Direxion Daily CSI 300 China A Share Bull 2X ETF (CHAU) Expected Move
Expected move estimates the probable price range for a given period based on at-the-money options pricing. It reflects the market consensus for volatility over the selected timeframe.
Direxion Daily CSI 300 China A Share Bull 2X ETF (CHAU) operates in the Financial Services sector, specifically the Asset Management - Leveraged industry, with a market capitalization near $208.9M, listed on AMEX, carrying a beta of 0.94 to the broader market. The Direxion Daily CSI 300 China A Share Bull 2X ETF seeks daily investment results, before fees and expenses, of 200% of the performance of the CSI 300 Index. public since 2015-04-16.
Snapshot as of May 15, 2026.
- Spot Price
- $23.77
- Expected Move
- 13.4%
- Implied High
- $26.96
- Implied Low
- $20.58
- Front DTE
- 34 days
As of May 15, 2026, Direxion Daily CSI 300 China A Share Bull 2X ETF (CHAU) has an expected move of 13.42%, a one-standard-deviation implied price range of roughly $20.58 to $26.96 from the current $23.77. Expected move is derived from at-the-money straddle pricing and represents the market's pricing of a ±1σ move. Roughly 68% of outcomes should fall within this range under lognormal assumptions, though empirical markets have fatter tails.
CHAU Strategy Sizing to the Expected Move
With Direxion Daily CSI 300 China A Share Bull 2X ETF pricing an expected move of 13.42% from $23.77, risk-defined strategies sized to the implied range structurally target the modal outcome distribution. Iron condors with wings at the ±1σ expected move boundaries collect premium against the ~68% probability that spot stays inside the range under lognormal assumptions; strangles set wider at ±1.5σ or ±2σ target the tails but pay smaller per-trade premium. Long-vol structures (long straddles, ratio backspreads) profit when realized move exceeds the implied move, the inverse trade: they bet against the lognormal assumption itself, capitalizing on the empirically fatter equity-return tails.
Learn how expected move is reported and how to read the data →
Per-expiration expected move for CHAU derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $23.77 × (1 ± expected move %). One standard-deviation range under lognormal assumptions, roughly 68% of outcomes fall inside.
| Expiration | DTE | ATM IV | Expected Move | Implied High | Implied Low |
|---|---|---|---|---|---|
| Jun 18, 2026 | 34 | 46.8% | 14.3% | $27.17 | $20.37 |
| Jul 17, 2026 | 63 | 47.7% | 19.8% | $28.48 | $19.06 |
| Aug 21, 2026 | 98 | 48.4% | 25.1% | $29.73 | $17.81 |
| Nov 20, 2026 | 189 | 36.5% | 26.3% | $30.01 | $17.53 |
| Jan 15, 2027 | 245 | 42.6% | 34.9% | $32.07 | $15.47 |
| Jan 21, 2028 | 616 | 46.1% | 59.9% | $38.01 | $9.53 |
Frequently asked CHAU expected move questions
- What is the current CHAU expected move?
- As of May 15, 2026, Direxion Daily CSI 300 China A Share Bull 2X ETF (CHAU) has an expected move of 13.42% over the next 34 days, implying a one-standard-deviation price range of $20.58 to $26.96 from the current $23.77. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the CHAU expected move mean for traders?
- Roughly 68% of outcomes should fall within ±1 expected move and 95% within ±2 under lognormal assumptions, though equity returns have empirically fatter tails than log-normal predicts. Strategies sized to the expected move (iron condors at ±1σ, strangles at ±1.5σ) target the typical outcome distribution; strategies that profit from tail moves (long-vol structures, ratio backspreads) target the tails the lognormal model under-prices.
- How is CHAU expected move calculated?
- The expected move displayed here is derived from at-the-money implied volatility scaled to the chosen tenor: expected move % is approximately ATM IV times sqrt(T / 365), where T is days to expiration. An equivalent straddle-based form: the ATM straddle (call + put at the same strike) is roughly sqrt(2/pi) times spot times IV times sqrt(T/365), so the implied one-standard-deviation move is approximately 1.25 times ATM straddle divided by spot. The two formulations agree once the sqrt(2/pi) constant is reconciled.