Volatility · Lesson 05 of 5 · Lab
The market-implied move
The at-the-money straddle price is what the chain charges for a move in either direction, so it reads directly as a distance. On 22 September 2026 the NIFTY 23,450 straddle cost ₹99.35 against a spot of 23,460 — a market-implied move of about 0.42% for the session, and the index moved 131 points.
NIFTY weekly expiry, 22 September 2026 · MarketCue one-minute option-chain capture
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Prices captured at the open on Tuesday, 22 September 2026. NIFTY spot at the open: 23,460. The highlighted row is nearest the money.
NIFTY closed at 23,329, down 131 points from the open. Bought 23,450 CE at ₹64.50 → settled ₹0.05. Bought 23,450 PE at ₹34.85 → settled ₹121.15. Net gain of ₹21.85 per unit, or +22% of what was put up. This was the expiry, so those closing prices are settlement values.
Why the straddle is the estimate
A straddle pays the distance between the close and the strike, whichever way it goes. Its price is therefore what the market charges for that distance, and its breakevens sit exactly one implied move either side.
On 22 September the 23,450 call cost ₹64.50 and the put ₹34.85, ₹99.35 together, against a spot of 23,460. As a percentage of the index that is about 0.42% for the remaining session.
This is the same information implied volatility carries, expressed in points rather than as an annualised percentage. For a single expiry the points are usually the more useful form: they can be compared directly against the levels on the chart.
Against what happened
The index closed at 23,329, which is 121 points from the strike and 131 from the open. Against a ₹99.35 implied distance, the realised move was larger — which is why the long straddle returned ₹21.85 rather than losing.
That is one session. The relationship between what the straddle charges and what the index then does is exactly the kind of claim that needs many expiries before it means anything, and it is the subject of a Verdict lesson rather than this one.
MarketCue writes this figure as the market-implied move rather than the expected move throughout, on this page and on the live pages. The straddle price is what the chain charged; calling it an expectation attributes a forecast to it that it does not carry.
Common questions
How do you calculate the implied move from options?
Add the at-the-money call and put premiums for the expiry. That sum is the move in points the chain is pricing in either direction; divide by the index level for a percentage.
Is the implied move a prediction?
No. It is the price of a structure that pays the distance travelled. It reflects what buyers and sellers agreed to transact at, which includes a view on movement but is not a forecast in itself.
Written and maintained by MarketCue research · Updated 9:30 AM IST · 23 October 2026
How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
Where our own data cannot support a claim, the page says so instead of generalising. MarketCue is not a registered investment adviser, research analyst or broker under SEBI regulations.