What is an ATM straddle?
An ATM straddle is the combined position of the at-the-money call and put, same strike and expiry, added together. Its combined premium is the options market's own estimate of how much the underlying could move before expiry — a rising premium prices in more movement, a falling one usually reflects time decay, falling implied volatility, or both.
How is the expected move calculated from the straddle?
Expected move is estimated as roughly 0.85 times the ATM straddle premium, a standard statistical convention that converts the straddle's cost into an approximate one-standard-deviation range around spot. It is a probability-weighted estimate drawn from live pricing, not a target level and not a guarantee the underlying stays inside it.
What is the difference between expected move and breakeven?
Expected move is the statistical ~0.85x-premium convention described above. Breakeven is the wider, exact range a bought straddle needs to clear to turn a profit — the ATM strike plus or minus the full premium paid, ignoring costs. The two describe different things from the same premium and are shown separately for that reason.
What is implied volatility?
Implied volatility is the annualised movement the option market is currently pricing into a contract, derived by working the Black-Scholes formula backwards from the traded premium. It is an expectation, not a measurement of past movement. When implied volatility rises, premium expands for the same spot price; when it falls, premium contracts.
Why does option premium fall even when the direction is correct?
Premium has three moving parts, and direction is only one of them. If implied volatility drops or enough time passes, the loss from vega and theta can be larger than the gain from delta. This is common right after an event, when implied volatility collapses, and on the final session before expiry, when time value drains fastest.
Is the data on Sahi live or delayed?
Quotes stream live from the exchange feed during market hours through a WebSocket connection, so open interest, premium and Greeks update continuously rather than on a fixed refresh. If the live feed goes quiet the terminal falls back to periodic snapshot polling automatically. Outside market hours the last completed session is shown.
