India's Stock Fear Gauge Jumps To Highest In Nine Years To 53%

The Indian stock market volatility surged to a nine-year high as the unwinding of the Japanese Yen carry trades crippled Dalal Street along with all of Asia stocks.

The markets' fear gauge, India VIX, rose as high as 53% during trade to 21.91, the highest intraday surge since Aug. 24, 2015.

India's benchmark indices plunged during the session with the NSE Nifty 50 declining 3.27%, or 806 points to 23,905. The S&P BSE Sensex was down 3.31% or 815 points to 78,321, as of 11:30 a.m.

During the session, Nifty 50 companies' market capitalisation loss widened to nearly Rs 6 lakh crore, while Nifty and Sensex recorded their biggest intraday decline since the election rout on June 4.

The local currency fell to another low of 83.835 against the US dollar.

On the global front, Japan’s equity benchmarks slid more than 20% from record highs reached last month, as investor confidence crumbled from the surge in the yen, tighter monetary policy and the deteriorating economic outlook in the US. 

The unwinding of carry trade in the Japanese yen in the wake of its appreciation against the US dollar disrupted global markets.

The Japanese yen rose as much as 2.94% intraday to 142.22 against the US dollar on Monday, hitting the highest level since Jan. 4. It was trading 2.12% lower at 143.42 a dollar on 10:44 a.m.

The Bank of Japan, in line with market expectations, hiked its benchmark interest rate to 0.25% from 0.0–0.1% last week. Expectations of further hike by the central bank has resulted in a sell-off of the yen-funded carry trade.