How to read this chart
- Expected move per day (default): the straddle price as a % of the index, spread over the trading days left to expiry (divided by the square root of those days). It takes out the difference between a weekly and a monthly expiry, so a higher line means that index's options are pricing in bigger daily swings.
- Straddle % of price: the move the options expect by their own expiry. Easy to read, but an index with a far expiry naturally shows a bigger number.
- Change since open: how much each straddle has gained or lost since the first minute of the day. Falling lines mean premiums are decaying; a line that jumps means traders suddenly expect a bigger move in that index.
- Expiry days are marked in the table: on its last day a straddle falls towards zero, so its per-day number is less reliable.
Frequently asked questions
Why not compare the straddle prices directly?
Each index has a different price and expiry. Dividing by the index price and by the square root of the trading days left puts them on the same scale.
Which index usually has the biggest expected move?
Banking indices usually price in bigger daily swings than NIFTY or SENSEX; the chart shows whether that is true today.