Volatility
What is Expected Move?
The predicted price range based on implied volatility.
📖 Complete Definition
Expected move is the one standard deviation price range the market expects, derived from at-the-money implied volatility. Statistically, the stock should stay within this range about 68% of the time. Traders use expected move to set strike prices, assess risk, and evaluate if options are priced appropriately for an event.
📐 Formula
Expected Move = Stock Price × IV × √(Days to Expiration / 365)
💡 Examples
- →$100 stock with 30% IV and 30 days = $100 × 0.30 × √(30/365) = $8.60 expected move
- →For earnings, use the ATM straddle price as a quick expected move estimate
❓ Frequently Asked Questions
How accurate is expected move?
Historically, stocks stay within the expected move about 68% of the time (one standard deviation). However, individual events can exceed expectations significantly.
🔗 Related Terms
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