Free calculator
Expected move calculator
An expected move calculator turns a stock price, implied volatility and the days to expiry into the one-standard-deviation move the options market prices in, in dollars and as a share of the price, with the 1-SD and 2-SD price ranges. It also converts an at-the-money straddle price into a 1-SD move. The ranges rest on a normal-distribution assumption; real returns have fatter tails.
Expected move guide: how it is derived, how to read it and its limits
Expected move table: the 1-SD move as a share of the price (calendar days)
| Implied volatility | 7 days | 30 days | 45 days | 90 days | 1 year |
|---|---|---|---|---|---|
| 20% | 2.8% | 5.7% | 7.0% | 9.9% | 20.0% |
| 30% | 4.2% | 8.6% | 10.5% | 14.9% | 30.0% |
| 40% | 5.5% | 11.5% | 14.0% | 19.9% | 40.0% |
| 60% | 8.3% | 17.2% | 21.1% | 29.8% | 60.0% |
| 80% | 11.1% | 22.9% | 28.1% | 39.7% | 80.0% |
| 100% | 13.8% | 28.7% | 35.1% | 49.7% | 100.0% |
How to use it
The formula
Expected move (1 SD) = price × IV × √(days ÷ 365), with IV as a decimal. On the trading-day basis: price × IV × √(trading days ÷ 252). Implied volatility is an annualized standard deviation, and volatility scales with the square root of time.
1-SD range = price ± 1 × move and 2-SD range = price ± 2 × move, never below $0. If returns followed a normal distribution, about 68.3% of outcomes would finish inside 1 SD and about 95.4% inside 2 SD. That is an assumption: real returns have fatter tails, so large moves happen more often, especially around earnings.
1-SD move from the straddle = at-the-money straddle ÷ 0.8. In the normal model an at-the-money straddle is worth about √(2/π) ≈ 0.8 of the 1-SD move: it prices the average size of the move rather than one standard deviation, and dividing by 0.8 puts the two on the same basis.
The formula treats moves up and down as equal in dollars. With a high IV or a long time to expiry (IV × √time above about 0.5) the lower bound becomes unreliable; in a log-normal model the move down is smaller than the move up.
Worked example
Illustrative numbers: a stock at $100 with an implied volatility of 30% and 30 calendar days to expiry. The expected move is 100 × 0.30 × √(30 ÷ 365) ≈ $8.60, or 8.6% of the price. The 1-SD range is about $91.40 to $108.60, the 2-SD range about $82.80 to $117.20.
An at-the-money straddle of the same expiry at $6.90 converts to 6.90 ÷ 0.8 ≈ $8.63, close to the IV-based figure. Over 7 days the same IV gives about ±$4.15: a quarter of the time, but about half the move, because of the square root.
On the trading-day basis the same 30 calendar days hold about 21 trading days: 100 × 0.30 × √(21 ÷ 252) ≈ $8.66, almost the same.
Questions
How do you calculate the expected move from implied volatility?
Multiply the stock price by the implied volatility as a decimal and by the square root of the days to expiry divided by 365. A $100 stock with an IV of 30% and 30 days to expiry has an expected move of about 100 × 0.30 × √(30 ÷ 365) ≈ $8.60.
Calendar days or trading days?
Either, as long as the count and the divisor match: calendar days ÷ 365 or trading days ÷ 252. They give nearly the same result. Trading days leave out weekends, when prices barely move, which some traders prefer for short expiries that span a weekend.
Why divide the straddle by 0.8 rather than multiply it by 0.85?
In the normal model an at-the-money straddle is worth about 0.8 of the 1-SD move, so straddle ÷ 0.8 converts it to one standard deviation. Multiplying the straddle by 0.85, a rule of thumb sometimes quoted, gives about 0.68 of a standard deviation. Many brokers show the straddle price itself as the expected move, so check which definition a source uses.
What share of outcomes stays inside the expected move?
About 68% inside 1 SD and 95% inside 2 SD if returns were normally distributed. Real returns have fat tails: moves beyond 2 SD happen more often than the 4.6% the model implies, especially around earnings and macro events.
Does the expected move predict the direction?
No. It is symmetric: options price the size of a move, not its direction. A larger expected move means more movement is priced in, up or down.
Which implied volatility should I use?
The at-the-money implied volatility of the expiry you are measuring. An index such as the VIX, or another expiry’s IV, can differ widely, especially when an earnings date falls between them. IV also changes over time, so the expected move is a snapshot.
Related guides
Other calculators
From the calculation to the record
Save the entry, stop and target as a plan before the trade, then log the fills. The journal works out R, expectancy and drawdown from your own trades, and its AI score grades how closely each trade followed the plan. A free account is all it takes.
Plan this trade in your free Clear Tape journalSee plans and pricing