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Expected move calculator: price, implied volatility and days
Short answer: The one-standard-deviation expected move is price x implied volatility x the square root of (days / 365). A $500 stock with 20% implied volatility has an expected move of about +/-$13.85 (2.77%) over 7 days. The at-the-money straddle prices the average move, about 0.8 x one standard deviation, so dividing it by 0.8 gives the one-SD move. Enter a price, IV and days to get the range.
| Expected move (1 standard deviation) | ±$13.85 (2.77%) |
| 1-SD range | $486.15 – $513.85 |
| 2-SD range | $472.30 – $527.70 |
| Typical one-day move at this IV | ±$6.30 |
A normal model puts about 68% of outcomes inside 1 SD and 95% inside 2 SD. In practice SPY has stayed inside its VIX-implied daily move more often than that: 81% of days since 2006.
Showing a worked example. Enter your own numbers above; the result's link can be shared.
The formula
Expected move = price × IV × √(days ÷ 365). Implied volatility is annualised, so it is scaled by the square root of the fraction of a year. $500 × 0.20 × √(7 ÷ 365) = $500 × 0.20 × 0.1385 = ±$13.85. Some traders use trading days (√(days ÷ 252)) instead; for one week the difference is small.
The straddle shortcut
The at-the-money straddle (call + put at the strike nearest the price) is what the market charges for the average size of the move, which under a normal model is √(2/π) ≈ 0.8 × one standard deviation. So one SD ≈ straddle ÷ 0.8. Many brokers instead quote 85% of the straddle as the "expected move"; that is a smaller, more conservative range, and it is worth knowing which convention a number uses. More on the expected move.
What it is not
An expected move is a range the options market prices, not a forecast of direction or a guarantee. Earnings, macro releases and gaps can move a stock outside it; implied volatility usually sits above the volatility that follows, which is why moves land inside more often than the normal model says.
Other calculators: Options probability calculator: chance of finishing above, below or touching a strike · Options breakeven and profit calculator for calls and puts. Explainers: Learn.
Arithmetic and model estimates, not investment advice. Options involve substantial risk.