Below every live straddle chart, Straddle insights turns the straddle price into two plain answers: how far the market is expected to move, and whether today's straddle is behaving like a normal day.
Expected move by expiry
The at-the-money straddle (call + put at the strike nearest the price) costs roughly what the options market expects the price to move, up or down, by expiry. The card shows it three ways:
- ±points: the straddle price itself, for example ±336.50.
- ±%: the same as a share of the price, so different indices and stocks can be compared.
- The range: price minus and plus that move, for example 78,593 – 79,266. The market is pricing in a close somewhere inside it by expiry.
It is an estimate, not a promise. Prices often finish inside the range, because option sellers usually charge a little more than the move that follows, but big news can push the price well outside it. On expiry day the range is narrow because only a few hours are left.
For NIFTY the card also shows IV rank (India VIX against its last year: high means premiums are expensive) and how often NIFTY actually stayed inside the move VIX priced in over the same number of days in the last five years.
Today against a typical day
A straddle usually loses value through the day as time passes. This chart shows whether today is losing value faster or slower than usual:
- Blue line (Today): today's straddle, as a % change from its first reading.
- Dashed line (Average): the average path of past days, minute by minute.
- Shaded band (Usual range): where most past days were at that time (the middle 80%).
A blue line above the dashed line means premiums are holding up better than usual: traders are paying for a bigger move, often before news. A line below it means premiums are melting faster than usual, which is good for option sellers. A line outside the shaded band is unusual for that time of day.
An expiry day is compared only with past expiry days, because a straddle shrinks to almost nothing on expiry. Until at least three past days of the same kind have been recorded, the card says so instead of drawing the chart.