Trading fundamentals · an interactive tool, then how it works
Expected Move
Pick a ticker and an expiration, add the options prices, and get the range the options market is pricing, drawn on the chart. About 68% odds it finishes inside by expiration. Then see whether that range is bigger or smaller than the stock usually moves.
Expected Move Dashboard
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Implied vs actual
The 68% range isn't a wall. The useful question is whether the options market is pricing more or less movement than this stock usually delivers over the same number of days.
implied move—
typical actual move—
implied ÷ actual—
volatility—
How often does price really finish inside?
A two-year scorecard on the most-traded names: a one-standard-deviation weekly range set every Friday, then checked against where price finished the next Friday, and whether it ever left the range during the week.
Symbol
Weeks
Finished inside
Stayed inside all week
Average range
Average actual move
Scroll here to load the scorecard.
Theory
about 68%
about 37%
What the expected move is, and what 68% really means
The range the options market prices between now and an expiration, usually one standard deviation either side of the price. The options market sets it; you read it off the chain.
1
68% is where it finishes, not where it travels
In a simplified bell-curve model, about 68% of outcomes finish inside one standard deviation at expiration.
It says nothing about the path. Price can poke outside on Wednesday and still finish inside on Friday.
In the same model, the odds of never trading outside the range all week are only about 37%, and each edge gets touched roughly a third of the time.
So a touch of the top or bottom mid-week is normal. It isn't the range failing.
2
Any expiration you like
The weekly move uses the coming Friday's expiration. A common monthly read uses the standard monthly about a month out.
It works best where the options market is deep and liquid: SPY, QQQ, big names like AAPL. Not a thinly traded penny stock.
3
Take the reading while the market is closed
For the weekly move, read the chain after Friday's close and before Monday's open, when prices are settled.
The dashboard's Friday close setting does the same thing: the range is anchored to that close all week.
Finish inside vs stay inside
Simplified normal model, one standard deviation each way.
Finishes inside at expirationabout 68%
Never trades outside before expirationabout 37%
Touches the top at some pointabout 32%
Touches the bottom at some pointabout 32%
Finishes past one edgeabout 16% each
Historical example · Fri June 3, 2022
The SPY numbers used below
Read off the chain from the reference video, recorded the weekend of June 4, 2022, for the June 10, 2022 expiration. These are not current prices.
SPY close, Friday June 3, 2022$410.54
ATM straddle (411 call + 411 put)$9.91
1σ ≈ straddle × 1.25±$12.39
1σ range to June 10, 2022$398.15 – $422.93
Walkthrough: why 68%, and the SPY example Animated · 5 steps
Why 68%
Four ways to read it off the chain
A straddle is the call and the put at the same strike. A strangle is a call and a put at two different strikes. Delta is roughly the market's odds an option finishes in the money.
4
The at-the-money straddle, × 1.25
Add the call and put at the strike nearest the price. SPY on June 3, 2022: the 411 call and 411 put, $9.91 on the ask.
The straddle isn't a full one-standard-deviation move. It's worth about 0.8 of one, because it prices the average size of the move, not its spread.
So a common approximation is expected move ≈ straddle × 1.25: $9.91 × 1.25 ≈ ±$12.39.
The straddle on its own covers roughly 58% odds. Handy, but narrower than the 68% range.
5
Straddle + first ITM strangle, ÷ 2
Add the first in-the-money call and put to the straddle, then halve the total. SPY: $9.91 + $10.47 = $20.38, ÷ 2 = $10.19.
In this example that matched the figure the platform showed. It's a rule of thumb that reproduces one platform's number, not a universal formula.
At $10.19 it sits closer to 0.8σ than a full 1σ, so its odds are nearer 59% than 68%.
6
The 16 delta strikes
Find the call and the put where delta is about 16. SPY: about $422.25 on top and $397.50 below.
That's about ±$12.4 on average, almost exactly the straddle × 1.25. The two methods agree on the 1σ range.
It also shows skew: $13.04 of room down and $11.71 up, because puts carry more implied volatility.
7
Implied volatility
Expected move ≈ price × implied volatility × √(calendar days to expiration ÷ 365).
SPY at $410.54 with 6 days to go and a $12.39 move implies about 24% annualized volatility.
The dashboard converts whichever method you fill in into an implied volatility, so you can line it up against realized volatility.
Historical example · Fri June 3, 2022
Four reads, one SPY chain
Six days to the June 10, 2022 expiration, every leg on the ask.
Straddle × 1.25 (1σ)±$12.39
16 delta strikes$397.50 – $422.25
Straddle alone (≈0.8σ)±$9.91
Straddle + strangle ÷ 2 (the platform's figure)±$10.19
Odds at expiration: 1σ / platform figure≈68% / ≈59%
Why platforms disagree
Brokers calculate their expected move differently: some show the straddle-based figure, some a blend like method 5, some a 1σ number from implied volatility. If yours looks small next to straddle × 1.25, it's probably showing a straddle-style number. Check how it's defined before you treat it as the 68% range.
Walkthrough: the straddle and the strangle on the chain Animated · 5 steps
Reading it off the chain
Walkthrough: the 16 delta strikes and skew Animated · 5 steps
Find 16 on both sides
Historical example · chains from Fri June 3, 2022, expiring June 10, 2022 · not current prices
SPY
QQQ
AAPL
Close, June 3, 2022
$410.54
$306.20
$145.38
ATM straddle
$9.91
about $10.17
$5.70
Straddle × 1.25 (1σ)
±$12.39
about ±$12.71
±$7.13
1σ range
$398.15 – $422.93
about $293.49 – $318.91
$138.25 – $152.51
16 delta range
$397.50 – $422.25
$293 – $318
about $137.50 – $153
Platform figure (÷ 2 read)
±$10.19
±$10.47 ($10.46)
±$6.06 ($5.98)
QQQ's straddle was only given as about 30¢ under the platform's figure, so its 1σ row is approximate. In all three, straddle × 1.25 lands right on the 16 delta range.
Walkthrough: SPY, QQQ and AAPL side by side Animated · 4 steps
Three chains, side by side
What to use it for
Context for the week, not a to-the-penny target, and not a signal on its own.
8
Draw it, then leave it
Two horizontal lines at the top and bottom, from Friday's close to expiration. Copy levels on the dashboard gives you both numbers.
Inside the range, the move is ordinary. Trade your levels and setups as usual.
9
A break isn't a reversal signal
Outside the range, a brand-new entry in the direction of the move is a chase: price has already gone further than the week was priced for.
That doesn't make it a fade. Strong trends, earnings and macro news can carry price well past the implied range and keep it there.
Wait for your own setup, such as a pullback to a level, rather than shorting the top or buying the bottom because a line got crossed.
10
Check the price of the range
Implied vs actual, above, tells you whether this week's range is wide or narrow for this stock.
Rich (well above its usual moves): premium is expensive, often ahead of an event. Cheap: moves past the range are likelier than 68% suggests.
Inside or outside?
One quick check before a new entry. The dashboard's alert does it for you while the page is open.
inside the rangeAn ordinary move
Nothing unusual is priced in yet. Trade your plan.
outside the rangeDon't chase, don't fade blindly
The priced move is done. Wait for a pullback or your own signal.
Walkthrough: one week against its expected move Animated · 5 steps
Outside the move, you're chasing
Questions
What is the expected move?
The range the options market is pricing for a stock between now and an expiration, usually quoted as one standard deviation either side of the current price. In a simplified normal model, price finishes inside a one-standard-deviation range about 68% of the time.
Does 68% mean price stays inside the range all week?
No. The 68% is roughly the chance price finishes inside the range at expiration. The chance it never trades outside the range before then is much lower, about 37% in the same model, because price can poke out and come back.
How do I calculate it from the at-the-money straddle?
Add the at-the-money call and put prices. The straddle is worth about 0.8 of a one-standard-deviation move, so a common approximation is expected move ≈ straddle × 1.25. The straddle on its own covers roughly 58% odds.
Is averaging the straddle and the ITM strangle the official formula?
No. Straddle plus the first in-the-money strangle, divided by two, reproduced one platform's figure in the SPY example, but it's a rule of thumb, not a universal formula. Different platforms calculate their expected move differently.
Is a break outside the expected move a reversal signal?
No. Outside the range a new entry in the direction of the move is a chase, but strong trends, earnings and macroeconomic news can carry price well beyond the implied range. Treat it as context and wait for your own setup.
How do I know whether options are pricing a big or small move?
Compare the implied move with the stock's actual moves over windows of the same length, which is what Implied vs actual does. If the implied move is bigger than about 68% of past moves, options are pricing more movement than usual; if it's smaller, less.
Is the data on this page live?
Prices come from a delayed market data feed, with the time and the delay shown under the chart. The options prices are the ones you type in, unless the site's data plan includes the options chain, in which case the dashboard fills them and says so. When live data isn't available the page switches to made-up example bars and labels them.
Related tools
Other ways the options market shows up on a chart.
It's not a target or a wall. It's how far the market is paying for price to go.
Read it after Friday's close, draw it, and let it tell you when a move is ordinary, when a new entry would be a chase, and whether this week's range is wide or narrow for the stock.
About 68% odds of finishing inside at expiration, about 37% of staying inside the whole way.
1σ ≈ ATM straddle × 1.25, which lines up with the 16 delta strikes.
Straddle + ITM strangle ÷ 2 is a platform-style rule of thumb.
Outside the range: don't chase, and don't fade it blindly.
Compare implied with actual before trusting the range.
For education; not advice and not a promise of profit. Odds use a simplified normal model with no drift; real returns have fat tails. Live prices are delayed stock data from Massive; options inputs are typed in unless the dashboard says it filled them from a live chain. The SPY, QQQ and AAPL figures are from the reference video's chains on Friday June 3, 2022 (published June 4, 2022), not current prices; individual leg prices and other chain rows in the walkthroughs are an illustrative split of those totals, and the week chart is made-up bars. Watch the reference video →