Two estimates answer different questions
The ATM straddle is the combined call and put premium at one strike and expiration. Its cost reflects option prices, including volatility, skew, rates, dividends and market frictions. Scaling IV instead starts with an annualized volatility input and a model for how uncertainty grows with time.
| Method | Calculation | Interpretation |
|---|---|---|
| Raw straddle | C + P | Premium per share. Long-straddle expiry breakevens are K ± (C + P), before costs. |
| Straddle proxy | k × (C + P) | A convention around spot S. This calculator defaults to k = 0.85; the coefficient is editable. |
| IV scale | S × σ × √T | One-sigma dollar approximation, where σ is annualized IV as a decimal and T is a year fraction. |
Tastylive documents the 0.85 convention. That is not a mathematical conversion to one standard deviation. To see why, assume a zero-mean normal terminal price change X with dollar standard deviation v, no discounting, and strike equal to spot. A fair straddle pays |X|, whose expectation is v × √(2/π), about 0.798v. In that simplified model, recovering v would require about 1.253 times the straddle, not 0.85. This derivation illustrates the distinction; it is not a universal pricing rule.
Reproduce the $100 example
The default inputs are hypothetical: spot and strike $100, call $2.40, put $2.10, annual IV 20%, 30 calendar days, and a 100-share multiplier. The straddle costs $4.50 per share, or $450 for one matched pair. At 0.85, the proxy is ±$3.825, displayed as $96.18 to $103.83.
The IV scale is 100 × 0.20 × √(30/365) = $5.7338. The normal approximation gives $94.27 to $105.73. The long-straddle expiry breakevens are $95.50 and $104.50, before fees and slippage. They are centered on strike, whereas the proxy is centered on spot. A coefficient-adjusted range is not a breakeven calculation.
Using 21 remaining trading days with a consistently annualized 20% IV and a 252-day year gives $5.7735. Incorrectly retaining 30 days while changing only the denominator to 252 gives $6.9007. The numbers differ because the horizon changed. Calendar and trading time are conventions; weekend risk and exchange holidays do not vanish. The lookup does not infer a trading calendar or the provider's IV annualization.
Probability depends on the model
The normal distribution places about 68.27% of observations within one standard deviation of its mean. In normal mode, this calculator approximates price changes as normal with zero mean and uses S ± Sσ√T. At large volatility or long horizons it can produce a negative lower endpoint, which signals that the approximation is unsuitable for an equity.
Lognormal mode assumes ln(Sₜ/S) is normal with mean zero and standard deviation σ√T. Its interval is S × exp(−σ√T) to S × exp(+σ√T). With the example inputs, that is $94.43 to $105.90. Spot is the median of this model, not its expected future price. A risk-neutral geometric Brownian model would instead include log drift (r − q − σ²/2)T; this tool does not estimate rates, dividends or drift.
These probabilities describe the terminal price under assumptions, not the chance of avoiding a barrier throughout the period. Option-implied distributions are pricing distributions and need not equal real-world frequencies. Earnings jumps, skew and changing volatility can invalidate normal assumptions. Square-root-time scaling assumes variance accumulates proportionally to time; it is especially fragile when a single event dominates the expiry.
Check the inputs before comparing a TradingView band
- Match the underlying, expiration, strike and contract deliverable. A nearest call and a nearest put at different strikes form a strangle. This lookup requires a shared strike and accepts standard 100-share pairs only.
- Inspect the quote time and bid/ask spread. This page uses two-sided midpoints, including a valid zero bid, but a midpoint is not an executable fill. Quotes more than 24 hours old, missing timestamps, crossed markets and missing sides stop the lookup. That cutoff is a tool policy, not a guarantee of freshness.
- Check quote units. A $2.40 premium with a 100-share multiplier costs $240 for one call. Multiplying the premium by 100 must not multiply the underlying expected move by 100. Adjusted contracts with cash or mixed deliverables need separate analysis.
- Match anchor time, horizon and volatility source. This TradingView community indicator describes historical-volatility bands; it is not proof of an option-implied range. Reconcile its settings before interpreting a difference as a pricing signal.
The lookup searches strikes within 10% of spot for the selected date. It withholds an estimate when the response is paginated, rather than calling the first returned strike ATM. A missing pair, missing IV or unsupported contract is an explicit limitation. The manual comparison works without a data request and leaves the IV interval unavailable when IV is blank.
For 0DTE, a date alone is insufficient: AM or PM settlement, exchange timezone and the remaining fraction of a session matter. The automatic lookup excludes same-day and expired contracts. A manual fractional horizon is a scenario based on your verified settlement time, not an exchange-calendar calculation.
Sources and scope
Method and input references checked October 21, 2026: OIC on volatility and pricing inputs, OIC on 252 trading days, OIC on straddle payoff, and Massive snapshot fields and data access. Snapshot responses can be cached by Pineify for one hour, in addition to provider delays. Quote access depends on the data service. This educational calculator provides no investment recommendation, price guarantee or trade execution.