Sigma (σ)

σ (sigma) is the standard deviation of a distribution. In the Monte Carlo panel it's the standard deviation of the terminal price across all 20,000 paths, reported in dollars.

Under a normal-distribution assumption (loose approximation):

• Roughly 68% of paths end within ±1σ of the mean.
• Roughly 95% end within ±2σ.

Practically: σ is the radius of the cone. Larger σ means more uncertainty about the terminal price — usually driven by higher IV, longer horizon, or weaker GEX containment.

This is the same σ used in the Expected Move cone on OHLC charts — but the MC version is computed from the simulated distribution rather than from a closed-form log-normal formula, so it already includes the GEX warping.