India's benchmark gauge of equity-option prices climbed for an eighth day, its longest rising streak in a year, as stocks fell amid concern that quarterly earnings will decline.
The VIX Index, a measure of protection against stock swings using options, jumped 7.5 per cent to 18.50 at the close in Mumbai, its highest level since February 27. The CNX Nifty index fell 0.4 per cent, while the S&P BSE Sensex dropped 0.6 per cent.
Sensex company profits for the January to March period will probably drop for a second straight quarter, estimates compiled by Bloomberg show. UBS AG cut its December target for Nifty by four per cent on Monday, citing a slowdown in profit growth.
"The Nifty is shifting to a lower band each passing day," Mahesh Varma, an assistant vice president at Kim Eng Securities, said in a phone interview from Mumbai. "We expect volatility to rise as more companies report earnings."
Global investors sold $29.6 million of index options on Wednesday, halting five days of purchases, according to data compiled by Bloomberg. The Nifty has risen 1.4 per cent this year and trades a 15.5 times its 12-month projected earnings, compared with the MSCI Emerging Market Index's multiple of 12.6.
