Expected move

The expected move is the market-implied price range a stock is anticipated to stay within over a specific period, derived from option prices. It represents one standard deviation, meaning the market expects the stock to remain within this range approximately 68% of the time.

Simple approximation: Expected Move ≈ ATM straddle price. If the front-month ATM straddle costs $8, the market is pricing in roughly an $8 move in either direction by expiration.

Why it matters: The expected move sets the benchmark for evaluating whether options are fairly priced around an event. If a stock has a $10 expected move going into earnings but has only moved an average of $6 on the last eight earnings, options are overpriced, a potential edge for sellers.

How to use it: Compare the current implied move (from option prices) to the historical actual moves over the last several earnings cycles. A consistent gap between the two suggests options sellers have an edge.

Example: TSLA is at $250. The ATM straddle costs $15. The expected move is ±$15 (±6%). Historical earnings moves average ±$8. The implied move is nearly double the historical average, options sellers may have an edge.

One standard deviation: By definition, the stock will land outside the expected move range approximately 32% of the time (16% to the upside, 16% to the downside). Iron condor and short strangle sellers need to be aware of this tail risk.

Related terms: IV rank, implied volatility, straddle, earnings plays, IV crush

Try it on Stryke: See the expected move for every upcoming earnings event in the Implied Earnings Move tool.