NIFTY, BANKNIFTY, SENSEX Expected Move
Live {Sym} expected-move bands (1σ and 2σ) for the current expiry — computed from ATM straddle IV.
What is expected move for ?
The expected move is the range within which is expected to trade over a specific period, computed from live option prices. The standard method: expected move ≈ spot × ATM IV × √(DTE/365). This gives the 1σ range — closes inside it ~68% of the time by construction. The 2σ range covers ~95%. The hero card shows current 1σ and 2σ upper/lower bounds for the nearest expiry.
How to use the bands
Iron condor placement: sell spreads at strikes OUTSIDE the 1σ band and buy protection at 2σ. This gives ~68% base probability the short strikes expire OTM. Directional target setting: if you're bullish, the 1σ upper is a reasonable first target; 2σ is a stretch target. Stop placement: 1σ lower on a long trade is the statistical stop; going below usually means the setup is invalidated. News trades: if implied 1σ move is 200 but the news catalyst historically causes 300+ moves, options are UNDERPRICED — go long straddle. Opposite = short straddle.
Why 1σ isn't a guaranteed range
1σ = 68% probability under a LOG-NORMAL price distribution assumption. Real returns have fatter tails than log-normal, so the ACTUAL breach rate is higher — usually 33-38% on daily data (vs the theoretical 32%). Don't treat the band as a hard wall; treat it as a statistical guideline. And expected move goes wider as DTE grows: on a 5-DTE weekly, 1σ might be ±250 points; on a monthly (DTE 25), it's ~±560. Match your timeframe.
Expected move vs gamma-flip vs max pain
Three related range indicators, each with different logic: Expected move = pure statistical range from IV. γ-flip = spot level where dealer hedging behaviour changes sign (dampens above, extends below). Max pain = level where the most option holders lose money. When all three converge on the same zone, that zone becomes the highest-conviction area for expiry-day settlement. Cross-check with the [ GEX](/gamma-exposure/) and [ Max Pain](/max-pain/) pages.
IV-crush after events
Expected move bands SHRINK dramatically after news events because IV collapses. A NIFTY 1σ of ±150 pre-RBI can crush to ±80 in the hour after — even if spot barely moved. This is why buying naked straddles right before events is often unprofitable — the IV crush eats gains even on a directionally-correct trade. Better: buy the straddle 3-5 days before, close before the event to capture the IV run-up.
Frequently Asked Questions
Is the expected move deterministic?
No — it's statistical. 1σ covers ~68% of expiry outcomes historically.
How is the 1σ move computed?
spot × ATM IV × √(DTE/365). We use the ATM straddle IV directly (not smile-adjusted) for cleanliness.
Should I trade the bands as support/resistance?
Not intraday. Bands are for expiry-cycle target setting and iron-condor strike placement — not scalping.
Why does the range widen further from expiry?
Because √DTE grows. A 30-DTE move range is ~2.5× a 5-DTE range.
What data source powers this?
Live NSE option chain via Kite Connect. Refreshed every 60 seconds.
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