Free calculator
Expected move calculator
Calculate the market-implied move from ATM straddle midpoints or from implied volatility and time, and compare both methods.
Inputs
Expected move
- Straddle method
- $7.00
- Straddle %
- 7.00%
- Straddle range
- $93.00 – $107.00
- IV method
- $12.90
- IV %
- 12.90%
- IV range
- $87.10 – $112.90
The straddle method adds the at-the-money call and put midpoints and is preferred when those quotes are liquid. The IV method multiplies spot by implied volatility and the square root of time; it is an approximation and neither method is a confidence interval.
- Approximation from implied volatility and calendar time; it is not a confidence interval.
Assumptions and limits
- No dividends or early exercise are modelled.
- European-style pricing is assumed for the IV method.
Two methods, one range
The straddle method adds the at-the-money call and put midpoints. It is the market's direct price for the move and is preferred when those quotes are liquid.
The IV method multiplies spot by implied volatility and the square root of time. It is a smooth approximation that ignores skew and can differ from the straddle when the market prices a jump.
FAQ
- Is the expected move a forecast?
- No. It is an option-price estimate, not a confidence interval or a directional call.
- Which method should I use?
- Prefer the straddle method when liquid ATM quotes exist; use the IV method when only an implied volatility estimate is available.