SPY Expected Move vs Realized - Chart
Interactive fan chart showing SPY expected moves derived from 30-day implied volatility compared to realized price movements. Analyze ±1σ bands with historical hit rates and performance metrics to understand volatility forecasting accuracy.
Hit Rate Analysis
Track 1-day & 5-day performance vs ±1σ expectations
Historical Data
Compare expected vs realized volatility over time
Expected Move Chart
Price with confidence bands based on 30-day IV
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1-day hit-rate
Share of days where the 1-day realized move stayed within the implied expected move band.
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5-day hit-rate
Share of days where the 5-day realized move stayed within the implied expected move band.
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Median EM vs Realized (1d)
Median absolute expected move (EM) versus median absolute 1-day realized move (RV).
EM - vs RV -
Median EM vs Realized (5d)
Median absolute expected move (EM) versus median absolute 5-day realized move (RV).
EM - vs RV -
Recent Expected Move Performance
| Date | Close Price | 1D Expected Implied 1-day move from options IV; expected absolute price change as a percent. | 1D Realized Actual 1-day absolute move (close-to-close), shown as a percent. | 1D Hit Indicates whether the 1-day realized move stayed within the expected move band. | 5D Expected | 5D Realized | 5D Hit |
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