Learn · options market structure
What is the expected move and how is it calculated?
The expected move is the price range the options market is pricing for a stock by a given expiration. A common estimate is the price of the at-the-money straddle (the call plus the put at the strike nearest the current price). The straddle prices the average size of the move, a little under one standard deviation (about 0.8 SD); it is a range, not a target.
The straddle method
Add the mid prices of the at-the-money call and put for the expiration you care about. Price plus and minus that amount is the expected range. Because the straddle prices the average move, which is about 0.8 of a standard deviation, dividing it by 0.8 approximates the one-standard-deviation move. Many brokers instead quote 85% of the straddle as the expected move, a smaller range; check which convention a number uses.
The implied-volatility method
One standard deviation ≈ price × implied volatility × √(days to expiration ÷ 365). For liquid underlyings like SPY it runs about 1.25 times the straddle, consistent with the 0.8 relationship above. The free expected move calculator at /tools/expected-move-calculator does both.
How traders use it
To size expectations for a day or a week, and to see whether a move is large or ordinary relative to what options priced. It is not a forecast of direction.
Related
Education and market data, not investment advice. GammaPulse does not publish a track record or performance claims.