Expected Move (Implied Move)

The calculation starts from the at-the-money call and put for the target expiration. Their combined premium, adjusted by a standard multiplier, converts into a dollar range around the current price, roughly a one-standard-deviation move under the market's own assumptions. Because it comes directly from live option prices, expected move updates continuously as those prices shift, rising when implied volatility climbs and shrinking as it falls, independent of whether the underlying stock has actually moved at all.

The most common use is comparing expected move against a stock's own historical realized move around the same kind of event, usually earnings. If a name's options are pricing in an 8% expected move into its report, but the stock has only actually moved an average of 5% over its past eight reports, options are running rich relative to history, meaning volatility looks overpriced for what the stock has typically delivered. The reverse case, a small expected move against a name with a history of large post-earnings gaps, flags options that look cheap for the risk actually on the table.

Expected move is a market-implied estimate, not a hard ceiling. Stocks regularly move outside their expected range, and a rich-versus-history reading doesn't guarantee the options are actually mispriced. It could simply mean this particular quarter carries more genuine uncertainty than the trailing average suggests, a new product launch or a guidance change on the table that the historical sample never had to price in. It also only captures a one-standard-deviation range under a rough normal-distribution assumption, so it understates the odds of a real tail event, exactly the kind of move that tends to blow through the implied range when it does happen.

Take a stock at $210 heading into earnings with an at-the-money straddle pricing in a $14 expected move, implying a range of roughly $196 to $224. If that same stock has averaged only a 4.5% actual move, about $9.45 at that price, across its last six reports, the current $14 expected move looks rich against its own history, a RICH tag in a screener built around this comparison. A different name at $60 pricing in only a $2 expected move ahead of a report that has produced 8%+ swings twice in the last four quarters would flag the opposite way: CHEAP relative to its track record.