Expected move for actively traded stocks

30-day expected move by stock

Expected move calculator

Uses the same formula as the table: price x implied volatility x the square root of (days to expiration / 365).

How the expected move is calculated

The expected move on these pages is expected move = price x implied volatility x the square root of (days to expiration / 365). Implied volatility is an annualized number, so the square root term scales it down to the time left before the options expire.

For example, a $200 stock with an implied volatility of 30% and 30 days to expiration has an expected move of 200 x 0.30 x the square root of (30 / 365), which is about $17.20, or 8.6%. The one standard deviation range runs from about $182.80 to $217.20.

The IV used here is the at-the-money implied volatility for that expiration, which is the volatility the market is paying for options struck near the current price.

What one standard deviation means

If returns followed a normal distribution and options were priced fairly, the stock would finish inside the one standard deviation range about 68% of the time, roughly two times in three. It would finish outside it about one time in three, split between moves up and moves down.

Real returns have fatter tails than the normal curve, so large moves outside two standard deviations happen more often than the textbook math suggests. Treat the range as the market's central estimate, not a boundary.

• One standard deviation: about 68% of outcomes under the model.
• Two standard deviations (double the move): about 95% under the model.
• The move is symmetric around the current price. Actual option prices often lean one way, with puts priced richer than calls.

Expected move vs the straddle price

A second common estimate is the price of the at-the-money straddle: the at-the-money call plus the at-the-money put. That is the market's direct price for a move in either direction by expiration. The straddle usually comes in somewhat below the one standard deviation figure, since under the same assumptions its value is close to 80% of it.

Each symbol's options page shows both side by side for several expirations. When the straddle is well above the formula figure, the market is paying up for movement, often because of a scheduled event inside that expiration.

How traders use the expected move

Premium sellers often place short strikes near or outside the expected move so the stock can move a typical amount without reaching them. Buyers of straddles and strangles compare the expected move with how far they think the stock could travel. Anyone holding shares can use it to see how large a swing the options market considers ordinary over the next month.

The expected move is not a forecast of direction, and it does not tell you whether options are cheap or expensive. For that, compare today's implied volatility with its own history using IV rank.

Frequently asked questions

What is the expected move of a stock?

It is the one standard deviation price change implied by option prices over a given period, calculated as price times implied volatility times the square root of days to expiration over 365. Under the model the stock finishes inside that range about 68% of the time.

Why is the table based on about 30 days?

Thirty days is a common reference horizon that lines up with monthly expirations, so it makes stocks comparable. Each row uses the listed expiration closest to 30 days out, and the days column shows exactly how far away it is.

Is the expected move the same as the straddle price?

They are related but not identical. The straddle price is what the market charges for the at-the-money call plus put. Under standard assumptions it is roughly 80% of the one standard deviation move, so it usually comes in a bit smaller.

How often is this data updated?

The table reflects the most recent market close. Inside the OptionClaws scanner, implied volatility and every other filter are refreshed intraday.

Can a stock move more than the expected move?

Yes, about one time in three under the model, and more often in practice because large moves are more common than a normal distribution assumes. Earnings and other events can push a stock well past it.

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