An expected move for SPY can be derived two ways: from option prices, or from how far SPY's own closes have recently moved. The Behavioral Transform Model is the second kind. It draws an expected range around the prior close using roughly the last 60 daily returns, and it needs no options data.
In the options world, an expected move is derived from implied volatility, so it is a priced expectation about the period ahead. The implied vs realized volatility article explains the distinction. A statistical expected range uses realized volatility instead: a measurement of how large recent moves actually were, projected onto price from the prior close.
Oisigma has not published a coverage test of option-implied moves, so nothing here says one is more accurate than the other. They answer related questions from different inputs.
Across SPY's daily closes from 1995 to 2024, the next close landed inside the inner band 70.8% of the time and inside the outer band 93.9%, historically. The S&P 500 cash index (1928–2024) sat at 71.2% and 93.8%. These are calibration figures from the Proof page; past behavior is not a guarantee of future results.
The band is an expected range, not a claim that price reverses at its edges. For the wider family of tools, see expected price range indicators on TradingView.
It does not show that any use of the range is profitable. The paper validates calibration, not the profitability of any use, and whether a use delivers value after costs is an open question. The range also runs too narrow in the first days of a fast volatility jump, a limit covered in when volatility bands fail.
Does the indicator use SPY options data?
No. It uses closing prices only, which is why the same construction runs on instruments with no options market.
Are there published figures for the S&P futures or the cash index?
Yes. The Proof page lists ES (S&P futures, 2005–2024) at 71.3% inner and 93.6% outer, alongside the cash index figures above. Each has its own sample period, so the series are not directly interchangeable.
Does the band move while a daily bar is forming? The live bar's marker can update until the close, while closed bars do not change; the repaint article covers the detail.
Details are in the working paper. The Behavioral Transform Model runs on TradingView, and the 30-day free trial lets you check the range on SPY directly: start free, cancel anytime.
Oisigma provides descriptive market analytics for educational use. It is not investment advice, does not predict prices, and does not provide buy or sell signals. Statistics referenced are historical and were measured in our working paper (not peer-reviewed); past behavior is not a guarantee of future results. Trading and investing involve substantial risk of loss, including the possible loss of all capital invested. Leveraged products (futures, options, margin) carry additional risk and can result in losses that exceed your initial investment. Bollinger Bands® is a registered trademark of John Bollinger; Oisigma is not affiliated with or endorsed by Mr. Bollinger. RiskMetrics® is a registered trademark of MSCI Inc.; Oisigma is not affiliated with or endorsed by MSCI Inc. Nothing in this article is a recommendation to use any particular strategy. Read the full Disclaimer →
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