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Options IV Sigma Levels Lite [Strikeline]
How far can price travel today, this week or this month — and where is it stretched?
- The question it answers
- How far can price travel today, this week or this month — and where is it stretched?
- What it draws
- Standard-deviation levels (±0.5σ, ±1σ, ±2σ, optional ±1.5σ, ±2.5σ, ±3σ) anchored to the previous period’s close and sized by implied volatility, plus a dashboard showing how much of the expected range is already used.
- Data
- VIX1D / VIX for SPX-SPY, VXN for NDX-QQQ, RVX for RUT-IWM; historical volatility for single stocks. Nothing to buy.
- Plan
- Free
- Version
- v0.3
How it works
The options market prices how far a stock is expected to move. That price lives in implied volatility. This indicator turns it into a map on your chart: where a move is normal, and where it is stretched.
Levels are fixed at the start of each period from the previous close, so they never move or repaint during the session.
The math
σ = previous close × IV × √(days ÷ 252)
Days = 1 for daily, 5 for weekly, 21 for monthly. IV is the previous day’s close of the volatility source.
How to read the levels
| Level | Meaning | Stays inside* |
|---|---|---|
| ±0.5σ | First reaction zone — the nearest support / resistance | ≈38% |
| ±1σ | The normal range. Beyond it the move is above average | ≈68% |
| ±1.5σ | Strong day — stretched territory | ≈87% |
| ±2σ | Rare move. Price is extended | ≈95% |
| ±3σ | Extreme (off by default) | ≈99.7% |
*Theoretical, assuming a normal distribution. Real markets have fatter tails.
Settings
| Setting | What it does |
|---|---|
| Horizon | Daily, Weekly or Monthly. Anchors to the previous day, week or month close. |
| Volatility source | Auto picks the right VIX-family index for indices, historical volatility for stocks. You can force one, or type your own IV. |
| Midpoint levels | Off, ±0.5σ only (default), or All (±0.5σ, ±1.5σ, ±2.5σ). Drawn as thin dotted lines. |
| Show ±3σ | Adds the extreme levels. Useful on weekly and monthly. |
| Previous periods to keep | Older levels stay on the chart, faded, for context. |
Dashboard
| Setting | What it does |
|---|---|
| Volatility | Which source was used and its value. |
| Expected move (1σ) | The 1σ move in points and percent. |
| Price now | Where price sits right now, in σ from the anchor. |
| Range so far | High − low of the period as a % of the full ±1σ range. Above 100% means the expected move is already used. |
Alerts
Touch alerts for ±0.5σ, ±1σ and ±2σ.
How traders use it
- Scalpers watch ±0.5σ as the first test of the day.
- When “Range so far” passes 100%, the expected move is done — chasing gets riskier.
- Option sellers place short strikes outside ±1σ or ±2σ.
- Switch to Weekly on Monday to frame the whole week.
Good to know
- VIX-family indices are a proxy for the market’s implied volatility, not each stock’s own options.
- Historical volatility looks backward. Before earnings, real implied volatility is usually higher.
- Educational tool. Not a signal and not financial advice.
Changelog
| Version | |
|---|---|
| 0.3 | Half-sigma midpoint levels and ±0.5σ alerts. |
| 0.2 | Weekly and monthly horizons, dashboard, faded history. |
| 0.1 | First build: daily ±1σ / ±2σ. |