On Wednesday 10 Jun 2026 the Nifty 23,250 straddle of the 30 Jun expiry cost Rs 643.70: a call at 321.65 and a put at 322.05. Divide by 0.798 and the options market was pricing a move of about 807 points either way over 20 calendar days, 3.5% of the index. On the expiry the index finished inside that range. The same recipe on the weekly expiry of 16 Jun priced about 434 points, and the index finished 1.8 times that far from the forward. One range, two outcomes, and no contradiction. A range is a price for the size of a move, not a forecast of one. This lesson builds it two ways, from the straddle and from implied volatility, answers the two questions people ask about it, and checks it on every dated expiry in the files.

3By the end you can

  1. Work out one standard deviation from a straddle price and from an implied volatility.
  2. Say why the two routes differ slightly and which one a screen is showing.
  3. Explain why a range is a price for the size of a move and not a forecast of it.
The RupeeCase terminal on sample data: The Return figures card: what do year to date and best week say?
Watch in the terminal: what do year to date and best week say? A short tutorial on sample data.

The idea, plainly

Does the at the money straddle tell me the expected move?

It tells you the size, not the direction. A straddle pays the size of the move at expiry, up or down, so its price is what the market charges for the average size of that move. For a bell shaped spread of outcomes the average size is a fixed fraction of one standard deviation, about 0.8. Turn it around and one standard deviation is the straddle divided by 0.798.

One sd =
straddle / 0.798

The straddle is the call and the put at the strike nearest the future

Show all columnsShow fewer columns
Option chain for Nifty, 30 Jun 2026 expiry: 3 strikes around the at the money strike 23,250.
CallsCallsStrikePutsPuts
SettleIV %IV %Settle
347.7015.123,20014.8300.60
Spot 23,214.95Spot 23,214.95
321.6515.123,250ATM14.6322.05
294.6014.923,30014.6347.65

Shaded cells are in the money. Outlined cells hold the most open interest among the strikes shown. OI is in units and volume is in contracts; L is lakh and Cr is crore.

Settle prices and implied volatilities around the at the money row for the 30 Jun 2026 expiry on 10 Jun 2026. Add the call and put prices in the tagged row to get the straddle. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The straddle makes money only past its break evens, one straddle price from the strike

Payoff at expiry of the at the money straddle: it makes money outside the two break evens, one straddle price either side of the strikePayoff of the position at expiry. Breakevens at 22,606 and 23,894. Maximum profit in the range ₹49,439, maximum loss ₹41,841; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole position−₹50,000−₹25,000₹0₹25,000₹50,00022,00023,00024,000Nifty at expirySpot 23,215BE 22,606BE 23,894Max loss ₹41,841No cap
One lot of the 23,250 straddle bought on 10 Jun 2026 for the 30 Jun expiry. The break evens are the strike less and plus the straddle price, 22,606 and 23,894, a little inside the one standard deviation range. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read one more paragraph, 174 words

Which strike is at the money? The one nearest the forward, the level the options are priced off. For the 30 Jun monthly the forward is the June future, 23,240.10. The 16 Jun weekly has no future of its own, so its forward is read off a call and a put at one strike: strike plus call less put, 23,229.26 that day. The straddle sits at the strike nearest the forward: the 23,250 strike for the 30 Jun expiry. The call and put there add up to Rs 643.70, and one standard deviation is 807 points, about 1.25 times the straddle. One lot is 65 units, so the buyer of that straddle pays Rs 41,841 up front and can lose no more than that, as module F13 shows for a bought option. Mind the word expected. Some screens print the straddle itself as the expected move. That is the average move, about four fifths of one standard deviation. Check which of the two a screen means before you compare it with anything.

How do I estimate the expected move from IV?

Implied volatility is a yearly figure, so scale it to the days left. The implied against historical volatility module says what the figure measures. One standard deviation in index points is the level times the volatility times the square root of the fraction of a year.

One sd = level x IV x
sqrt(days / 365)

Two routes to the same range: one from a price, one from a volatility

The at the money straddle divided by 0.798, or level times implied volatility times the square root of time over a year, each gives one standard deviation in index pointsDiagram with 6 boxes. Straddle price to Divide by 0.798; Implied volatility to Scale to the days; Divide by 0.798 to One standard deviation; Scale to the days to One standard deviation; One standard deviation to Range.Straddle priceCall plus put at thestrike nearest theforwardImplied volatilityAt the money, ayearly figureDivide by 0.798The straddle is theaverage moveScale to the daysLevel x IV x root ofdays over a yearOne standard deviationIn index points, eitherdirectionRangeForward plus and minus thatmove
The straddle and the implied volatility are the same model priced two ways, so they should land near each other. Source: RupeeCase layout of the Black 76 relations; NSE end of day option files. As of 10 Jun 2026.
Read 3 more paragraphs, 309 words

Days are calendar days, weekends included, which is how time to expiry is counted here. At the money volatility for the 30 Jun expiry was 15.0%, so 20 days give 817 points. The straddle gave 807. The two differ by 10 points, 1.2%. They are one model priced two ways, so on a calm day they land close. The straddle is a price at one strike, carries that strike's skew and a small discount for paying today and being paid later. The volatility is one figure read at the forward. A big gap between them tells you to look at the quotes behind the straddle. If a known event falls inside the window, such as a Budget, the at the money volatility of that expiry already carries it, so the range is wider than for a quiet window of the same length. The module on IV crush looks at how that price changes once the event has passed.

Two things follow from the formula. Time enters as a square root, so four times the days give only twice the move: the 30 Jun range, with 20 days, is 1.9 times the weekly one of 6 days, though it has 3.3 times the days. And the volatility must be the one for the expiry you are sizing, read at the money. India VIX is a 30 day figure blended from two expiries, so it suits a 30 day window better than a six day one.

The range is the forward plus and minus one standard deviation: 22,433 to 24,047 for the 30 Jun expiry, centred on the forward of 23,240.10. In the model the index ends inside it about two thirds of the time, and inside two standard deviations about nineteen times in twenty. It says nothing about direction, and the model has no fat tails.

Worked example: two expiries priced on 10 Jun 2026

Both ranges use the same date and the same recipe. The table sets them side by side, with the straddle at the strike nearest the forward in each. Columns are the expiry dates, sd is one standard deviation in index points, and ATM IV is the at the money implied volatility.

Priced 10 Jun16 Jun30 Jun
Days left620
Straddle, Rs346.05643.70
One sd, straddle434807
ATM IV14.6%15.0%
One sd, IV435817
Range low22,79622,433
Range high23,66324,047

The index closed above the upper line on several days and still settled inside the range

Nifty daily close from 10 Jun to 30 Jun 2026 against a straddle based range of one standard deviation around the forward: several closes above the upper line, and the expiry close inside the rangeNifty 50: from 23,215 at 10 Jun 2026 to 23,866 at 30 Jun 2026, high 24,168 at 18 Jun 2026, low 23,162 at 11 Jun 2026.22,50023,00023,50024,00010 Jun15 Jun20 Jun25 JunForward plus one sdForward less one sd23,866
Nifty daily close from 10 Jun to 30 Jun 2026, with the one standard deviation range from the straddle around the forward of 10 Jun, drawn at 22433 and 24047. The range is about the settlement on expiry, not the path. Source: NSE end of day data, computed by RupeeCase. As of 30 Jun 2026.

More windows ended beyond two standard deviations than a normal curve expects

Of the dated windows in the files, most settled inside one straddle based standard deviation of the forward, and more settled beyond two than a normal curve expectsInside one, windows 10; Inside one, curve 11; One to two, windows 3; One to two, curve 4; Beyond two, windows 3; Beyond two, curve 1.Number of dated windows, by distance from the forwardInside one,windows10Inside one, curve10.9One to two,windows3One to two, curve4.3Beyond two,windows3Beyond two, curve0.7
Every dated Nifty chain in the files with a settlement and at least two days to expiry, counted by where the index settled against the range around the forward from the straddle. The windows overlap and come from few start dates, so this shows a method, not a verdict. The curve bars are what a normal distribution expects for the same count. Source: NSE option and index end of day files, computed by RupeeCase. As of 28 Jul 2026.
Read 4 more paragraphs, 294 words

Now the outcomes. The weekly expiry settled at 23,989.15, which is 760 points above its forward of 23,229.26, 1.8 times one standard deviation. That is outside the range. The monthly expiry settled inside its range, though several closes in between went past the upper line. A single outcome cannot tell you whether the range was right, in either direction. A fair price for a spread of outcomes can sit beside any one of them.

To check a range yourself, take four steps. Record the straddle and the forward on the example date. Divide to get one standard deviation. Wait for the expiry and note the distance from the forward to the settlement. Divide that distance by one standard deviation. A result under one means the settlement landed inside. One date tells you little, and a hundred dates tell you a lot more.

So test it on many dates. The files hold Nifty chains from several start dates and expiries. For every one with a settlement and at least two days to run, the next chart counts where the index settled against the straddle based range around the forward.

Most windows ended inside one standard deviation, in line with the model. A few ended beyond two, more than a normal curve expects. Those three come from two episodes, the Budget week of Feb 2026 and the 30 Mar 2026 expiry priced in early February, and the windows overlap, so the sample is thin. The use of the check is the method: price the range, wait for the expiry, count. A tool on this page does the same count for every dated expiry. It supports a range as a description of what the options charge for. It does not support it as a ceiling.

The common mistake

The claim: The expected move says where Nifty will finish, so it will stay inside the range. The range is the size of move the options are priced for, in either direction, and about one outcome in three falls outside one standard deviation even in the model. The weekly expiry above finished outside its range, and the dated windows show settlements beyond two standard deviations that a normal curve would call rare. The range is for sizing a risk, not for fencing one in.

Key takeaways

  • The straddle prices the average move. A fixed divisor turns it into one standard deviation.
  • From IV: level times IV times the square root of the fraction of a year.
  • Centre the range on the forward, the level the options are priced off.
  • One outcome cannot show a range was right or wrong.
  • The range holds about two thirds of outcomes in the model, not all.
  • It sizes a risk. It is not a fence and not a forecast.

3 terms this section turns on

3 terms this section turns on3 terms this section turns on. Straddle: A call and a put at the same strike and expiry. Its price is what the market charges for the average size of the move. Standard deviation: The usual spread of outcomes around the centre. In the model about two thirds of outcomes fall within one. Forward: The level at which the index is priced for one expiry. For a monthly expiry it is the future of that month.StraddleA call and a put at the same strike andexpiry. Its price is what the market chargesfor the average size of the move.Standard deviationThe usual spread of outcomes around thecentre. In the model about two thirds ofoutcomes fall within one.ForwardThe level at which the index is priced for oneexpiry. For a monthly expiry it is the futureof that month.
From the module glossary; every term is in the Learn glossary too. Source: Module 15.7, Expected move from the straddle and from IV.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study