What is expected move, and how do you calculate it?
The market's own price bracket — pulled straight from what options are actually charging.
The expected move is the price range options traders are pricing in for a stock before a given date — usually the next earnings report or option expiry. It's derived from the at-the-money (ATM) straddle: the combined cost of the call and put at the strike closest to the current stock price. A common approximation takes that straddle price and multiplies it by 0.85 to estimate the 1 standard deviation (1σ) move — the range the stock is expected to stay inside roughly 68% of the time.
Why the straddle price contains this information
An at-the-money straddle only makes money if the stock moves far enough in either direction to cover what you paid for both legs. Market makers price that straddle based on how much movement they actually expect — too cheap, and traders would snap it up for an easy edge; too expensive, and nobody would buy it. The equilibrium price is the market's honest, capital-backed forecast of how far the stock is likely to travel, expressed in dollars instead of a volatility percentage.
The calculation, step by step
Find the option expiry you care about (the next earnings date, or a specific expiration). Find the strike closest to the current stock price — that's your ATM strike. Add the call's mid-price (bid+ask ÷ 2) to the put's mid-price at that same strike — that sum is the straddle price. Multiply the straddle price by roughly 0.85 to get the 1σ dollar move. The ±1σ range is simply the current stock price plus and minus that number.
A worked example
Say NVDA trades at $450 and the ATM straddle for the expiry right after its next earnings report costs $32 total ($17 call + $15 put). The 1σ expected move is 32 × 0.85 ≈ $27.20 — implying the market expects NVDA to land somewhere between roughly $422.80 and $477.20 about 68% of the time by that expiry. A move outside that band means the actual reaction outran what options had priced in.
Common mistakes
Using the nearest calendar expiry instead of the one covering the event. For earnings specifically, use the first expiry that falls after the report date — that's the contract actually pricing in the event, not just the soonest one.
Treating the range as a guarantee. A 1σ move is a roughly 68% probability band, not a hard ceiling — real moves land outside it fairly often, which is exactly what a probability distribution implies.
Confusing expected move with gamma exposure (GEX). Expected move is what range option premium is pricing in; GEX estimates the path dynamics — pinning or acceleration — dealers might induce inside or outside that range.
Try it live
The move below is real — computed from a live ATM straddle on OptionScope's real CBOE-fed option chain, using the earnings-aware expiry logic described above. Look up any symbol:
Open the full Expected Move calculator — free →
Related: Implied volatility · IV crush explained · Gamma exposure (GEX) · Deep dive: expected move