Enter four numbers from any options chain and see the size of move the options market is pricing by expiration, with two methods side by side: the at-the-money straddle and implied volatility. The numbers you type stay in your browser. No sign-up.
How the expected move is calculated
Straddle method. Add the prices of the at-the-money call and put for one expiration.
IV method. Scale the annual implied volatility to the days left, with IV as a decimal (25% = 0.25).
Expected move ($) = price × IV × √(days ÷ 365)
WHY THE TWO NUMBERS DIFFER
A straddle prices the average size of the move by expiration; the IV formula gives one standard deviation. If moves follow a bell curve, the average move is √(2/π) ≈ 0.798 of a standard deviation, so with matching inputs the straddle figure comes out near 80% of the IV figure. Bid-ask spreads, a strike that is not exactly at the money and the day count move it further. This page counts calendar days over 365, as most option chains do. Our dashboard fixes its expected moves at each close from the at-the-money implied volatility and shows them as a straddle equivalent, √(2/π) × price × IV × √(days ÷ 365.25), so its figures compare with the straddle figure here, not the IV one. Some traders also take 85% of the straddle as a rule of thumb; this calculator shows the full straddle.
Worked example
ILLUSTRATIVE NUMBERS, NOT MARKET DATA
Illustrative numbers, not market data
Input or method
Value
Reference levels
Underlying price
$100.00
—
ATM call / ATM put
$2.10 / $1.90
—
Days to expiration · ATM IV
30 · 17%
—
Straddle method
±$4.00 (±4.00%)
$96.00 – $104.00
IV method
±$4.87 (±4.87%)
$95.13 – $104.87
The straddle is $2.10 + $1.90 = $4.00, or 4.00% of $100. The IV method gives 100 × 0.17 × √(30 ÷ 365) = $4.87. The straddle figure is 82% of the IV figure, close to the roughly 80% the two methods usually show.
Expected moves in the dashboard
The Gamma Suite fixes daily, weekly and monthly expected moves at each close from the at-the-money implied volatility, for the tickers in our gamma universe, each with its fixing date and expiration, and draws them next to estimated gamma by strike. The public SPY gamma view shows SPY’s daily expected move with its fixing date and expiration, and needs no account.
Frequently asked questions
How is the expected move calculated?
The common method adds the prices of the at-the-money call and put for one expiration. That sum, the straddle, is the expected move in dollars; divided by the underlying price, it is the expected move in percent. Adding it to and subtracting it from the price gives an upper and a lower reference level. A second method uses implied volatility: price × IV × √(days to expiration ÷ 365).
What is the difference between the straddle method and the IV method?
They measure slightly different things. An at-the-money straddle prices the average size of the move by expiration, which, if moves follow a bell curve, is about 80% of one standard deviation (√(2/π) ≈ 0.798). The IV formula gives one full standard deviation. So, with matching inputs, the straddle figure usually comes out near 80% of the IV figure. A larger gap usually means the IV, the strike or the expiration do not match the straddle.
Is the expected move a forecast?
No. It is the size of move the options market is pricing for one expiration, read from option prices. It says nothing about which way price goes, and price can and often does move beyond it. Treat it as a measure of magnitude, not as a level price is drawn to.
Which strike and expiration should I use?
Use the expiration that covers the period you care about, for example the first one after a scheduled earnings date, and the strike closest to the current price for both the call and the put. Use mid prices, halfway between bid and ask: last-trade prices can be stale. For the IV method, use the implied volatility of that same strike and expiration.