Hi everyone , I want to make a strategy based on the expected straddle movement . It is believed that the straddle price shows the market expected movement and it is computed per day by dividing it with the square root of time . Isi t real or just a textbook definition
Yes, ±IV/16 gives u an approximate 1 day closing range. This is essentially the same as what u r calculating.And of course, it’s a textbook approximation.
its just a theory, whether that applies in reality you can confirm by back test (Highly doubt it 
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