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How to Calculate Implied Moves

Quick guide to calculating how much the market expects a stock to move using ATM straddle pricing and implied volatility.

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What this one covers

  • Calculate the market's expected stock move from ATM straddle pricing

The same thing, in writing

The implied move tells you how much the market expects a stock to move by a given expiration. To calculate it, take the ATM straddle price (call + put at the nearest strike to the stock price) — that's roughly the expected move in dollar terms. Divide by the stock price to get the percentage move. This is essential for earnings trades and for sizing positions relative to the market's expectations.

Topics

  • implied move
  • expected move
  • straddle
  • implied volatility

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