Today’s session
The range the S&P options book prices for today’s session: the at-the-money straddle, captured at 08:30 ET from the live chain and frozen for the day, next to the walls I publish at the same minute.
Today’s bracket is not captured yet. It lands at 08:30 ET on trading days, with the walls; this page refreshes every ten minutes. Nothing is shown until it exists.
The straddle is the price of owning both directions at the money. Whatever the market charges for that is the move it expects, roughly one standard deviation of the session. It is not a forecast of direction and not a level to trade blind; price leaves the bracket on a fair share of days, and those days are the interesting ones.
The walls say where dealer hedging tends to lean against price; the bracket says how far the options book thinks price will travel. A wall inside the bracket is within the range the book prices for today; a wall outside it would take a bigger day than the book expects.
In the terminal the walls and the flip are drawn on the chart and recomputed through the session, per strike. Download the terminal.
