How the expected move is calculated
For each date, the first listed expiration on or after it. One standard deviation = ATM implied volatility x sqrt(T) x forward, where the ATM implied volatility is the median of the five quoted strikes nearest the forward measured by put-call parity, and T is years to the expiration's New York close on a 365-day calendar clock. The ATM straddle (call mid plus put mid at the two-sided strike nearest the forward) is shown beside it; a straddle is worth about 0.8 of one standard deviation, and the two agree within 15 percent on a sound chain.
Option prices carry a variance risk premium, so a risk-neutral move reads larger than realized moves on average. The figure is cumulative from the reading to the expiration's close, not the move on the event day alone. Dollars are measured on the forward, not spot.
What the windows are
- To the FOMC decision: FOMC meeting, October 27 to 28 (Federal Reserve), 2026-10-28 (Statement at 14:00 ET on the second day of the meeting). The row runs to the close of the 2026-10-28 expiration. Source.
- Through the election session: Election Day, November 3, and the November 4 session, 2026-11-04 (Polls close the evening of November 3; the November 4 session follows). The row runs to the close of the 2026-11-06 expiration, 2 sessions after the date, because no expiration is listed on it. Source. The single-session reading is on the Election Center.
- To the CPI release: Consumer Price Index release (BLS), 2026-11-10. The row runs to the close of the 2026-11-13 expiration, 3 sessions after the date, because no expiration is listed on it. Source.
- To monthly options expiration: Standard monthly options expiration (Cboe), 2026-11-20. The row runs to the close of the 2026-11-20 expiration. Source. Settlement and max pain: OPEX page.
- To the December monthly expiration: Standard monthly options expiration (Cboe), 2026-12-18. The row runs to the close of the 2026-12-18 expiration. Source. Settlement and max pain: OPEX page.
Other symbols: SPX expected move, SPY expected move, QQQ expected move, NVDA expected move, TSLA expected move, AAPL expected move, META expected move, MSFT expected move, AMZN expected move, GOOGL expected move, MU expected move, PLTR expected move, AVGO expected move, NFLX expected move, COIN expected move, HOOD expected move, SMCI expected move, ORCL expected move, CRWD expected move, UBER expected move, IWM expected move, CRM expected move, or SPX, SPY and QQQ side by side.
COMMON QUESTIONS
- How is the expected move calculated?
- Expected move = price x implied volatility x square root of (time to expiration in years). Here the price is the forward measured from put-call parity, the implied volatility is the median of the five at-the-money strikes, and time runs to the expiration's 16:00 ET close on a 365-day clock. That is one standard deviation.
- Why is the straddle price smaller than the expected move?
- An at-the-money straddle is worth about 0.8 of one standard deviation (the square root of 2 over pi). Many brokers quote the straddle itself as the expected move; this page shows both so you can tell which one you are looking at.
- Is the expected move a forecast?
- No. It is the risk-neutral price of movement in the options market as of the reading time. Option prices carry a variance risk premium, so this figure reads larger than realized moves on average.
- Why does the CPI row include more than the CPI day?
- Each row is cumulative from the reading to the expiration's close, so the CPI row holds every session until the close on the release date, not the release session alone. The variance of a single event session is a different measurement; the Election Center publishes one for the election session.
Nothing here is advice or a recommendation.