Free calculator
Expected Move Calculator
Enter the stock price, implied volatility and days to expiry to see the one-standard-deviation range the options market is pricing.
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Expected move calculator
Today’s price
Annualised. 25 for 25%
Calendar days, 1 to 1,825
- IV move
- ±$7.17
- Straddle move
- ±$5.75
7.17% of the stock price
5.75% of the stock price
Straddle ÷ IV move: 0.80. An at-the-money straddle is typically about 0.8 of one standard deviation.
- Range from IV over 30 daysAbout 68% of outcomes under the model
- $92.83 to $107.17
- Two-sigma range from IVAbout 95% of outcomes under the model
- $85.67 to $114.33
- Range from the straddleStrike $100.00
- $94.25 to $105.75
One-sigma range $92.83 to $107.17, a move of $7.17. Straddle range $94.25 to $105.75.
Educational and informational only. Figures are simple calculations before commissions and taxes, and are not financial advice. Check the contract details with your broker.
How it is calculated
- One-sigma move from IV
price × IV × √(days ÷ 365)IV is annualised and written as a decimal in the formula (25% is 0.25). This is the ATM IV method.
- One-sigma range
price ± moveThe lower bound is floored at $0.
- Two-sigma range
price ± 2 × moveAbout 95% of outcomes under a normal model.
- Straddle move
at-the-money call + at-the-money putThe cost of the nearest at-the-money straddle for the same expiry.
Assumptions
- Implied volatility is annualised and you enter it. Use the at-the-money IV for the expiry you are looking at.
- The range is symmetric in dollars. Real prices cannot fall below zero and the up and down moves differ, so treat the ends as approximate.
- The 68% and 95% shares come from a normal distribution. They describe the model, not a forecast, and real prices have fatter tails.
- Time is calendar days divided by 365. An expiry today (0 days) is not supported because the result depends on the hours left.
Worked example
A $100.00 stock has 25% implied volatility and 30 days to expiry. The at-the-money call is $3.05 and the put is $2.70. “Reset to example” loads these numbers into the calculator.
| Result | Working | Value |
|---|---|---|
| Time factor | sqrt(30 ÷ 365) | 0.2867 |
| One-sigma move from IV | $100.00 × 0.25 × 0.2867 | $7.17 |
| One-sigma range | $100.00 ± $7.17 | $92.83 to $107.17 |
| Two-sigma range | $100.00 ± 2 × $7.17 | $85.67 to $114.33 |
| Straddle move | $3.05 + $2.70 | $5.75 |
| Straddle range | $100.00 ± $5.75 | $94.25 to $105.75 |
| Straddle move as a share of the IV move | $5.75 ÷ $7.17 | 0.80 |
Reading the result
The straddle usually sits near 0.8 of the IV move
For a normal distribution the average absolute move is about 0.8 of one standard deviation, and an at-the-money straddle prices that average move. In the example the straddle is $5.75 against $7.17 from IV. A large gap is a prompt to check the quotes, the spread and whether an event such as earnings falls before expiry.
How Options Matrix Pro shows it
In the Matrix the expected move is the 16th to 84th percentile range of a distribution fitted to the option chain. That is about one standard deviation, but it follows the chain’s skew: puts and calls at different strikes carry different implied volatility, so the range need not be symmetric. When no fitted distribution is available the Matrix falls back to the at-the-money straddle, then to IV × √time, the two methods on this page.
Frequently asked questions
How do you calculate expected move?
Multiply the stock price by implied volatility and by the square root of the days to expiry divided by 365. A $100.00 stock at 25% implied volatility with 30 days left has a one-sigma move of $7.17, a range of $92.83 to $107.17.
What does a one-sigma expected move mean?
Under a normal model the stock finishes inside the range about 68% of the time at expiry. It describes the probabilities the options market implies. It does not predict where the stock will go.
How does the expected move change with time?
It grows with the square root of time, not in a straight line. Four times the days doubles the move: the 30-day move of $7.17 becomes $14.33 at 120 days with the same volatility.
Does the expected move include earnings or other events?
Only if the expiry falls after the event. Implied volatility for an expiry that spans an announcement already prices it in, while an expiry before the announcement does not. Compare expiries on either side of the date to see how much the market adds.
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