What expected move means
The expected move is the one-standard-deviation range that options pricing implies for an underlying by a given expiration. It is sometimes called the implied move. It is not a forecast and it carries no directional view: it is a restatement of the volatility currently priced into the options chain, converted from an annualized percentage into a dollar or point range over a specific number of days.
Two methods dominate, and they do not agree with each other. Knowing why they disagree is more useful than either number alone. For SPX, the options implied probability page publishes the current figure without either shortcut: it reads the whole delayed chain and prints the expected absolute move from the forward, the central 68 percent band, and the number of strikes the reading was computed from.
The implied volatility formula
The direct calculation is Expected Move = S × IV × sqrt(T), where S is the underlying price, IV is the annualized implied volatility as a decimal, and T is time to expiration expressed as a fraction of a year.
Work an example. Take an index at 5,900 with 30 days to expiration and implied volatility of 15%. First convert the time: sqrt(30/365) = 0.2867. Then 5,900 × 0.15 × 0.2867 = 253.7 points, which is about 4.3% of the index. The implied range is roughly 5,646 to 6,154 by that expiration.
The same square-root-of-time scaling powers the rule of 16, which is just this formula collapsed to a single trading day with the VIX supplying the volatility input.
The straddle approximation
The faster method is to read the price of the at-the-money straddle (the call plus the put at the strike nearest spot) and treat that total premium as the expected move. Traders like it because it requires no calculator and it reflects what the market is actually charging right now, including any premium that no clean volatility number captures.
It also understates the one-standard-deviation move by about 20%, and this is where most explanations go quiet. Under Black-Scholes, an at-the-money-forward straddle is worth approximately 0.798 × S × IV × sqrt(T), the constant is sqrt(2/pi) = 0.7979, which falls out of the normal density at the money. In the index example above, the straddle would price near 202 points against a true one-sigma move of 254.
So if you want the one-standard-deviation figure from a straddle price, multiply by the reciprocal: 1 / 0.798 = 1.253. The straddle price by itself is closer to a 58% confidence band than a 68% one. The straddle multiplied by 0.85 is another common quote, which produces an even narrower range; that is a quoting convention, not a one-sigma estimate, and the two should not be mixed up.
Earnings expected move
Around earnings the straddle method is the more direct read, because implied volatility on the front expiration is not a stable annualized rate. It is an event premium compressed into a few days, so the annualized figure is not comparable with the stock's normal-period volatility, and the IV formula is only as good as the time measure it is given.
Take a stock at $200 whose weekly straddle costs $12. The straddle-implied move is 12 / 200 = 6%. Applying the correction, the one-standard-deviation move is 12 × 1.253 = $15.04, or about 7.5%. Those are materially different bands, and which one you use should be a deliberate choice.
The number is a market price: the range options currently price for that expiration's window, not a prediction of direction or a scorecard for past reports. Our earnings options strategies guide covers how the post-event volatility crush interacts with it.
What both methods assume
Both formulas inherit a lognormal return distribution, constant volatility to expiration, and no drift. Real markets violate all three. Expected move says nothing about path, a stock can finish inside its expected range having traded far outside it, which is why the range does not describe intraday path.
Most importantly, one standard deviation contains only about 68% of a normal distribution's outcomes, so on the model's own terms roughly one expiration in three finishes outside the expected move. That is the model's figure, not a measured breach rate. Equity returns have fatter tails than the normal curve, but that does not raise the one-sigma breach rate: common fat-tailed distributions with the same variance hold more than 68% of outcomes inside one standard deviation, and make the misses that do happen larger. See implied volatility explained for how the input itself is derived, or browse the glossary for related terms.
Educational content, not financial advice. See our risk disclosure.