--- title: "Does the ATM straddle price tell me the expected move?" description: "The price of the at the money straddle, a call and a put at the same strike added together." source_url: "https://www.rupeecase.com/learn/questions/atm-straddle-expected-move" --- The call and the put at the money settle close together, and their sum is the straddle | Calls | Strike | Puts | | --- | --- | --- | | OI | Settle | Settle | OI | | 2L | 405.90 | 23,100 | 258.10 | 5.2L | | 35,100 | 374.55 | 23,150 | 278.95 | 1.3L | | 8.2L | 347.70 | 23,200 | 300.60 | 17.7L | | Spot 23,214.95 | | 2.9L | 321.65 | 23,250ATM | 322.05 | 3L | | 11.2L | 294.60 | 23,300 | 347.65 | 14.7L | | 2.7L | 272.55 | 23,350 | 371.80 | 2.7L | | 10.6L | 248.10 | 23,400 | 398.75 | 11.3L | 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. NIFTY option chain on 10 Jun 2026 for the 30 Jun 2026 expiry, around the at the money strike. The straddle is the call and the put settle price at the same strike, added together. Open interest is in units. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. Take the NIFTY chain for the 30 Jun 2026 expiry as it stood on 10 Jun 2026. The at the money strike sits next to the future. Add its call settle price and its put settle price, and you have the straddle. Multiply by the lot size of 65 and you have the rupee cost of one lot of the pair. Why does that sum say anything about the move? A straddle pays the size of the move at expiry, up or down, so its price is the average payout the market is pricing. For a spread of outcomes close to normal, that average is about four fifths of the standard deviation of the move. Divide the straddle by four fifths and you get a quick, rough one standard deviation range. Two cautions. The shortcut assumes a normal spread, and index moves have fatter tails, so the range covers the typical move but not the rare large one. And the straddle is priced on the future, not the spot. For expiries before 7 Dec 2026, NSE settles index options to the index close on expiry day. The range is what the market charges for movement, not a promise about where that close lands. The chart shows the at the money pair on that chain. When the call and the put settle near each other, the future sits close to the strike, which is what an at the money pair should show. Check the volume on the strike before you trust a single settle price. **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) Does the ATM straddle price tell me the expected move?The price of the at the money straddle, a call and a put at the same strike added together, is a rough measure of the move the options market expects by expiry, and the usual shortcut reads it as about four fifths of one standard deviation of the move. It prices the size of a move, not its direction, and it is a measure of expectation, not a forecast. LGo deeper ## Where Learn teaches this. [Go deeperExpected move from the straddle and from IV9 min, Intermediate](/learn/path-15/module-15-7-expected-move)[Go deeperVolatility: historical against implied7 min, Beginner](/learn/path-16/module-16-1-historical-vs-implied-volatility)[Try itExpected moveThe one standard deviation range from the straddle and from IV.](/learn/tools/expected-move) SSources ## Go to the source. 3 sources, NSE the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [NSE, equity derivatives contract specifications: European exercise, cash settlement and lot sizes](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 2. [NSE, option chain (the live screen; the school uses dated end of day chains instead)](https://www.nseindia.com/option-chain) NSE 3. [SEBI, master circular on exchange traded derivatives (Dec 2024), chapter 5](https://www.sebi.gov.in/sebi_data/commondocs/dec-2024/RE_Chapter%205%20-%20Exchange%20Traded%20Derivatives%20FINAL_1_p.pdf) SEBI ?Questions people ask ## Related questions. 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