India VIX Has Sharpest Two-Day Drop in a Month as Stocks Advance

The benchmark measure of Indian option prices capped its steepest two-day fall in a month as stocks extended gains from the longest loss streak in 15 months.

The India VIX index fell 3.3 percent to 20.50 at the close in Mumbai, after dropping 3.7 percent on Tuesday. The losses are its sharpest for consecutive days since Jan. 9. The 50-stock Nifty index rose 0.7 percent to 8,627.40, the most in two weeks, after Tuesday’s rebound from a seven-day losing streak.

The increase in implied volatility came as some investors judged the recent selloff in the stock market to be excessive. The Nifty is 4.2 percent higher in 2015, supported by expectations that Finance Minister Arun Jaitley will announce growth-boosting measures in his federal budget, due on Feb. 28.

“Volatility is taking a breather as stocks are rallying with no immediate event triggers,” Suniil Pachisia, vice president at Pratibhuti Viniyog Ltd., said by phone. “We expect VIX to head higher as we head close to the federal budget announcements.”

The Nifty is valued at 16 times its 12-month earnings, compared with a multiple of 11.5 times for the MSCI Emerging Markets Index. Foreigners have sold $203 million of Indian shares this month, paring 2015 inflows to $2.7 billion, still the second-most among eight Asian markets tracked by Bloomberg.

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