Standard Deviation (Sigma)
The statistical measure of expected price travel — the backbone of sigma-anchored strike selection that converts implied volatility into a distance on the chart.
Standard deviation (sigma, σ) measures how far price is likely to travel over a given period. In options it is the backbone of high-probability strike selection because it converts implied volatility into a concrete distance on the chart.
The expected move is one standard deviation:
- ●Expected Move ≈ Spot × (VIX ÷ √252) × √days — or a quick shortcut of about 85% of the at-the-money straddle price for that expiration.
- ●The ±1σ band captures roughly 68% of outcomes; ±2σ captures roughly 95%.
The sigma distance of any strike is:
- ●Sigma = (Strike − Spot) ÷ (Spot × IV × √(DTE ÷ 252)).
Why anchor to sigma instead of delta: delta drifts as price and volatility change, but a sigma distance is a stable, apples-to-apples measure of how far a strike sits from spot. Typical calibrations are about 1.0–1.5σ for 0DTE verticals and about 0.7–1.0σ for 7-day Iron Condors.
How SPXXL helps: the Close Zone™ and Weekly Close Zone™ rails are the ±1σ and ±2σ bands drawn straight from at-the-money implied volatility, so your short strikes and protective wings align with real probability rather than a gut feel.
Related Terms
The options-implied price range SPX is expected to stay within by the close — derived from ATM implied volatility using the 1-standard-deviation (68%) probability envelope.
The implied volatility of at-the-money SPX options — reflects the market's real-time pricing of expected movement for the current session.
An option Greek measuring price sensitivity to a 1-point move in the underlying — and a fast approximation of the probability of finishing in the money.
The odds that SPX will trade through a given strike at any point before expiration — roughly double the probability of expiring beyond it, and the single most misunderstood risk number in 0DTE options trading.
A four-leg credit spread that profits when price stays within a defined range — ideal for Balanced Day and Volatility Compression sessions.
SPXXL's proprietary projected closing price range for SPX, computed using session classification, Gamma exposure, and intraday momentum.