Expected Move Calculator: What the Options Market Is Pricing

The expected move is the options market's implied range for the underlying through expiration, derived from at-the-money option prices. It's the single most useful number for sizing event trades and choosing strikes.

Calculation: roughly the at-the-money straddle price for the relevant expiration. For a $100 stock with a $5 ATM straddle, the expected move through expiration is approximately ±$5. More precise versions use a multi-strike weighting, but the straddle approximation is accurate within a few percent for liquid names.

Use cases: sizing iron condors (place wings outside the expected move for higher probability), evaluating earnings trades (compare your directional thesis vs the implied move — if you expect a smaller move, sell premium; larger, buy premium), and gut-checking strike selection (an OTM strike inside the expected move has a coin-flip outcome, whereas one outside the move is genuinely OTM-probability).

Frequently Asked Questions

How accurate is the expected move historically?

On average, realized moves come in about 70% of the time within the expected range. The 30% of cases that exceed it are where most options profits and losses concentrate.

Does expected move account for skew?

Standard calculation uses ATM only. Skew-adjusted versions weight wings differently but are uncommon outside professional desks.

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