Nifty Performance Before and After Budget
| Budget Date | Budget Day % Change | Budget Day Close | Day's Volatility | Previous Week Closing | Previous Week Returns % | Next Week Closing | Next Week Returns % |
| Feb 26, 2010 | 1.29% | 4,922 | 2.75% | 4,845 | 1.60% | 5,124 | 4.10% |
| Feb 28, 2011 | 0.56% | 5,333 | 3.17% | 5,519 | -3.36% | 5,521 | 3.52% |
| Mar 16, 2012 | -1.16% | 5,318 | 2.65% | 5,334 | -0.29% | 5,184 | -2.51% |
| Feb 28, 2013 | -1.79% | 5,693 | 3.14% | 5,852 | -2.72% | 5,946 | 4.44% |
| Feb 17, 2014 | 0.41% | 6,073 | 0.70% | 6,053 | 0.33% | 6,200 | 2.09% |
| Jul 10, 2014 | -0.23% | 7,568 | 3.37% | 7,715 | -1.91% | 7,664 | 1.27% |
| Feb 28, 2015 | 0.65% | 8,902 | 2.17% | 8,755 | 1.68% | 8,757 | -1.63% |
| Feb 29, 2016 | -0.61% | 6,987 | 3.94% | 7,235 | -3.42% | 7,485 | 7.13% |
| Feb 1, 2017 | 1.81% | 8,716 | 2.17% | 8,603 | 1.32% | 8,778 | 0.71% |
| Feb 1, 2018 | -0.10% | 11,017 | 2.19% | 11,070 | -0.48% | 10,455 | -5.10% |
| Feb 1, 2019 | 0.58% | 10,894 | 1.57% | 10,781 | 1.05% | 10,889 | -0.04% |
| Jul 5, 2019 | -1.14% | 11,811 | 1.56% | 11,789 | 0.19% | 11,588 | -1.89% |
| Feb 1, 2020 | -2.51% | 11,662 | 3.30% | 12,119 | -3.77% | 12,032 | 3.17% |
| Feb 1, 2021 | 4.74% | 14,281 | 4.94% | 14,239 | 0.30% | 15,109 | 5.80% |
| Feb 1, 2022 | 1.37% | 17,577 | 2.19% | 17,278 | 1.73% | 17,464 | -0.64% |
| 15 Budget Average | 0.26% | 2.65% | -0.52% | 1.36% |
Our Insights on Nifty
- Interpreting the Data: The above data help us to understand the pre and post budget movement in the markets. We have witnessed 15 Budgets (13 full and 2 interim) from 2010 to 2022. The average budget day returns in Nifty is 0.26%. Nifty's average returns one week before the budget is -0.52% and one week after the budget is 1.36%. The average trading range (difference from day's high to low) on the day of budget is 2.65% of past 15 years.
- Insights from Data: It’s obvious from the above data that on average Nifty normally trades lower ahead of the budget. The main reason behind that is fear and uncertainty ahead of the event. The moment Budget event is out the market quickly discounts it and starts trending higher. So if the budget is not favourable then prices discount it immediately and makes an intermediate low on the budget day. If there is positive surprise in Budget then too it trends higher.
- Actions to Take from Data: Looking from the above insights we believe that short term options traders must look for opportunities on the long side after the budget. If all their conditions are met then chances of making money on the long side after the Budget are high.
Bank Nifty Performance Before and After Budget
| Budget Date | Budget Day % Change | Budget Day Close | Day's Volatility | Previous Week Closing | Previous Week Returns % | Next Week Closing | Next Week Returns % |
| Feb 26, 2010 | 2.17% | 8,723 | 3.80% | 8,487 | 2.78% | 9,146 | 4.85% |
| Feb 28, 2011 | 0.00% | 10,435 | 3.67% | 11,050 | -5.56% | 10,932 | 4.75% |
| Mar 16, 2012 | -1.92% | 10,391 | 4.68% | 10,506 | -1.09% | 10,044 | -3.35% |
| Feb 28, 2013 | -3.71% | 11,487 | 5.62% | 12,056 | -4.71% | 12,197 | 6.18% |
| Feb 17, 2014 | 1.20% | 10,327 | 1.49% | 10,214 | 1.10% | 10,667 | 3.29% |
| Jul 10, 2014 | -0.73% | 14,822 | 5.12% | 15,452 | -4.08% | 15,389 | 3.83% |
| Feb 28, 2015 | 3.23% | 19,691 | 3.96% | 18,913 | 4.11% | 19,146 | -2.77% |
| Feb 29, 2016 | 1.12% | 13,946 | 6.08% | 14,385 | -3.05% | 15,147 | 8.61% |
| Feb 1, 2017 | 2.59% | 20,021 | 2.96% | 19,473 | 2.81% | 20,151 | 0.65% |
| Feb 1, 2018 | -0.58% | 27,221 | 2.10% | 27,446 | -0.82% | 25,464 | -6.45% |
| Feb 1, 2019 | -0.77% | 27,086 | 2.24% | 27,115 | -0.11% | 27,228 | 0.52% |
| Jul 5, 2019 | 0.01% | 31,476 | 1.08% | 31,105 | 1.19% | 30,446 | -3.27% |
| Feb 1, 2020 | -3.28% | 29,821 | 3.92% | 30,837 | -3.30% | 31,058 | 4.15% |
| Feb 1, 2021 | 8.26% | 33,089 | 7.76% | 31,198 | 6.06% | 36,057 | 8.97% |
| Feb 1, 2022 | 1.40% | 38,506 | 2.95% | 37,707 | 2.12% | 38,610 | 0.27% |
| 15 Budget Average | 0.60% | 3.83% | -0.17% | 2.02% |
Our Insights on Bank Nifty
- Interpreting the Data: The average budget day returns in Bank Nifty is 0.60%. Bank Nifty average returns one week before the budget is -0.17% and one week after the budget is 2.02%. The average trading range (difference from day's high to low) on the day of budget is 3.83% of past 15 budgets.
- Insights from Data: The average gains for the Bank Nifty are comparatively higher than the Nifty and the number of positive closing are also higher. Bank Nifty has closed on a positive note in 11 out of the last 15 budgets. This means that traders can look for long signals in Bank Nifty to take their bets.
- Actions to Take from Data: Looking from the above insights the volatility is extremely high in Bank Nifty compared to Nifty. Option traders must look for hedged long strategies like Bull Call Spread or Call Ratio Backspread to make the most if Bank Nifty moves up after the Budget. Traders must also keep adequate stoplosses if the movement is not favourable.
India VIX Performance Before and After Budget
| Budget Date | Budget Day % Change | Budget Day Close | Day's Volatility | Previous Week Closing | Previous Week Returns % | Next Week Closing | Next Week Returns % |
| Feb 26, 2010 | 1.29% | 4,922 | 2.75% | 4,845 | 1.60% | 5,124 | 4.10% |
| Feb 28, 2011 | 0.56% | 5,333 | 3.17% | 5,519 | -3.36% | 5,521 | 3.52% |
| Mar 16, 2012 | -1.16% | 5,318 | 2.65% | 5,334 | -0.29% | 5,184 | -2.51% |
| Feb 28, 2013 | -1.79% | 5,693 | 3.14% | 5,852 | -2.72% | 5,946 | 4.44% |
| Feb 17, 2014 | 0.41% | 6,073 | 0.70% | 6,053 | 0.33% | 6,200 | 2.09% |
| Jul 10, 2014 | -0.23% | 7,568 | 3.37% | 7,715 | -1.91% | 7,664 | 1.27% |
| Feb 28, 2015 | 0.65% | 8,902 | 2.17% | 8,755 | 1.68% | 8,757 | -1.63% |
| Feb 29, 2016 | -0.61% | 6,987 | 3.94% | 7,235 | -3.42% | 7,485 | 7.13% |
| Feb 1, 2017 | 1.81% | 8,716 | 2.17% | 8,603 | 1.32% | 8,778 | 0.71% |
| Feb 1, 2018 | -0.10% | 11,017 | 2.19% | 11,070 | -0.48% | 10,455 | -5.10% |
| Feb 1, 2019 | 0.58% | 10,894 | 1.57% | 10,781 | 1.05% | 10,889 | -0.04% |
| Jul 5, 2019 | -1.14% | 11,811 | 1.56% | 11,789 | 0.19% | 11,588 | -1.89% |
| Feb 1, 2020 | -2.51% | 11,662 | 3.30% | 12,119 | -3.77% | 12,032 | 3.17% |
| Feb 1, 2021 | 4.74% | 14,281 | 4.94% | 14,239 | 0.30% | 15,109 | 5.80% |
| Feb 1, 2022 | 1.37% | 17,577 | 2.19% | 17,278 | 1.73% | 17,464 | -0.64% |
| 15 Budget Average | 0.26% | 2.65% | -0.52% | 1.36% |
Our Insights on India VIX
- Interpreting the Data: This would come as a major shock for many. India VIX which measures the volatility of Nifty options has fallen on all 14 Budget sessions since 2011. The average change is -9.02%.
- Insights from Data: This means that chances of making money by holding long straddles or strangles ahead of the budget would result in to limited profits if the change in Nifty is not substantial.
- Actions to Take from Data: The volatility is on the higher side before the event and it drops lower as the budget unfolds. Option traders must look for adopting an intraday short straddle or short strangle strategy to take benefit of falling VIX. As volatility cools down, we may see a sharp fall in option prices.
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