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Expected Move Calculator

Expected move equals stock price times implied volatility times the square root of days to expiration divided by 365.

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Educational estimate only, not financial advice. Results exclude commissions, taxes, slippage, dividends, assignment risk, margin, and broker-specific rules. Verify before trading options.

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Expected Move Formula

The formula scales annualized implied volatility by square-root time. Probability estimates use a simple normal distribution model.

Worked Examples

Load these expected-move examples to compare earnings ranges, confidence intervals, and target probabilities.

EARNINGS WEEK

How wide is a short-term implied range?

A $240 stock has 55% implied volatility with 7 days to expiration. A trader wants the probability above $260.

  • Time = 7 / 365 = 0.0192 years.
  • Expected move = $240 x 0.55 x sqrt(0.0192) = about $18.29.
  • One-standard-deviation range is roughly $221.71 to $258.29.
  • $260 is slightly above the one-standard-deviation upper line.

Result: the expected move is about +/-$18.29.

Earnings moves can jump outside a normal model, especially when guidance surprises.

IRON CONDOR

How do you compare strikes with a 90% range?

A $100 stock has 22% IV and 45 days to expiration. A trader checks a 90% confidence range.

  • Expected move = $100 x 0.22 x sqrt(45/365) = about $7.72.
  • A 90% two-sided range uses a z-score near 1.645.
  • Confidence move = $7.72 x 1.645 = about $12.70.
  • The 90% range is roughly $87.30 to $112.70.

Result: the 90% model range runs from about $87.30 to $112.70.

That range is model-based and does not account for skew or discrete news risk.

MONTHLY MOVE

What is the probability above a target?

A $62 stock has 28% IV with 30 days left. The target price is $68.

  • Expected move = $62 x 0.28 x sqrt(30/365) = about $4.98.
  • Target z-score = ($68 - $62) / $4.98 = about 1.20.
  • Normal probability above that target is roughly 11%.

Result: the model estimates a relatively low probability above $68.

Probability estimates are sensitive to the IV input and distribution assumption.

How It Works

Expected move converts annualized implied volatility into an estimated dollar move over a chosen number of days. The one-standard-deviation range is centered on the current stock price, and a normal model estimates the probability of finishing above or below a target price.

Example Problem

A stock is $100, implied volatility is 30%, and expiration is 30 days away. What is the one-standard-deviation expected move?

  1. Convert IV to decimal: 30% = 0.30.
  2. Convert time: 30 / 365 = 0.0822 years.
  3. Expected move = $100 x 0.30 x sqrt(0.0822) = about $8.60.
  4. One-standard-deviation range = $91.40 to $108.60.
  5. A $110 target is about 1.16 standard deviations above the stock price.
  6. The normal model estimates roughly 12% probability above $110.

Expected move is a model estimate, not a guarantee. Real returns can be skewed, jumpy, or affected by earnings and liquidity.

Key Concepts

Implied volatility is annualized, so time scaling uses the square root of days divided by 365. A 68% range is roughly one standard deviation under a normal model. Higher confidence levels use wider z-score ranges.

Applications

  • Comparing option premium against the market-implied move.
  • Setting target prices for straddles, strangles, and iron condors.
  • Estimating one-standard-deviation price ranges.
  • Checking the probability of finishing above or below a target.

Common Mistakes

  • Multiplying IV by days directly instead of using square-root time.
  • Treating expected move as a forecast with certainty.
  • Using historical volatility when you intended to model implied volatility.
  • Ignoring skew, jumps, dividends, and earnings effects.

Frequently Asked Questions

What is expected move in options?

Expected move is an estimate of how far a stock may move over a period, usually derived from implied volatility or option prices.

How do I calculate expected move from implied volatility?

Multiply stock price by implied volatility as a decimal and by the square root of days to expiration divided by 365.

Does expected move require live stock prices?

No. This calculator uses manually entered stock price, implied volatility, and days to expiration.

Is the one-standard-deviation range always 68%?

It is about 68% under a normal distribution assumption. Real market outcomes can differ because returns are not perfectly normal.

Is expected move the same as a price target?

No. Expected move describes a range implied by volatility. It is not a directional forecast or recommendation.

Reference:

Black-Scholes volatility scaling convention and standard normal probability model. Foundational source: Black & Scholes (1973), https://doi.org/10.1086/260062

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