Start free

Options

Expected Move Calculator

Implied volatility is an annual number. Enter it with the days remaining to see the move the market is actually pricing between now and expiry.

The underlying

Annualised, as quoted on the option chain.

The horizon

To see how many standard deviations away it sits.
Expected move (1σ)—
Range, about 68% of the time—
Range, about 95% of the time—
Move as a percentage—
Your strike is this far outenter a strike

The expected move is one standard deviation of a lognormal assumption — it says the price finishes inside that range roughly two times in three, and outside it one time in three. That last part is the half people forget: a strike at 1σ is breached far more often than it feels.

FreeNo signupNothing leaves your browser

The formula

expected move = price × IV × √(days ÷ 365)

Implied volatility is quoted annualised, so it must be scaled to the period you care about. A $100 stock at 35% IV with 30 days to expiry has a one-standard-deviation move of about $10.03.

The square root is what makes short-dated options behave the way they do: doubling the time only multiplies the expected move by about 1.41, not by 2. Four times the time gives twice the move.

What one standard deviation actually means

The move defines a range the price is expected to finish inside roughly 68% of the time, with two deviations covering about 95%.

Read the other half of that sentence, because it is the one that gets skipped: a 1σ range is breached about one time in three. That is not a rare event. It is more common than a coin landing heads twice in a row, and it happens to strikes routinely described as "safe".

For someone selling premium at 1σ, this is the entire business: collect frequently, be wrong about a third of the time, and make sure the size of the loss when wrong is survivable. For someone buying at 1σ, it is the reverse. Either way the number to plan around is the frequency, not the comfort of the word "expected".

The assumptions, stated plainly

The model behind this is lognormal, and it is wrong in a specific, known direction.

Real markets have fat tails: extreme moves happen more often than the normal distribution predicts. Gaps on earnings, guidance and macro releases are not smooth diffusion, and they are precisely where a 2σ boundary fails. So treat the 95% range as optimistic — it is closer to a floor on the risk than a ceiling.

Implied volatility is also not a forecast. It is the price of options, which is to say what other participants are charging to take the other side. It rises before known events and collapses after them, which is why a position that was right about direction can still lose when IV drops the morning after earnings.

Using it with a strike

The last row converts any strike into its distance in deviations, and that single number is more useful than the price.

A strike 1.0σ out is breached about a third of the time. At 1.5σ, roughly one time in seven. At 2σ, about one time in twenty. That progression is what a premium seller is actually pricing, and it is the honest way to compare two strikes at different distances on different underlyings — a $5 move means nothing without knowing how volatile the thing is.

Pair it with the options payoff to see what the position earns when it holds, and what it costs when it does not.

FAQ

How do I calculate the expected move?

Multiply the price by the implied volatility, then by the square root of days to expiry divided by 365. A $100 stock at 35% IV over 30 days gives an expected move of about $10.

What does one standard deviation mean for options?

It is the range the price is expected to finish inside about 68% of the time — and therefore outside about 32% of the time. Two standard deviations widen that to roughly 95%, though real markets breach it more often than the model implies.

Which implied volatility should I use?

The IV of the option or expiry you are analysing, taken from the chain. Different strikes carry different IVs — the volatility skew — so using an at-the-money figure to judge a far out-of-the-money strike will understate the move that strike is pricing.

Why did the price move more than expected?

Because a third of the time it does, by construction. Beyond that, real distributions have fatter tails than the model assumes, so gaps around scheduled events happen more often than the percentages suggest.

Is the expected move the same as the option's break-even?

No. The expected move is a statistical range from implied volatility; the break-even is strike plus or minus the premium for a specific contract. They frequently sit close together, which is not a coincidence — it is roughly how options get priced.

This is the plan. What did you actually do?

A calculator tells you the size you should have taken. It cannot tell you the size you took at 2pm after two losers, or how often your stop moved once price went against you. Drop in a statement from MT4/MT5, a broker CSV or a crypto export and see the answer for your own last 90 trades.

Import my trades — free

Related calculators

Options Profit CalculatorWork out the profit or loss on a call or put at expiry, bought or sold, with the break-even price and the maximum gain and loss for that position.Break-Even Win Rate CalculatorFind the win rate a risk/reward ratio needs just to break even, and how much extra win rate your trading costs quietly demand on top.Stop Loss and Take Profit CalculatorTurn a percentage stop and target into actual prices, with the risk/reward ratio and the win rate that ratio demands, for long or short positions.Risk/Reward Ratio CalculatorEnter entry, stop and target to get the risk/reward ratio, the distance to each, and the win rate that ratio needs just to break even.