Expected Move¶
The expected move is the one-standard-deviation price range the options market implies for a stock over a specified period, representing roughly a 68% probability of containing the closing price by expiration. It is derived from at-the-money option premiums or implied volatility and measures magnitude only — not direction. Traders use it as the primary benchmark for evaluating whether an options strategy is cheap or expensive relative to a given event.
HOW IT WORKS¶
Two methods are standard. For short-dated or event-driven situations, the straddle method sums the ATM call and put prices: Expected Move = ATM Call + ATM Put. Some desks apply a 0.85 multiplier to convert the straddle price into a true 1-sigma band. For non-event periods, implied volatility scaling applies the square-root-of-time rule: Expected Move = S × IV × √(T/365), where S is spot price, IV is at-the-money implied volatility in decimal form, and T is calendar days to expiration. Around binary events such as earnings, the straddle price is the more reliable figure because it captures the jump premium that smooth IV scaling understates.
The expected move decays as time and IV change. A band calculated before an earnings report is no longer valid after IV crush occurs, and it should be recalculated whenever either input shifts materially.
IN TAPEBOARD¶
Tapeboard displays the expected move automatically on any options chain, calculated from the ATM straddle for the selected expiration. The 1-sigma boundaries are overlaid directly on the price ladder, so strike selection for credit spreads, iron condors, and short strangles can be done without manual calculation. The scanner surfaces tickers where the implied expected move is elevated or depressed relative to the stock's historical average earnings move, flagging potential premium-selling or premium-buying setups ahead of scheduled events.