Expected move

Options glossary · the plus-or-minus one standard deviation range the options market implies by expiry

The expected move is the size of the swing the options market is pricing in by expiration, shown as a dollar or percent range around the current stock price. It comes straight from implied volatility: a stock at price S with volatility σ over time T in years has a one-standard-deviation move of S × σ × √T.

Under the model the stock finishes inside the ±1σ band about 68% of the time, and inside ±2σ about 95% of the time. It is not a direction call or a guarantee, just the market's implied dispersion. Traders use it to judge whether a strike is a realistic target by expiry, and to see whether pre-earnings option prices imply a bigger move than they expect.

Worked number. At $100 with 45% IV and 30 days to expiry, the 1σ expected move is ±$12.90 (±12.9%), from 100 × 0.45 × √(30/365). So the market implies roughly an $87 to $113 range by expiry, about two thirds of the time.

See it in the calculator → Load this scenario and change any input to watch expected move update live.

FAQ

Is the stock guaranteed to stay within the expected move?

No. It is a one-standard-deviation range, so under the model the stock stays inside it only about 68% of the time. Bigger moves happen, and real markets have fatter tails than the model assumes.

How does the expected move relate to a straddle?

Closely. The price of an at-the-money straddle is a quick market estimate of the expected move, which is why traders compare the two around earnings.

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