Calculator
0DTE implied volatility expected move calculator
Zero-days-to-expiry (0DTE) index and ETF options price intraday volatility over the remaining minutes of the trading session. This calculator converts annualised implied volatility into 1-standard-deviation (68.3%) and 2-standard-deviation (95.5%) intraday price ranges.
1σ intraday expected move (68.3%)
±60.29
±1.04% from spot
- 1σ range (lower – upper)
- 5739.71 – 5860.29
- 2σ range (95.5% confidence)
- 5679.43 – 5920.57
- Implied ATM straddle (~0.80 × 1σ)
- 48.10
| Minutes left | 1σ move | 1σ band (68%) | 2σ band (95%) |
|---|---|---|---|
| 390 min | ±60.29 | 5739.71 – 5860.29 | 5679.43 – 5920.57 |
| 300 min | ±52.87 | 5747.13 – 5852.87 | 5694.25 – 5905.75 |
| 240 min | ±47.29 | 5752.71 – 5847.29 | 5705.42 – 5894.58 |
| 180 min | ±40.96 | 5759.04 – 5840.96 | 5718.09 – 5881.91 |
| 120 min | ±33.44 | 5766.56 – 5833.44 | 5733.12 – 5866.88 |
| 60 min | ±23.65 | 5776.35 – 5823.65 | 5752.71 – 5847.29 |
| 30 min | ±16.72 | 5783.28 – 5816.72 | 5766.56 – 5833.44 |
| 15 min | ±11.82 | 5788.18 – 5811.82 | 5776.35 – 5823.65 |
Formula
T_intraday = Minutes remaining ÷ (252 × 390)
Expected move (1σ) = Spot × σ_annual × √T_intraday
1σ range = Spot ± Expected move
How to use it
Enter the underlying spot price, the ATM 0DTE implied volatility and the number of regular-session trading minutes remaining until the 4:00 PM close (390 minutes for a full US equity session).
Inspect the 1σ and 2σ upper and lower boundaries and the horizon sensitivity table across the trading day.
Assumptions and limits
- Scales annualised volatility over 252 trading days of 390 minutes each (98,280 trading minutes per year).
- Assumes log-normal intraday diffusion without jump risk around macro releases.
Common questions
Why use trading minutes instead of calendar hours for 0DTE?
Intraday variance accrues primarily while the cash market is open. Dividing by 252 × 390 trading minutes avoids understating the move during active market hours.
How does the 1σ expected move relate to the ATM straddle?
Under Black–Scholes, an at-the-money straddle costs approximately 0.798 × the 1σ expected move (√(2/π) ≈ 80%).
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.