How is the expected move calculated?

Expected move ≈ spot × volatility × √(time in years). The price has roughly a 68% chance of finishing within ±1 standard deviation of spot.

Can I use a straddle price instead?

Yes. A common approximation is expected move ≈ 0.85 × the at-the-money straddle price for the same expiry.

Is the expected move a guarantee?

No — it's a ±1 standard deviation range, so there's roughly a 68% chance the price finishes inside it and a 32% chance it finishes outside, assuming lognormal returns.

How do I get a ±2 standard deviation range?

Double the expected move: ±2σ covers roughly 95% of outcomes under the same lognormal assumption.

Why use days instead of a full year for the time input?

Because expected move is usually asked for a specific event window (e.g. to next earnings or expiry) — convert days to years (days ÷ 365) before entering.

Which is more reliable: the volatility formula or the straddle approximation?

The volatility formula is exact given accurate sigma and time; the straddle approximation (0.85 × straddle price) is a fast estimate traders use when they only have the option price, not a volatility figure.

Options

Expected Move Calculator

Calculate the expected move and ±1 sigma price range to expiry from spot, volatility and days — or approximate it from an at-the-money straddle price.

The expected move is the price range the options market implies an underlying will stay within by a given date, at roughly one standard deviation.

Expected move (±1σ)

± $5.73

Lower bound: $94.27
Upper bound: $105.73
% move: 5.73%

±1σ ≈ a 68% chance of finishing within this range by expiry.

Worked example

A stock trades at $100 with 25% implied volatility and 30 days to expiry.

Time in years: 30 ÷ 365 = 0.0822
Expected move: $100 × 0.25 × √0.0822 = $7.17
Range: $92.83 to $107.17

The market implies roughly a 68% chance the stock finishes between $92.83 and $107.17 by expiry — an $8.43 at-the-money straddle would approximate the same $7.17 move (0.85 × $8.43).

How this is calculated

The expected move to expiry is one standard deviation of the underlying's price:

EM = S × σ × √T, with the range S ± EM and % move = EM ÷ S.

There is roughly a 68% chance the price finishes within ±1σ. If you prefer, switch to the straddle method, which approximates EM ≈ 0.85 × the ATM straddle price.

When to use this calculator

Use this to convert an implied volatility figure into a concrete price range — how far the market expects the underlying to move by a given date, at roughly one standard deviation (about 68% of outcomes).

It is standard preparation before earnings: the expected move tells you what the options market has already priced in, so a 'big' move that lands inside the range should not surprise a position built on it.

Strike selection is the other main use. Iron condor and credit-spread traders often place short strikes just outside the expected move; stock traders use the same range to set realistic targets and stops for a holding period.

Common mistakes

Entering implied volatility as a whole number (e.g. 25) instead of a decimal (0.25), inflating the expected move 100x.
Using calendar days without converting to years, which silently changes the answer by a large factor.
Treating the expected move range as a price target rather than a probability band — price finishes outside it about 32% of the time.

Frequently asked questions

How is the expected move calculated?: Expected move ≈ spot × volatility × √(time in years). The price has roughly a 68% chance of finishing within ±1 standard deviation of spot.
Can I use a straddle price instead?: Yes. A common approximation is expected move ≈ 0.85 × the at-the-money straddle price for the same expiry.
Is the expected move a guarantee?: No — it's a ±1 standard deviation range, so there's roughly a 68% chance the price finishes inside it and a 32% chance it finishes outside, assuming lognormal returns.
How do I get a ±2 standard deviation range?: Double the expected move: ±2σ covers roughly 95% of outcomes under the same lognormal assumption.
Why use days instead of a full year for the time input?: Because expected move is usually asked for a specific event window (e.g. to next earnings or expiry) — convert days to years (days ÷ 365) before entering.
Which is more reliable: the volatility formula or the straddle approximation?: The volatility formula is exact given accurate sigma and time; the straddle approximation (0.85 × straddle price) is a fast estimate traders use when they only have the option price, not a volatility figure.