互動式金融與風險量化計算器 · E-E-A-T 公式審計
ZH-HANT · 繁體中文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. 核心數學公式與定價恆等式
T_intraday = Minutes remaining ÷ (252 × 390)
Expected move (1σ) = Spot × σ_annual × √T_intraday
1σ range = Spot ± Expected move
2. 參數輸入指南與使用方法
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. 模型審慎假設與適用邊界限制
- 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. 常見問題與量化風控解答（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%).
如何在機構風控工作流中驗證「0DTE implied volatility expected move calculator」的計算結果？
VolSurface Desk 在本頁完整列出了該工具的閉式數學公式與計息基準假設。風控與合規團隊可將相同參數代入 Python/Pandas 或終端風控閘道進行獨立複核，並透過 VolSurface Desk 牌照核驗中心確認交易對手方的監管授權狀態。
免責聲明：本工具僅供金融工程研究與教育用途，不構成任何投資或交易建議。計算結果完全取決於您輸入的參數及上述模型假設，重要財務決策前請獨立核實。