Expected Move Calculator
Compute the ±1σ expected price range for any stock — using either the ATM straddle price (best for short windows like earnings) or implied volatility (general purpose).
Inputs
Most accurate for short windows (earnings, expirations). Uses straddle price × 0.85.
Sum of the at-the-money call + put premium for the relevant expiry.
Expected move
±1σ expected move
±$NaN
±NaN% of underlying price
Upper bound (1σ)$NaN
~84% probability the stock stays below this
Lower bound (1σ)$NaN
~84% probability the stock stays above this
The ±1σ range represents the implied "expected" move based on options pricing — roughly 68% probability the stock stays within the range. About 16% probability of breaking above; 16% below. For ±2σ (95% confidence), multiply the expected move by 2.
Track expected move per trade in your journal.
For options trades around earnings or scheduled events, logging the expected move at entry tells you later whether your strategy actually capitalizes on IV crush.
FAQ
- What is the expected move?
- The expected move is the implied ±1 standard deviation price range over a given time window, derived from options pricing. It represents roughly 68% probability that the stock stays within the range. Used heavily for earnings plays, premium-selling strategy selection, and risk planning around scheduled events.
- Which method is more accurate — straddle or IV?
- For short, well-defined windows (earnings, weekly expiration, Fed announcement), the ATM straddle method is more accurate because it includes the actual market premium for the specific event. For longer or more general windows, the IV method is more practical because you don't need a specific straddle quote.
- Why is the straddle method multiplied by 0.85?
- The raw ATM straddle price is the EXPECTED absolute move (not standard deviation). Empirically, multiplying by ~0.85 better approximates the ±1σ range because of skew effects and how option pricing relates to actual realized moves. Different traders use slightly different fudge factors (0.80 to 0.85); 0.85 is a common middle ground.
- How do I use expected move in trading?
- Three common uses: (1) place limit orders for premium selling at the ±1σ boundaries — high probability of expiring worthless, (2) check whether a planned options trade has reasonable upside relative to the implied range, (3) plan position sizing around event windows so a 2σ adverse move stays within your risk budget.
- Does the expected move account for skew?
- Partially. The straddle method uses ATM options, which capture some skew via call vs put premium asymmetry. The IV method uses a single IV input which is typically ATM. Neither perfectly captures skew across the full strike range. For deeper skew analysis, use a full options pricing model.
- How does TradersForge integrate expected move into journaling?
- For options trades opened around scheduled events, you can log the expected move at entry as part of the trade context. Per-event-bucket analytics later show whether your earnings IV crush plays actually capture the expected move premium consistently.