See the expected move priced into any symbol

What this recipe computes

• Per-expiry at-the-money implied volatility, OI-weighted over the near-50Δ band.
• The one-standard-deviation move: spot × IV × √(DTE/365).
• The implied range low and high for each expiry.

What it does not claim

• It is not a forecast — it is what the option market is charging.
• The implied range runs systematically wider than what tends to be realised.
• Roughly a 2-in-3 chance of settling inside the range, and only if vol is realised as priced.

How to read it

1. Step 1

   Type a symbol

   Each upcoming expiry is priced off its own ATM implied volatility, not a single 30-day reading.

2. Step 2

   Read the near expiry

   A weekly expiry priced far above its neighbours usually means a dated event sits inside that window.

3. Step 3

   Compare to what happened

   Implied Move vs Realized Move shows how the charged range has compared with outcomes.

Frequently asked questions

Why not just use 30-day IV for every expiry?

Because a 3-day and a 90-day expiry are rarely priced at the same volatility. This reads each expiry’s own at-the-money IV, so a weekly reflects weekly vol.

Is the expected move a prediction?

No. It is the range the option market is charging for. The volatility risk premium means that range is usually wider than what actually gets realised.

Related glossary

• IV RankIV Rank places today’s implied volatility between its recent high and low so “expensive” or “cheap” is relative to that underlying’s history.
• IV crushIV crush is a sharp drop in implied volatility after uncertainty resolves, often after earnings. Premium can fall even when the stock moves your way.
• Moneyness (ITM / ATM / OTM)Moneyness labels a contract relative to spot: in-the-money (ITM), at-the-money (ATM), or out-of-the-money (OTM).

Related personas

• Unusual Options Activity for Earnings TradersEarnings compress time: IV expands, strikes get loud, and bad filters get expensive. Rank unusual activity, then check whether flow sits in the event expiry.
• GEX and Options Flow for Volatility TradersVol traders live in regimes. GEX and IV set the weather; flow shows whether customers are paying for convexity or harvesting premium now.
• Options Flow for Options SellersSelling premium works until you short the strike the tape is attacking. Flow and walls help you see where demand is concentrated before you choose short strikes.

Related recipes

• Implied vs realizedCompare a scaled IV30 move to what price actually did, without pretending IV30 is a 5-day vol surface.
• Vol surfaceSee whether options are rich or cheap on the surface before you sell or buy premium.
• IV rank boardAnswer "whose implied vol is rich right now" without already knowing which symbol to check.