Expected Move Calculator
The move the options market has already priced in, before earnings or any event, in dollars and percent.
About two thirds of the time the stock finishes between $94.90 and $105.10. Roughly 95% of the time it finishes between $89.80 and $110.20.
The at-the-money straddle slightly overstates a one standard deviation move, so it is scaled by 0.85, the convention traders use. A strike outside this range is cheap because the market considers it unlikely, not because it is a bargain.
The expected move is the range the options market expects a stock to stay within, roughly two thirds of the time, by expiration. It can be read two ways: from the at-the-money straddle price, which is what traders quote around earnings, or from implied volatility scaled to the period by the square root of time.
Frequently asked questions
Which method is more accurate?
They usually agree within a few percent. The straddle method reflects actual traded prices including any skew, so it is preferred around a specific event. The implied volatility method is easier when you only have an IV figure from a chain.
Why is the straddle multiplied by 0.85?
The at-the-money straddle slightly overstates a one standard deviation move because it includes the value of both tails. Multiplying by roughly 0.85 is the widely used correction that brings it in line with the statistical measure.
Does the expected move predict direction?
No. It describes the size of the move the market anticipates, and takes no position on whether it is up or down. A stock is as likely to hit the lower bound as the upper one.
How often is the actual move larger?
About a third of the time the stock finishes outside the one standard deviation range, and about 5% of the time outside two standard deviations. Options that look cheap far outside the range are cheap precisely because those outcomes are rare.
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Calculators model hypothetical outcomes from the inputs you provide. They are informational only, not financial, investment, tax, or legal advice.