What is the expected move?
What move is the market actually pricing in?
The expected move is the price range the options market considers likely through a given expiration, derived from implied volatility. It is a probability statement, not a forecast and not a boundary: price can and does leave the range, and the distribution it assumes remains an assumption.
How to approximate it
One common approximation takes implied volatility, multiplies it by the price, and scales it to the time left: price times IV times the square root of days divided by 365. Faster still is reading it off the chain — the price of the at-the-money straddle for that expiration lands close to the expected amount. Both give an order of magnitude, not an exact figure.
Both approximations are specific to one expiration. Another date needs its own calculation, because implied volatility differs across the term structure — a one-week expected move cannot simply be scaled up into a one-month one.
What the range says
The expected move corresponds to roughly one standard deviation. Under the model’s assumptions the underlying stays inside the range in about two cases out of three — and leaves it in about one out of three. For premium sellers that is a reference point for strike selection; for buyers, the question of whether the expected move justifies the premium at all.
In practice: roughly one observation in three lands outside the range, and nothing tells you in advance which one. Choosing strikes at the edge of the expected move is choosing a win rate — not safety, and not a ratio of reward to risk.
The common misreading
The range is neither a limit nor a forecast. It rests on a distribution assumption that understates real price jumps, and it says nothing about direction. Once the event that widened it has passed, implied volatility usually falls back — and the expected move for the next expiration immediately looks entirely different.
Strategies where the term matters
- Long Straddle — Does the move have to be bigger than the one the market has already priced in?
- Short Strangle — Why are you giving up the protective wings of an iron condor?
- Short Iron Condor — Is the range you expect genuinely narrower than the move the market has priced in?
Related terms
Every term in one place: the options glossary.
This material is general information about option strategies, written for a general audience. It is not investment advice, not a recommendation, and not financial analysis. Options can lose their entire value, and uncovered positions can lose more than the amount committed. Anything said about tax is general in nature and is no substitute for professional tax advice. Last reviewed: 2026-08-06.