Expected Move
Market's expected price range
What is Expected Move?
Expected Move Expected move is the options-implied projection of how much an underlying stock or index is expected to move (in either direction) by a specific date. It's calculated from the ATM straddle price and represents the one-standard-deviation range — meaning there's roughly a 68% probability the stock will finish within the expected move range at expiration. The standard formula uses the at-the-money straddle: **Expected move ≈ ATM straddle price × 0.85** The 0.85 multiplier converts straddle price into a one-standard-deviation estimate (the precise factor varies slightly with time to expiration and skew but 0.85 is the industry-standard approximation). For earnings events, the expected move is the single most-watched options statistic. Pre-earnings expected moves for major mega-caps typically run 4-7% (AAPL ~4%, NVDA ~7%, TSLA ~7-9%). If the actual move exceeds the expected move, long straddle buyers win; if it falls short, straddle sellers win. Expected move applications across time frames: - **Earnings expected move**: pre-event premium pricing the binary outcome. Standard reference for earnings-related options trades. - **Weekly expected move**: useful for credit spread strike selection. Sell strikes outside the weekly expected move and you have ~68% probability of finishing OTM. - **Monthly expected move**: longer-term range projection used for iron condor strike width sizing. The relationship between expected move and historical realized moves is the heart of vol mispricing analysis. If a stock has consistently realized smaller moves than its options imply (the typical case for equity indices), short-premium strategies have structural edge. If a stock consistently exceeds its expected moves (some biotech and crypto names), long-premium has the edge. Expected move is a probabilistic projection, not a guarantee. The 68% confidence interval means roughly 1 in 3 events will exceed the expected move in either direction. The 2-standard-deviation expected move (~1.7× the 1-SD value) captures roughly 95% of moves. Tail events (3+ SD moves) happen more often than the lognormal distribution predicts, which is why selling premium has tail risk even when sized at the 1-SD level. Live expected moves for any liquid ticker are available on ApexVol's options chain analytics.
Complete Definition
Expected move is the options-implied projection of how much an underlying stock or index is expected to move (in either direction) by a specific date. It's calculated from the ATM straddle price and represents the one-standard-deviation range — meaning there's roughly a 68% probability the stock will finish within the expected move range at expiration. The standard formula uses the at-the-money straddle: **Expected move ≈ ATM straddle price × 0.85** The 0.85 multiplier converts straddle price into a one-standard-deviation estimate (the precise factor varies slightly with time to expiration and skew but 0.85 is the industry-standard approximation). For earnings events, the expected move is the single most-watched options statistic. Pre-earnings expected moves for major mega-caps typically run 4-7% (AAPL ~4%, NVDA ~7%, TSLA ~7-9%). If the actual move exceeds the expected move, long straddle buyers win; if it falls short, straddle sellers win. Expected move applications across time frames: - **Earnings expected move**: pre-event premium pricing the binary outcome. Standard reference for earnings-related options trades. - **Weekly expected move**: useful for credit spread strike selection. Sell strikes outside the weekly expected move and you have ~68% probability of finishing OTM. - **Monthly expected move**: longer-term range projection used for iron condor strike width sizing. The relationship between expected move and historical realized moves is the heart of vol mispricing analysis. If a stock has consistently realized smaller moves than its options imply (the typical case for equity indices), short-premium strategies have structural edge. If a stock consistently exceeds its expected moves (some biotech and crypto names), long-premium has the edge. Expected move is a probabilistic projection, not a guarantee. The 68% confidence interval means roughly 1 in 3 events will exceed the expected move in either direction. The 2-standard-deviation expected move (~1.7× the 1-SD value) captures roughly 95% of moves. Tail events (3+ SD moves) happen more often than the lognormal distribution predicts, which is why selling premium has tail risk even when sized at the 1-SD level. Live expected moves for any liquid ticker are available on ApexVol's options chain analytics.
Example
AAPL at $185 with 30-day ATM straddle priced at $7.20. Expected move = $7.20 × 0.85 = $6.10. The market is implying a 68% probability AAPL will finish between $179 and $191 in 30 days. The 2-SD expected move ($10.40) captures 95% of expected outcomes.
Formula
Related Terms
Frequently Asked Questions
How is expected move calculated?
The standard formula is ATM straddle price × 0.85. The 0.85 multiplier converts straddle price into a one-standard-deviation estimate. Some traders use 1.0 × straddle for a simpler approximation. The 0.85 factor is more accurate for typical equity options.
What does an expected move tell you?
It tells you the options-market-implied range for the underlying over a specific time period. With 68% probability, the underlying will finish within ±1 expected move at expiration. The 95% confidence range is roughly ±1.7 expected moves.
How do I use expected move for trading?
For credit spreads, sell strikes just outside the expected move for ~68% probability of finishing OTM. For earnings, compare the implied expected move to the historical realized moves — if historical moves are smaller, sellers have edge; if larger, buyers have edge. For position sizing, use 2× expected move as the worst-case scenario reference.
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