Expected Move

Family: Volatility

What it computes

Emits ExpectedMoveTick ticks carrying expected_move, straddle_move, atm_iv, forward, tenor_years off chain snapshot.

Available on the live and replay drives. The historical drive fails closed with KAIROS_ERR_HISTORICAL_UNWIRED until the relevant cache is hydrated externally.

Methodology

Black-Scholes (1973) one-sigma expected move EM = spot * sigma * sqrt(T) at the ATM strike via Brenner-Subrahmanyam (1988) straddle-implied IV anchored against the put-call-parity forward.

See the methodology overview for the citation index.

Inputs

Chain snapshot.

Key outputs

Expected_move, straddle_move, atm_iv, forward, tenor_years. The full field set is in the tick table below.

Output schema (ExpectedMoveTick)

The field / type / description table below is regenerated from the ExpectedMoveTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
symbol	Arc<str>	Underlying symbol (interned).
date	i32	Trading-session date (YYYYMMDD) at emission time.
ms_of_day	i32	Milliseconds since midnight at emission time.
expiration	i32	Expiration YYYYMMDD the move was recovered for.
tenor_years	f64	Tenor in calendar years.
forward	f64	Parity-anchored forward at the ATM strike.
atm_iv	f64	Brenner-Subrahmanyam (1988) straddle-implied ATM volatility.
expected_move	f64	Black-Scholes one-sigma expected move F * sigma * sqrt(T) — the canonical pre-event headline straddle desks quote.
straddle_move	f64	Listed-straddle reading C_atm + P_atm — the directly observed market quote, equivalent to expected_move under the Brenner-Subrahmanyam approximation.
strikes_used	i32	Count of admitted strikes contributing to the parity-anchored forward solve.

Configuration (ExpectedMoveParams)

Regenerated from the ExpectedMoveParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Underlying symbols the subscription tracks.
conditions	ConditionPolicy	Trade-condition admission policy. Retained for surface consistency.
venues	ExchangeFilter	Exchange / venue admission policy.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated daily-close history. The empty default is a placeholder — the analytic's kernel consumes a chain snapshot rather than the daily-close history, but the cache slot is retained so the DefaultSpec hook can fail closed with the same documented cache-dependency error the other vol analytics surface.
min_strikes	i32	Minimum number of admitted strikes for the kernel to publish. Defaults to [DEFAULT_MIN_STRIKES] (3).
target_expiration	i32	Target expiration YYYYMMDD. 0 selects the front expiration on the supplied chain snapshot.

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().expected_move(["SPX"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .expectedMove(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, ExpectedMoveRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .expected_move(["SPX"])
    .on_event(|row: &ExpectedMoveRow| println!("expected_move={} atm_iv={}", row.expected_move, row.atm_iv))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }