--- title: "Expected move: from the straddle and from IV, on NSE data" description: "Size the range an expiry is priced for from the Nifty straddle and from implied volatility, on a dated NSE chain, and see why it is not a forecast." source_url: "https://www.rupeecase.com/learn/path-15/module-15-7-expected-move" --- [Path 15 7 of 13](/learn/path-15/)Expected move from the straddle and from IV[Next 15.8](/learn/path-15/module-15-8-who-is-on-the-other-side) On Wednesday 10 Jun 2026 the Nifty 23,250 [straddle](/learn/glossary#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](/learn/glossary#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. 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 | Calls | Calls | Strike | Puts | Puts | | --- | --- | --- | --- | --- | | Settle | IV % | IV % | Settle | | 347.70 | 15.1 | 23,200 | 14.8 | 300.60 | | Spot 23,214.95 | Spot 23,214.95 | | 321.65 | 15.1 | 23,250ATM | 14.6 | 322.05 | | 294.60 | 14.9 | 23,300 | 14.6 | 347.65 | 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 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](/learn/path-14/module-14-3-option-buyer-vs-seller) 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](/learn/path-16/module-16-1-historical-vs-implied-volatility) 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 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](/learn/path-16/module-16-6-iv-crush-around-events) 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 Jun | 16 Jun | 30 Jun | | --- | --- | --- | | Days left | 6 | 20 | | Straddle, Rs | 346.05 | 643.70 | | One sd, straddle | 434 | 807 | | ATM IV | 14.6% | 15.0% | | One sd, IV | 435 | 817 | | Range low | 22,796 | 22,433 | | Range high | 23,663 | 24,047 | 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, 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 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 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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What does Expected move from the straddle and from IV cover?Two routes to one range, and what the range does not say. It works through The idea, plainly, Worked example: two expiries priced on 10 Jun 2026, The common mistake, Key takeaways. It is module 15.7 of Path 15, Option Chain and Data, about 9 minutes of reading, free. TTry it ## Expected move, on the same example. The one standard deviation range from the straddle and from IV. Dated NSE end of day data, nothing live, no orders. **Expected move**, Nifty, 10 Jun 2026, 30 Jun 2026 expiry. [Open the expected move](/learn/tools/expected-move?chain=NIFTY_2026-06-10_2026-06-30) AF&O on RupeeCase ## Hedging only, in development F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging) QQuick check ## 10 questions, 7 to pass. Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 15 certificate. 7 of 10 correct passes module 15.7 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 15 so far. Your quick check results on this device, stop by stop. Stop 7 of 13 on Path 15 Option Chain and Data: every live stop, this module ringed. Source: RupeeCase Learn, Path 15. 1. [15.1Reading the NSE option chain, column by columnNot yet](/learn/path-15/module-15-1-reading-the-nse-option-chain) 2. [15.2OI and change in OI on the chain: what they can and cannot tell youNot yet](/learn/path-15/module-15-2-open-interest-on-the-option-chain) 3. [15.3Put call ratio: definitions and what the evidence saysNot yet](/learn/path-15/module-15-3-put-call-ratio) 4. [15.4Max pain: the calculation and a Nifty testNot yet](/learn/path-15/module-15-4-max-pain) 5. [15.5Liquidity in the chain: spreads, volume and tradable strikesNot yet](/learn/path-15/module-15-5-option-chain-liquidity) 6. [15.6Participant wise OI and FII derivatives data, read honestlyNot yet](/learn/path-15/module-15-6-participant-wise-open-interest) 7. [15.7Expected move from the straddle and from IVNot yet](/learn/path-15/module-15-7-expected-move#quiz) 8. [15.8Who is on the other side in IndiaNot yet](/learn/path-15/module-15-8-who-is-on-the-other-side) 9. [15.9Gamma exposure: the computation and its assumptionsNot yet](/learn/path-15/module-15-9-gamma-exposure-gex) 10. [15.10Zero gamma, call wall and put wallNot yet](/learn/path-15/module-15-10-zero-gamma-and-walls) 11. [15.11Pinning and max OI strikes: the evidenceNot yet](/learn/path-15/module-15-11-pinning-and-max-oi-strikes) 12. [15.12Vanna and charm flows around expiries and eventsNot yet](/learn/path-15/module-15-12-vanna-and-charm-flows) 13. [15.13An Indian positioning model and its limitsNot yet](/learn/path-15/module-15-13-indian-positioning-model) 14. [TPath test, 30 questionsNot yet](/learn/path-15/module-15-13-indian-positioning-model#pathTestSection) Path 15 in reading time: 119 minutes over 13 modules Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 15. Explore next ## Put the module to work. * [Free module 16.3Solving for implied volatility9 min read](/learn/path-16/module-16-3-solving-for-implied-volatility) * [Free module 17.5Straddles and strangles, long and short8 min read](/learn/path-17/module-17-5-straddles-and-strangles) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 5 sources, NSE the most cited The publisher of each source listed below. Source: Module 15.7 source list. 1. [NSE, option chain (Nifty 50 index options)](https://www.nseindia.com/option-chain) NSE 2. [NSE, India VIX: what it measures and how it is computed](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE 3. [NSE, equity derivatives contract specifications (European exercise, cash settlement, lot sizes)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 4. [SEBI Investor, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI 5. Black, F., The pricing of commodity contracts, Journal of Financial Economics, 3(1-2), 1976 Paper GTerms ## 5 terms from this module. [Straddle](/learn/glossary#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. Expected moveThe size of move the options are priced for, in either direction. It is one standard deviation, or the straddle price, and a screen should say which. [Standard deviation](/learn/glossary#standard-deviation)The usual spread of outcomes around the centre. In the model about two thirds of outcomes fall within one. ForwardThe level at which the index is priced for one expiry. For a monthly expiry it is the future of that month. Implied volatilityThe yearly volatility that makes an option model return the price. Scale it by the square root of the fraction of a year to get a move. [All 230 terms in the glossary](/learn/glossary) [Question people askDoes the ATM straddle price tell me the expected move?A short answer with a dated chart](/learn/questions/atm-straddle-expected-move)[Question people askHow do I estimate the expected move from IV?A short answer with a dated chart](/learn/questions/expected-move-from-iv)[Related module16.1 Volatility: historical against implied7 min, Beginner](/learn/path-16/module-16-1-historical-vs-implied-volatility)[Related module16.2 India VIX for beginners: what it measures and what it does not8 min, Beginner](/learn/path-16/module-16-2-india-vix-explained)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives) Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.