Expected Move Calculator
Estimate the expected move into expiry from spot, implied volatility and days remaining — the approximate one standard-deviation range.
Quick answer: The expected move is the approximate one-standard-deviation range the market implies for the underlying by expiry, estimated as spot × IV × √(days ÷ 365). This tool computes it and the 1σ and 2σ ranges.
How to use it
Enter the spot price, the implied volatility (annualised, %) and days to expiry. The tool estimates the expected (1σ) move as spot × IV × √(days/365) and shows the 1σ (~68% probability) and 2σ (~95%) ranges. It is an approximation that assumes a lognormal distribution.
Limitations of the Expected Move Calculator
What this tool does not model — read before relying on any number it shows:
- The 68% (1σ) and 95% (2σ) probabilities assume a normal/lognormal distribution; real index returns have fatter tails, so large moves happen more often than the ranges imply.
- It uses a single implied volatility you supply and holds it constant; in practice IV varies by strike (skew) and changes through the period.
- It scales by √(days/365) and ignores drift, dividends and event gaps (results, RBI policy), which can push actual moves well outside the band.
- It is a description of the market's implied range, not a forecast of direction or a probability you should trade on.
Frequently asked questions
What is the expected move?
It is the approximate one-standard-deviation range the option market implies the underlying will stay within by expiry, derived from implied volatility and time remaining.
How is the expected move calculated?
Approximately as spot × implied volatility × √(days to expiry ÷ 365). The result is the 1σ move; roughly 68% of the time the underlying is expected to finish within ±1σ.
What does the 2σ range mean?
Two standard deviations, roughly a 95% expected range. It is wider than 1σ and used to gauge less likely but still plausible outcomes by expiry.
Is the expected move a prediction?
No. It is the market's implied range from current option prices, not a forecast of direction. Actual moves can and do exceed it. It is descriptive, not advice.
Runs entirely in your browser — no data leaves your device. Illustrative and educational only; exchange rules and charges apply in practice.