So,
what exactly does IT cover? Anything involved with software, computers, networks, intranets, Web sites, servers,
databases and telecommunications falls under the IT umbrella. IT is the technology that helps companies store,
process and flow data within an organization. This sector ultimately serves other sectors like Banking,
Manufacturing, Telecom, Hotels, Hospitals etc. to improve their efficiency and increase their revenues via
customer satisfaction.he Information Technology sector can broadly be classified into:
1. IT- Software – These companies help in developing and implementation of different software for their clients
worldwide. These software could be for documentation, security services, banking softwares etc.
2. ITeS Business process outsourcing (BPO) – Major Corporations across the world outsource their back-office
operations to some companies. E.g. Employee payroll for a US company’s global workforce is maintained by an
Indian BPO. Slowly the definition is expanding to Human resources, accounting, logistics, legal processes etc.
3. IT- Hardware and peripherals – The stuff you can actually see and touch, and would likely break if you threw it
out a fifth-story window, is hardware. This would include laptops, desktops, Storage devices, Networking
devices, LCD, printers etc.
4. IT- Education This segment provides training for employment in the other segments. This would include
companies providing various certification courses, like Java, Oracle etc. These companies also provide training
for employees in corporate sector. Recently, some companies have also expanded this service to cater to schools
and colleges.
This sector has made significant contributions to India’s economic growth in terms of GDP increase, foreign
exchange earnings as well as employment generation. Its contribution to GDP has increased tenfold in last
decade, from 0.6% to 6% till 2009-10. The sector has helped India transform from a rural and agriculture-based
economy to a knowledge-based economy. Besides this, the lives of people have been positively influenced by
direct or indirect contribution of IT sector to various parameters such as employment, standard of living, per-
capita income etc.
Infosys Stock Volatility trend

Wipro Stock Volatility trend

Factors that determined high Volatility:

1. Easy availability of Talent pool and cost advantage – The sector is human power and knowledge-oriented and
this cost accounts for more than 40% of overall cost. Indians are considered to have better mathematical skills
required for writing software. The easy availability of this talent pool makes it a long-term advantage.
Widespread knowledge of English makes this pool employable, as compared to other countries like China, Japan
etc. Also, it is 5 to 8 times cheaper to employ an Indian technologist than one from developed countries and thus
the business has been flowing to India over the years.
2. Process and Quality – Nearly all the Indian software companies take CMM (Capability Maturity Model)
certification, which is the benchmark of quality management. Out of approximately 250 companies reaching
supreme level i.e. level 5 of CMM, 60 are from India. This gives the impression of the company being
dependable and hence, helps them tap the market easily.
3. Supportive government policies – In early 1970’s when Americans began looking offshore for software
development, the government policies of India were not much supportive. However, post liberalisation the
government recognised the potential and took supportive stance towards IT by reducing import tariff on
Hardware and Software, developing Software Technology Parks and introducing legislative actions to protect
intellectual property (e.g. Information technology act 2000).

NIFTY IT sector index has been developed. The Nifty IT Index represents about 12.15% of the free float market
capitalization of the stocks listed on NSE and 91.9% of the free float market capitalization of the stocks forming
part of the IT sector as on March 31, 2016. NIFTY IT provides investors and market intermediaries with an
appropriate benchmark that captures the performance of the IT segment of the market in India. NIFTY IT sector
distribution

:
Banking Sector :
Bank Nifty represents the 12 most liquid and large capitalised stocks from the banking sector which trade on the
National Stock Exchange (NSE). It provides investors and market intermediaries a benchmark that captures the
capital market performance of Indian banking sector.Financial services accounts for 40.39% weight. The top
stocks of the index include HDFC Bank Ltd. 31.61%, ICICI Bank Ltd. 18.20%, Axis Bank Ltd. 13.02%, Kotak
Mahindra Bank Ltd. 12.74% and State Bank of India 10.92%. Bank Nifty, like others, is computed using free
float market capitalization method. It's index variant includes NIFTY Bank Total Returns Index or Bank NiFty
TRI. The index was launched in 2003.
Shares of all Banks in Bank Nifty

HDFC Bank Limited (HDB)

HDFC BANK's mission is to be a World Class Indian Bank. The Bank's aim is to build a sound customer
franchise across distinct businesses so as to be the preferred provider of banking services in the niche segments
that the bank operates in and to achieve healthy growth in profitability, consistent with the bank's risk appetite.
The bank aims to ensure the highest level of ethical standards, professional integrity and regulatory compliance.
HDFC Bank's business philosophy is based on four core values: Operational Excellence, Customer Focus,
Product Leadership and People.

Historical volatility trend of HDFC

ICICI Bank Limited (IBN)

ICICI Bank Limited is an Indian multinational banking and financial services company headquartered in
Mumbai, Maharashtra with its registered office in Vadodara, Gujarat. As of 2018, ICICI Bank is the second
largest bank in India in terms of assets and market capitalisation. It offers a wide range of banking products and
financial services for corporate and retail customers through a variety of delivery channels and specialised
subsidiaries in the areas of investment banking, life, non-life insurance, venture capital and asset management.
Historical volatility trend of ICICI
 Findings and Conclusion
• Low volatility indicates that a stock does not swing dramatically, but changes in price at a steady pace
over a given period of time.

• Various studies on volatility and implied volatility over the years have shown conflicting results on
the relationship with each other. In this exploratory study of NIFTY spot and NIFTY options, we find
the implied volatility being different across various time periods in the horizon and for various exercise
prices. While not particularly volatile, the market did show steep tendencies during the period under
study

• It can be concluded that Nifty and NSE Nifty and Nifty fifty Selected Companies of Financial Service
Sector is fairly weak form efficient and follow random walk during the study period

• Due to less volatility in IT Hardware sector, the hardware sector’s weightage has declined whereas IT
software sector has improved.

• Furthermore, due to consistent stock volatility of companies like Infosys, Wipro and TCS their stock
value has increased and number of investors in their shares have also increased consistently.

• IT sector will be more volatile in future too because it provides services to other sectors and act as
backbone to sectors like banking, pharmaceuticals, etc.

• Banking companies with more diversified services had more volatility than the other companies.

• Banking sector constitutes the majority of NIFTY and the companies like ICICI and HDFC have a quite
high volatility as compared to others.

• In the banking sector companies with higher volatility have more shares in the sector than companies with
low volatility.

Suggestion
• We would suggest to sell put option on high implied volatility and avoid buying call option and reverse on
low implied volatility.
• It is observed that the banking sector has higher risk return trade off and volatility.
• In FMCG sector there is constant growth and return is observed because of huge consumer base but return
variation is low.
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