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. Fórmula Matemática e Identidade de Precificação

T_intraday = Minutes remaining ÷ (252 × 390)

Expected move (1σ) = Spot × σ_annual × √T_intraday

1σ range = Spot ± Expected move

2. Como Utilizar e Parâmetros de Entrada

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. Premissas Prudenciais e Limitações do Modelo

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. Perguntas Frequentes e Notas de Risco (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%).

Como as equipes de risco podem auditar os resultados da «0DTE implied volatility expected move calculator»?

A VolSurface Desk publica a equação exata e as convenções de cálculo nesta página. Analistas podem reproduzir os cálculos em Python/Pandas e verificar a licença da contraparte na central de verificação da VolSurface Desk.

Aviso legal: Apenas para fins educacionais e de pesquisa quantitativa, não constituindo recomendação de investimento. Verifique números importantes de forma independente.