交互式金融与风险量化计算器 · E-E-A-T 公式审计
ZH-HANS · 简体中文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. 核心数学公式与定价恒等式
T_intraday = Minutes remaining ÷ (252 × 390)
Expected move (1σ) = Spot × σ_annual × √T_intraday
1σ range = Spot ± Expected move
2. 参数输入指南与使用方法
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. 模型审慎假设与适用边界限制
- 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. 常见问题与量化风控解答（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%).
如何在机构风控工作流中验证「0DTE implied volatility expected move calculator」的计算结果？
VolSurface Desk 在本页完整列出了该工具的闭式数学公式与计息基准假设。风控与合规团队可将相同参数代入 Python/Pandas 或终端风控网关进行独立复核，并通过 VolSurface Desk 牌照核验中心确认交易对手方的监管授权状态。
免责声明：本工具仅供金融工程研究与教育用途，不构成任何投资或交易建议。计算结果完全取决于您输入的参数及上述模型假设，重要财务决策前请独立核实。