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What is an option's expected move, in plain words?

The expected move is the size of move in the stock, by an expiry date, that option prices assume: implied volatility, which is quoted as a yearly figure, scaled to that time by the square root of time 1. One expected move either way is one standard deviation, which covers about 68% of a normal distribution 2. It is what the prices assume, not a forecast.

A $50 stock (made-up). Change the implied volatility and the days to expiry.

Source: the StrikePath engine, pricing with the Black–Scholes formula 3 at 4.3% interest a year; a simulated example, not market prices. For learning; not advice.

The arithmetic

Multiply the stock's price by the implied volatility and by the square root of the time in years 1. At 30% a year and 30 days: 30% × √(30/365) is about 8.6%, so about $4.30 either way on a $50 stock, roughly $45.70 to $54.30. It is a close approximation for short dates; the picture works out the share inside the range from the formula itself.

Against option prices

By the formula, the $50 call with 30 days left at 30% costs $1.80 and the $50 put $1.63 3: together, a straddle, $3.43, about 80% of the one-standard-deviation move of $4.30 (an average move is smaller than one standard deviation). A straddle's break-evens sit that far either side of the strike 4.

What this shows, and what it doesn't

A rule of thumb from one volatility and no dividend. Real option prices differ in implied volatility across strikes 5, so the move a market assumes isn't one number.

Go further

What is implied volatility? →The volatility behind the move.What is the break-even price of an option? →The move one option needs.
Sources (5), checked 20 October 2026 and 27 October 2026
  1. CME Group, “Understanding Options Volatility” (Introduction to Options course). Read it (read 20 October 2026)
  2. David M. Lane, “Areas Under Normal Distributions”, Online Statistics Education (onlinestatbook.com). Read it (read 20 October 2026)
  3. Fischer Black and Myron Scholes, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81(3), 637–654, 1973. Read it (read 20 October 2026)
  4. The Options Industry Council, “Long Straddle”. Read it (read 27 October 2026)
  5. CME Group, “Implied Volatility”. Read it (read 20 October 2026)

Now try it on a scenario of your own

Pick where a simulated stock might be, and by when: drag one dot and see, side by side, what buying shares, one option, or a pair of options (a call or put spread) would each do. Free, no sign-up.

Check a trade before you make it →