Options: Calculating the 1 Sigma Expected Range for SPX

[ondafringe]

I am no expert, but you have the wind against you on a few fronts here!
1) You are likely using data from more than one source/derivation (delta's VS IV's) {error magnitude is greatly increased due to apples/oranges}
2) You are trying to estimate very short term movement. Very short term IV is noisy and may not be reliable. (This may be a lingering issue for you in accurate projection of expected movement for these short terms using IV!)
3) You are dealing with IV projection thru non-trading days, so use of trading time instead of calendar time may may be worth considering. -- Note the IV for a Monday Expiration implies trading days instead of calendar days was used in the option pricing!

Note: I do not do 0DTE trades, so have not developed/verified good approach to what you seek, and only pointing to things I have observed that are a bit problematic. -- I think your response of "That's just driving me nuts!" is justified and indicates you are thinking!

This is a very interesting subject, and since your using SPX, good data is available to help. Please continue to post you questions/progress -- I expect you are not alone in your quest!

Getting data from TOS.

In the back of my mind, I was thinking 0DTE might be too short term to get *reasonably* realistic results, especially as the trading day progresses. Still not sure of the answer.

And, in my spreadsheet, I'm actually using time remaining, as opposed to days. But that generates other problems, at least to my way of thinking:

0DTE expires at the close of RTH... so 24 hours prior would be the beginning of the day... so at the open of RTH, there is only 6.5 hours left until expiration... so now we are dealing with (6.5/24)/365. lol

And the reason I feel this is a valid pursuit, at least from my limited perspective, is because it can help determine whether the targeted short strike on a credit spread falls outside of a given sigma range, which, in turn, can assist in the decision-making process, which, in turn again, might occur with only an hour or so left before expiry.

This whole thing was brought about by the following resource, which provides real-time 1 and 2 sigma ranges for SPX throughout the trading day... and my attempt to determine whether the ranges provided are *reasonably* accurate.

https://0dtespx.com/?date=2022-10-14

Not only that, I don't want to become dependent on something that may not be available in the future. I would much rather work the calculations myself.

Anyway, thanks, again, for your input. I really appreciate it!