The expected move

Resposta rápida

The expected move is the size of the price swing the options market is currently pricing in for a stock over a set period. It is read directly from option prices, so it changes whenever those prices do.

Options Band calculates it from the at-the-money straddle: the mid price of the call plus the mid price of the put at the strike closest to the stock price. The range is the current price plus or minus that total. A $100 stock with a $6 straddle has an expected move of $6, or a range of $94 to $106.

It is a market-implied estimate of magnitude, not a forecast of direction — the same range covers a move up or a move down.

Uma visão mais detalhada

The straddle works as a measuring stick because its value depends almost entirely on how far the stock travels, not which way. Whoever pays $6 for a straddle needs roughly a $6 move by expiration to break even, so the price buyers and sellers settle on is a live estimate of the expected swing.

A worked example with round numbers:

• Stock price: $100
• Days to expiration: 30
• ATM call mid: $3.20
• ATM put mid: $2.80
• Straddle: $3.20 + $2.80 = $6.00
• Expected move: ±$6.00, or ±6% — a range of $94 to $106

Because different expirations imply different move sizes, Options Band also shows a standardized 30-day figure so stocks can be compared on equal footing:

EM30 = IV30 × √(30 / 365)

where IV30 is 30-day implied volatility. A stock with an IV30 of 35% has an EM30 of 0.35 × 0.287 ≈ 10%. The straddle method and the calculation details are documented at the expected-move methodology page, and current figures across listed stocks are on the expected moves screen.

Opcional: o detalhe formal não necessário para as verificações

Formally, the straddle-based expected move approximates the expected absolute price change at expiration under the risk-neutral distribution embedded in option prices. For a lognormal model the ATM straddle is close to 0.8 × S × σ√t, which is why the straddle reading and the volatility-based EM30 track each other and why either can stand in as the market's magnitude estimate.

The most common misconception is treating the range as a one-standard-deviation band with a 68% hit rate. A one-straddle range is narrower than one standard deviation; under the model's own assumptions it should contain the final price roughly 60% of the time. Options Band snapshots each expected move before the outcome is known and scores it after expiration — see the historical database methodology.

Limitations: mids are computed from delayed Cboe quotes, so wide or stale markets add noise; the figure describes magnitude only and says nothing about direction; and it is a risk-neutral quantity, which can differ from real-world frequencies. None of that makes it a prediction — it is a record of what option prices currently imply.