Calculator
Contract intraday 1σ / 2σ volatility band calculator
Contract risk engines and central limit order book (CLOB) circuit breakers scale annualised implied volatility down to the exact number of active trading minutes remaining in a session. Use this tool to compute 1σ (68.3%) and 2σ (95.5%) intraday price boundaries.
1σ intraday expected move (68.3%)
±60.29
±1.04% from spot
- 1σ range (lower – upper)
- 5739.71 – 5860.29
- 2σ range (95.5% confidence)
- 5679.43 – 5920.57
- Implied ATM straddle (~0.80 × 1σ)
- 48.10
| Minutes left | 1σ move | 1σ band (68%) | 2σ band (95%) |
|---|---|---|---|
| 390 min | ±60.29 | 5739.71 – 5860.29 | 5679.43 – 5920.57 |
| 300 min | ±52.87 | 5747.13 – 5852.87 | 5694.25 – 5905.75 |
| 240 min | ±47.29 | 5752.71 – 5847.29 | 5705.42 – 5894.58 |
| 180 min | ±40.96 | 5759.04 – 5840.96 | 5718.09 – 5881.91 |
| 120 min | ±33.44 | 5766.56 – 5833.44 | 5733.12 – 5866.88 |
| 60 min | ±23.65 | 5776.35 – 5823.65 | 5752.71 – 5847.29 |
| 30 min | ±16.72 | 5783.28 – 5816.72 | 5766.56 – 5833.44 |
| 15 min | ±11.82 | 5788.18 – 5811.82 | 5776.35 – 5823.65 |
Formula
T_session = Remaining_Minutes ÷ (252 × 390)
1σ Band = Spot ± (Spot × IV_annual × √T_session)
How to use it
Enter the contract reference price, at-the-money implied volatility, and active session minutes remaining.
Inspect the 1σ and 2σ upper/lower price bands and straddle breakeven levels.
Assumptions and limits
- Normalises annual trading time to 252 sessions × 390 cash-session minutes (98,280 minutes/year).
Common questions
How do exchanges use intraday sigma bands for price limits?
Derivatives exchanges calibrate dynamic price bands and velocity logic triggers as multiples of short-horizon implied volatility to reject fat-finger orders without halting orderly price discovery.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.