Expected Move
How far Nifty and Bank Nifty options expect the index to move by each expiry, and how often that priced range has really held.
About the Expected Move
Option prices tell you how big a move the market is pricing by each expiry. This page reads the at-the-money straddle of Nifty and Bank Nifty from NSE's closing prices every evening and turns it into a range: about one standard deviation, two standard deviations and the straddle's own breakevens.
It then checks the past: for every Nifty and Bank Nifty expiry since July 2024, what the options priced about a week (or a month) before, and where the index actually closed. That shows how often the priced range really held, and how often the market moved further than expected.
A third check compares today's priced move with how much the index has actually moved over the same number of weeks since 2016. It is education on how option prices work, not a forecast of direction.
Common questions
How is the expected move calculated?
From the at-the-money straddle (call plus put at the strike nearest the index). One standard deviation is about the straddle price divided by 0.8. The same number can be written as index × implied volatility × √(days to expiry ÷ 365).
How often does Nifty stay inside the expected move?
In theory about 68% of the time for one standard deviation. The page shows the real hit rate for every past expiry since July 2024, so you can see how the priced range held in practice.
What is the most call OI and most put OI?
The strikes above and below the index with the largest open interest. Many traders watch them as levels, but open interest alone does not tell you who is long or short.