• Rishabh Kumar
• Dr. Rajeev Shukla

This study investigates the behavior of Indian equity index derivatives during the COVID-19 crisis, focusing on Nifty and Bank Nifty futures, India VIX, and associated trading variables. Using data from January to June 2020, the study analyzes futures–spot basis dislocations, structural shifts in volatility (VIX), and fluctuations in volume and open interest. Descriptive and econometric techniques, including correlation analysis and the Johansen cointegration test, are employed. The results reveal a significant inverse relationship between India VIX and basis, consistent with panic-driven pricing inefficiencies observed in prior studies (Agarwalla et al., 2021; Arteaga-Garavito et al., 2020). Evidence of cointegration between Basis_Nifty and Volume_Nifty confirms a long-term structural link, echoing global findings on crisis-period market adjustments (Chen et al., 2023). The findings highlight that the Indian futures market, while reactive to pandemic-driven fear, displayed signs of behavioral consistency and structural resilience.

COVID-19, India VIX, Open Interest, Trading Volume, Market Volatility, Structural Breaks, Cointegration, Investor Sentiment, Behavioral Finance, Derivatives Market.

"Behavioral and Structural Shifts in Indian Equity Derivatives During the COVID-19 Crisis: A Futures-Based Case Study", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.12, Issue 5, page no.c342-c360, May-2025, Available :http://www.jetir.org/papers/JETIR2505243.pdf

"Behavioral and Structural Shifts in Indian Equity Derivatives During the COVID-19 Crisis: A Futures-Based Case Study", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.12, Issue 5, page no. ppc342-c360, May-2025, Available at : http://www.jetir.org/papers/JETIR2505243.pdf