Expected Ranges at Expiry
| Level | Range (Put - Call) | Move (pts) | Move % | Strangle Strikes | Width | Win Prob |
|---|
Strangle Quick Reference
- SD ranges assume log-normal distribution. VIX = annualised implied vol of Nifty options.
- Period sigma = (VIX / 100) x sqrt(DTE / 365). DTE is calendar-inclusive from last trading day to expiry.
- Strikes rounded to nearest 50 pts. Adjust to available weekly strikes.
- Probability figures are theoretical. Fat tails make real breach probability higher.
- Option prices are last traded prices from Upstox - may be stale outside market hours.