Expected Move Calculator
Turn implied volatility into a price range. See the 1 and 2 standard-deviation moves and compare with the straddle-price shortcut traders use around earnings.
How to use
- Enter the stock price and the implied volatility of options at the expiration you care about.
- Enter days to that expiration and pick calendar or trading days. Use the same convention your IV source uses; most quote annualized IV on calendar days.
- Optionally enter the at-the-money straddle price (call + put) to compare the market's implied move.
Formulas explained
The IV method assumes normally distributed returns over the period. About 68% of outcomes fall within 1 SD and about 95% within 2 SD. The 0.85 factor comes from √(2/π) ≈ 0.80 plus a small adjustment; it is a rule of thumb, not an exact identity.
Worked example Hypothetical
Hypothetical: stock at $100, IV 30%, 30 days. 1 SD = 100 × 0.30 × √(30/365) ≈ $8.60, so the 1 SD range is about $91.40–$108.60. 2 SD ≈ $17.20. If the ATM straddle costs $6.80, the straddle method implies a move of about ±$5.78–$6.80.
FAQ
Which method is better?
The straddle method reflects the actual option prices for one expiration, so it is popular for earnings. The IV formula is quicker and works for any horizon.
Is a move beyond 1 SD rare?
Roughly 1 in 3 periods ends outside 1 SD in theory. Real returns have fatter tails than the normal model.
Why are my ranges symmetric?
This uses the simple normal approximation. A lognormal range, S·e^(±σ√t), is slightly skewed upward.
Expected move calculator explained for beginners
What this tool does
It turns implied volatility into a price range, showing how far the options market is implying a stock could move by a given date. It is a statistical range, not a forecast.
What each input means
- Stock price
- The price the stock trades at right now. Use the last price from your broker or a quote site.
- Implied volatility (IV)
- How much the options market expects the stock to move over a year, written as a percent. 30% means the market is pricing roughly a 30% one-standard-deviation move over a year. Your broker shows IV for each option; higher IV means pricier options.
- Days to expiration
- Calendar days until the option expires. Count from today to the expiration date on the contract.
- Day count
- Whether to measure time in calendar days (365) or trading days (252). Use the one that matches how your IV is quoted; calendar days is common.
- ATM straddle price
- Optional. The cost of buying the at-the-money call plus put. Brokers often treat this as a quick market estimate of the expected move.
How to read the results
The 1 standard deviation (1 SD) range is where the model expects the price to end up about two-thirds of the time, if returns follow a normal distribution. The 2 SD range covers about 95%. Real stocks have bigger surprise moves than this model assumes, especially around earnings.
A short worked example (hypothetical)
Stock $100, IV 30%, 30 calendar days. Expected move = 100 × 0.30 × √(30/365) ≈ $8.60. So the 1 SD range is about $91.40 to $108.60.
Common mistakes
- Thinking the stock cannot go outside the range. It can and does.
- Using an IV from a different expiration than the days you entered.
- Mixing trading-day IV with a 365-day count.