Expected move: one standard deviation from the straddle and from implied volatility.
The options market prices a range for the index at expiry. This tool sizes it two ways on a dated NSE example, from the at the money straddle and from the implied volatility, shows both side by side, and checks the straddle range against what the index did.
32 dated chains
Straddle and IV
No orders, no login
One sd, from the straddle±807 pts3.5% of 23,240
One sd, from the volatility±818 pts3.5% of 23,240
Range, straddle22,433 to 24,047one sd either side
Range, volatility22,422 to 24,058one sd either side
Nifty, 20 days to the 30 Jun 2026 expiry. The straddle costs Rs 643.70, the average size of the move the market is paying for, and one standard deviation is that divided by 0.798, 807 points. The volatility of 15.03 vol points gives 818 points directly. The two differ by 11 points (the volatility is wider). The straddle implies 14.83 vol points.
Method
One sd
One sd range
Two sd range
Model chance inside one sd
Straddleprice divided by 0.798
807 pts
22,433 to 24,047
21,627 to 24,854
68.3%
Implied volatilitylevel times IV times the square root of time
818 pts
22,422 to 24,058
21,605 to 24,875
68.3%
On the example the index settled at 23,865.75 on 30 Jun 2026, 626 points above the forward: inside the straddle range and inside the volatility range. One expiry shows how the arithmetic reads, nothing more.
Model, not market data
Two ways to size one standard deviation, 807 and 818 points
The curve is a lognormal model at 15.03 vol points. The lines mark where each method puts one standard deviation below and above 23,240. Inputs: forward 23,240.10, 20 days, implied volatility 15.03 vol points, straddle Rs 643.70.Source: RupeeCase model, lognormal. As of 10 Jun 2026.
Every dated example: did the index end inside the straddle range?
Inside the one standard deviation range on 12 of 20 expiries. A range of one standard deviation holds about two thirds of outcomes in the model. These windows overlap (one expiry appears from several dates) and 20 is a small count, so this shows how to check the idea, not whether it holds.
Expiry
One sd
Move
Result
Nifty Bank, 30 Jun 2026chain 16 Jun 2026, 14 days
1,705
+221
Inside
Nifty Bank, 30 Jun 2026chain 10 Jun 2026, 20 days
2,407
+2,343
Inside
Nifty Bank, 24 Feb 2026chain 2 Feb 2026, 22 days
2,030
+2,205
Outside
Nifty Bank, 24 Feb 2026chain 1 Feb 2026, 23 days
2,243
+2,346
Outside
Nifty, 7 Jul 2026chain 29 Jun 2026, 8 days
459
+413
Inside
Nifty, 28 Jul 2026chain 29 Jun 2026, 29 days
874
−52
Inside
Nifty, 23 Jun 2026chain 16 Jun 2026, 7 days
408
−159
Inside
Nifty, 30 Jun 2026chain 16 Jun 2026, 14 days
568
−135
Inside
Nifty, 28 Jul 2026chain 16 Jun 2026, 42 days
1,024
−103
Inside
Nifty, 16 Jun 2026chain 10 Jun 2026, 6 days
434
+760
Outside
Nifty, 30 Jun 2026chain 10 Jun 2026, 20 days
807
+626
Inside
Nifty, 28 Jul 2026chain 10 Jun 2026, 48 days
1,237
+640
Inside
Nifty, 10 Feb 2026chain 2 Feb 2026, 8 days
528
+846
Outside
Nifty, 24 Feb 2026chain 2 Feb 2026, 22 days
804
+283
Inside
Nifty, 30 Mar 2026chain 2 Feb 2026, 56 days
1,197
−2,966
Outside
Nifty, 3 Feb 2026chain 1 Feb 2026, 2 days
387
+915
Outside
Nifty, 10 Feb 2026chain 1 Feb 2026, 9 days
641
+1,116
Outside
Nifty, 24 Feb 2026chain 1 Feb 2026, 23 days
953
+571
Inside
Nifty, 30 Mar 2026chain 1 Feb 2026, 57 days
1,229
−2,698
Outside
Nifty, 31 Jul 2025chain 11 Jun 2025, 50 days
1,246
−574
Inside
The straddle is about 0.798 of one standard deviation at the money, so the straddle is the market's price for the average size of the move and the volatility is the same idea in annual terms. Both ignore skew, the direction of the move and the days the market is shut; weekends and holidays are counted as calendar days here. A range is a description of what the prices imply, not a prediction.
Prices and settlements come from NSE end of day files, dated on the page. Not live, not a forecast of the index, and this page cannot trade.
How to read it
From the straddle
An at the money call and put together cost about 0.8 of one standard deviation of the move, because the straddle prices the average size of the move. Dividing the straddle by 0.798 gives one standard deviation in index points.
From the volatility
Implied volatility is a yearly figure. Level times volatility times the square root of the days over 365 gives the same one standard deviation, with no option price needed beyond the volatility itself.
Why the two differ
The straddle is a price at one strike, and carries the skew of that strike and a small discount. The volatility box starts at the chain's volatility at the forward. They agree to within a few points of the index on a calm day.
Read the range as a description
A range of one standard deviation holds about two thirds of outcomes in the model; the density chart shows the shape. The last section tests the straddle range on every dated expiry in the file. The expected move module gives the method, and the implied volatility question page the short version.
What it leaves out
The range is what the prices imply, in a lognormal model with one volatility; it is not a prediction of where the index will end and it says nothing about direction. Weekends and holidays count as calendar days, as the engine's time to expiry does. The expiries in the evidence table overlap, so they are far fewer than independent trials, and a count that small cannot separate a good range from a lucky one.
For a normal move, the average size of the move is the square root of two over pi, about 0.798, times one standard deviation. The straddle prices the average size, so dividing by 0.798 recovers one standard deviation.
Does the index stay inside the range two thirds of the time?
In the model it does. The evidence section counts the dated expiries in the file and shows how many ended inside; the count is small and the windows overlap, so it shows how to check the claim rather than settling it.
Is the expected move a forecast?
No. It is the size of move the options are priced for, in either direction. The page gives no view on where an index goes.
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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.
