The expected move: how to calculate it from option prices
The short answerThe expected move is the price range the options market is charging for, up to a given expiration. The formula is price × implied volatility × √(days ÷ 365), which is one standard deviation; a quick approximation is the price of the at-the-money straddle, which comes out a little smaller.
Method 1: the implied volatility formula
Expected move = price × IV × √(days ÷ 365), with IV written as a decimal (20% = 0.20). This is one standard deviation of the move the options imply. In the textbook model the price ends inside ±1 expected move about two times in three (68%) and inside ±2 about 95% of the time. Real markets have fatter tails: big surprises happen more often than the model says.
Method 2: the straddle
Add the price of the at-the-money call and the at-the-money put of an expiration. That straddle is what it costs to bet on a move in either direction, so traders read it as the expected move. It comes out at about 0.8 of the formula’s standard deviation; both are used, and it is worth knowing which one a site shows.
How traders use it
- Earnings: the move priced into the expiration just after the report is the market’s guess of the earnings-day move.
- Choosing strikes: option sellers often place short strikes outside the expected move; buyers need a move bigger than it to profit.
- Implied against realised: compare it with how much the stock has actually moved lately. If the options price more than the stock has been moving, options are rich; if less, they are cheap (see IV rank).
Live example: SPY and QQQ today
From the close of Fri, Nov 13, 2026 — this box is rebuilt after every trading day.
SPY closed at 754.21 on Nov 13, 2026 with 30-day implied volatility of 15.0%:
754.21 × 0.150 × √(30 ÷ 365) = 754.21 × 0.150 × 0.287 ≈ ±32.43 (±4.3%)
To Nov 20, 2026 (7 days) the options price about ±16.7 (±2.2%) — a range of roughly 737.51 to 770.91.
QQQ (IV 25.2%): about ±7.2% over 30 days.
The expected move for every expiration: SPY.
Questions and answers
How accurate is the expected move?
It is the market’s price, not a promise. Over many periods the price stays inside one expected move roughly two times in three, but single surprises — earnings, news — can go far beyond it.
Why is the straddle smaller than the formula?
The at-the-money straddle is worth about 0.8 of one standard deviation of the move, so it gives a slightly narrower range than price × IV × √(days ÷ 365).
What is SPY’s expected move this week?
It is shown above, worked out from today’s close and the option prices of Friday’s expiration, and it is updated every night.
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