NIFTY options · implied move
Nifty Expected Move Today
The Nifty ATM straddle prices a move of ±329 points (±1.45%) by the 27 Oct 2026 expiry, an implied range of 22,482 to 23,141.
Data as of 21 Oct 2026 EOD, NSE F&O bhavcopy
- Expected move
- ±329
- ±1.45% of spot
- ATM IV
- 14.2%
- Annualised
- Range low
- 22,482
- Spot 22,811.35
- Range high
- 23,141
- 6 calendar days to expiry
Nifty positioning range
| Range | Low | High | Width |
|---|---|---|---|
| Straddle-implied | 22,482 | 23,141 | 659 |
| TradeLens range envelope | 22,763 | 23,037 | 275 |
| Put wall to call wall | 22,500 | 23,000 | 500 |
Nifty expected move by expiry
| Expiry | Expected move | Low | High |
|---|---|---|---|
| 27 Oct 2026 | ±329 | 22,482 | 23,141 |
| 3 Nov 2026 | ±494 | 22,317 | 23,305 |
| 9 Nov 2026 | ±609 | 22,202 | 23,420 |
| 17 Nov 2026 | ±724 | 22,087 | 23,535 |
How the expected move is calculated
The at-the-money straddle (buying the ATM call and the ATM put) pays off if Nifty moves far enough in either direction, so its price is the market's estimate of how far Nifty will travel by expiry. TradeLens uses the straddle's end-of-day settlement price as the expected move, and falls back to the IV formula below when settlement prices are missing.
The volatility view is spot × ATM IV × √(days to expiry ÷ 365), one standard deviation. The straddle comes to roughly 0.8 times that figure, so it is a slightly tighter band.
Combine it with dealer positioning: in a positive gamma regime realised moves often undershoot the implied move; in negative gamma they can overshoot. The Nifty max pain level shows where open interest may pull price into expiry.
More Nifty options data
- Nifty max pain · The strike where option writers lose the least at expiry.
- Nifty pcr · Put open interest divided by call open interest.
- Nifty gamma exposure · Dealer gamma in ₹ crore per 1% move, gamma flip and walls.
- All market data
Expected move for other symbols
Frequently asked questions
- What is the expected move?
- It is the move in Nifty that the options market is pricing in by expiry, read from the price of the at-the-money straddle (ATM call plus ATM put) at the end-of-day settlement.
- How often does the price stay inside the expected move?
- The straddle price is close to 0.8 standard deviations of the implied distribution, so if options were fairly priced expiry would land inside the range a little over half the time. Option premiums often carry a volatility risk premium, so the range has tended to hold somewhat more often, with sharp exceptions around events.
- What is ATM IV?
- ATM IV is the implied volatility of the at-the-money Nifty option, annualised. TradeLens calculates it from the option's price.
- How do traders use the expected move?
- Option sellers often place short strikes outside the expected range; buyers use it to judge whether a target is realistic before expiry. It frames size of move, not direction.
- Why does the expected move differ by expiry?
- Longer-dated expiries have more time for price to move, so their straddles are more expensive. Comparing the expected move across expiries also shows whether an event is priced into a particular week.
Positioning data, not investment advice. Trading in derivatives involves substantial risk of loss.