インタラクティブ定量金融・リスク計算ツール · E-E-A-T 数式監査
JA · 日本語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)
- 5740.03 – 5860.60
- 2σ range (95.5% confidence)
- 5680.67 – 5921.83
- Implied ATM straddle (~0.80 × 1σ)
- 48.10
| Minutes left | 1σ move | 1σ band (68%) | 2σ band (95%) |
|---|---|---|---|
| 390 min | ±60.29 | 5740.03 – 5860.60 | 5680.67 – 5921.83 |
| 300 min | ±52.87 | 5747.37 – 5853.12 | 5695.21 – 5906.72 |
| 240 min | ±47.29 | 5752.90 – 5847.49 | 5706.18 – 5895.36 |
| 180 min | ±40.96 | 5759.19 – 5841.10 | 5718.66 – 5882.49 |
| 120 min | ±33.44 | 5766.66 – 5833.54 | 5733.50 – 5867.27 |
| 60 min | ±23.65 | 5776.40 – 5823.69 | 5752.90 – 5847.49 |
| 30 min | ±16.72 | 5783.30 – 5816.74 | 5766.66 – 5833.54 |
| 15 min | ±11.82 | 5788.19 – 5811.83 | 5776.40 – 5823.69 |
1. 基礎数式およびプライシング恒等式
T_intraday = Minutes remaining ÷ (252 × 390)
Expected move (1σ) = Spot × σ_annual × √T_intraday
1σ range = Spot ± Expected move
2. 入力パラメータと使用方法
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.
3. 前提条件およびモデルの限界
- 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.
4. よくある質問とリスク管理解説（FAQ）
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%).
「0DTE implied volatility expected move calculator」の計算結果を機関リスク管理フローでどのように検証できますか？
VolSurface Desk は本ページにすべての数式と日数基準を明記しています。リスク管理チームは同一の入力値をPython/Pandas等で独自に再現でき、さらに VolSurface Desk のライセンス検証センターで取引先法人の規制ステータスを確認できます。
免責事項：本ツールは教育および定量リサーチのみを目的としており、投資助言ではありません。計算結果は入力値と上記の前提条件に依存するため、重要な数値は独自に検証してください。