Definition · updated 2026-10-21
Expected move
The expected move is the price range the options market implies for an underlying over a period, derived from implied volatility: spot × IV × √(time). It is a one-standard-deviation range, so the close lands inside it roughly two days in three, and outside it the rest.
See it live: today's GEX levels by ticker.
Two ways to get it
From implied volatility: spot × at-the-money IV × √(days ÷ 365). From prices: the cost of the at-the-money straddle, which is what the market will pay for a move in either direction. Both give similar answers for near-dated expirations.
How traders use it
Premium sellers place short strikes outside the expected move so they are paid for the market's own volatility estimate. Directional traders compare it with the distance to the call and put walls: a wall inside the expected move is a likely stall, a wall outside it is a stretch target.
Frequently asked questions
- How do you calculate the expected move?
- Multiply spot by implied volatility and the square root of the time fraction: for one day, spot × IV × √(1/365). The ATM straddle price is a quick market-based alternative.
- Is the expected move a guarantee?
- No. It is one standard deviation, so about one close in three lands outside it, and large gaps around earnings exceed it routinely.