Expected move by ticker today
Live ranking of popular US stocks and ETFs by expected move percentage at ~30 DTE — the market-implied ±1σ price envelope derived from the ATM straddle. Higher EM% means the options market is pricing in a wider expected range, typically driven by upcoming earnings, elevated IV, or event risk.
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| # | Symbol | Spot | DTE | Exp. Move | EM % | ±1σ Range | Play |
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Loading leaderboard… Rankings hydrate from the /api/expected-move/leaderboard endpoint. | |||||||
How to read the leaderboard
Each row shows the market-implied expected move for one ticker at ~30 days to expiration. The EM % column is the most useful comparison metric: it normalizes the dollar-move across tickers with different price scales. A $5 move on a $50 stock (10%) is meaningfully bigger than a $5 move on a $500 stock (1%).
Sorted descending by EM % — the top of the table shows tickers where the options market is pricing in the widest expected ranges. This typically correlates with:
- Upcoming earnings within the 30-day window — markets price in the expected earnings-day gap.
- High baseline implied volatility — meme names, small caps, biotechs, and turnaround stories.
- Event risk — FDA decisions, legal outcomes, dilutive-offering rumors.
What "expected move" means in practice
Expected move (EM) is the options market's collective forecast of the one-standard-deviation range a stock is likely to close in by expiration. It's derived directly from option prices, so it embeds every trader's collective view on volatility, earnings, dividends, event risk, and macro exposure.
A stock trading at $100 with an expected move of $5 by 30 DTE means the market is pricing in a ~68% probability of closing between $95 and $105 by that expiration. A ±2σ move (~95% probability) doubles that: $90 to $110.
Why 68% and 95%?
Because option prices follow a log-normal probability distribution, and the ATM straddle price approximates one standard deviation of that distribution. In a normal distribution, ±1σ contains 68.2% of the probability mass and ±2σ contains 95.4%. Real markets deviate from log-normal (fat tails, skew), so these are approximations — not guarantees.
How it's calculated
Method 1: Straddle-based (industry standard)
The simplest and most-widely-used form is just the ATM straddle price:
Where ATM_call and ATM_put are the calls and puts nearest to the current spot price. Their mid prices (bid + ask) ÷ 2 sum to the price of a straddle — a portfolio that pays out proportional to |spot − strike|, i.e. the absolute deviation of the underlying from ATM.
The tastytrade tradition applies a 0.85 compression factor to better match realized moves after IV crush:
The 0.85 heuristic reflects that IV historically over-predicts realized moves, especially around earnings. Both are shown in the API response so you can compare.
Method 2: IV-derived (academic form)
Using the ATM implied volatility directly:
Where DTE is days to expiration and 252 is the trading-day year convention. Some derivations use 365 (calendar-day year) instead; both are defensible. The straddle-based method is generally preferred because it uses actual traded prices rather than model-implied IV.
Choosing between methods
- Straddle-based: More reliable during liquid market hours. Uses real quotes. Preferred for near-DTE (7-45 day) analysis.
- IV-derived: More robust after hours or when straddle quotes are wide/stale. Preferred for far-DTE (60-180 day) analysis where straddles get illiquid.
- Best practice: Show both. When they diverge by more than ~10%, one of the inputs (either the straddle quote or the ATM IV) is stale or inaccurate.
How to use expected move in your strategy
For covered-call sellers
The upper ±1σ band is a natural strike-selection anchor: writing a call at or above +1σ means you're pricing in roughly 16% probability of assignment. That's a common sweet spot between yield capture and giving up upside. Writing inside the ±1σ band (below +1σ) increases assignment probability but also increases premium.
For cash-secured put sellers
Similarly, the lower ±1σ band anchors put strike selection. Selling a put at −1σ prices in ~16% assignment probability at that strike. Puts sold beyond −2σ collect thinner premium but have <3% assignment probability, useful for capital-preservation-focused income strategies.
For iron condor traders
The classic condor "sell just outside ±1σ" heuristic uses this leaderboard directly. Widening to ±1.25σ or ±1.5σ trades tighter POP for thinner credit; tightening to ±0.75σ trades higher credit for lower POP. See the Iron Condor Sweeper for the site's implementation of this ranking.
For straddle and strangle traders
The expected move IS the price of a straddle. If you believe realized volatility will exceed implied — i.e., the actual move will exceed the current EM — you buy the straddle. Historical event studies (this site's Earnings Volatility Screener) show which tickers historically over- or under-realize their expected move around specific catalysts.
For portfolio risk management
Sum ±1σ per position across your portfolio to get a rough estimate of one-standard-deviation portfolio dollar-value swing at expiration. This is a much better risk gauge than beta-adjusted delta for options-heavy portfolios because it accounts for actual optionality (convexity, vega, gamma).
Frequently asked questions
What is expected move?
Expected move (EM) is the market's implied ±1σ price move for a stock over a specified time horizon. The industry-standard shortcut computes it from the ATM straddle: EM ≈ ATM_call + ATM_put. A more academic form uses IV: EM = Spot × ATM_IV × √(DTE/252). Both express the price range where the underlying is priced to close approximately 68% of the time by expiration. See the Expected Move glossary entry for the canonical definition.
How is expected move different from historical volatility?
Historical volatility is realized — it measures how much the stock actually moved in the past. Expected move is implied — it's derived from current option prices and reflects the market's forward-looking view of future volatility. They often diverge; when they do, the divergence itself is tradeable (long vol if implied < expected realized; short vol if implied > expected realized).
What is a 1σ and 2σ expected move?
±1σ (one standard deviation) is the expected move itself — the market prices approximately 68% probability of closing inside that band by expiration. ±2σ doubles the width and represents approximately 95% probability. Traders use 1σ for typical setups (short strangles, iron condors) and 2σ for wide safety bands (defensive covered calls, out-of-the-money CSPs).
Why do straddle-based and IV-based EM sometimes give different numbers?
They should match closely when option quotes are fresh and liquid. Divergences usually indicate: (1) wide bid-ask spreads on the ATM straddle inflating the straddle-based number, (2) stale IV data from a slow-updating IV surface, (3) unusual pin risk or dividend adjustments distorting the ATM strike. On this site both are exposed so you can flag the divergence.
Does expected move guarantee the stock will stay in that range?
No. Expected move is a probability distribution parameter, not a hard boundary. ±1σ contains ~68% probability, which means ~32% of the time the actual move exceeds that band (16% higher, 16% lower). Tail events happen. Fat-tailed distributions (which real markets exhibit) put more probability in the extreme tails than the log-normal model assumes.
How does expected move change over time?
EM scales with the square root of time: doubling the DTE increases EM by √2 (about 1.41×). This is why the cone chart on the calculator pages widens over time. Also, IV changes (particularly around earnings) can independently inflate or crush EM without any change in the underlying.
Which tickers are on the leaderboard?
A curated universe of ~30 highly liquid US stocks and ETFs: SPY, QQQ, mega-cap tech (AAPL, MSFT, NVDA, META, GOOGL, AMZN), semis (AMD, ARM, SNOW), meme/high-beta (AMC, GME, RIVN, LCID), fintech (SOFI, PYPL, COIN, SQ), and select high-vol names (MSTR, PLTR, BABA). Universe expands as new tickers accumulate history.
How is this different from the earnings-move forecast?
Expected move is a general-purpose ±1σ envelope at any DTE horizon (7, 30, 60, 90 days). The earnings-move forecast on the Earnings Volatility Screener is specifically the EM for the expiration immediately after a scheduled earnings announcement — a specialized subset used to time IV crush entries. Both use the same underlying math (straddle-based) but for different horizons.
Related tools
- Covered Call Calculator — enter a ticker and see the expected move cone with your strike overlaid to gauge if you're inside or beyond ±1σ.
- Cash-Secured Put Calculator — same treatment for CSPs.
- IV Rank Leaderboard — complementary vol-regime metric. High EM + high IVR = rich premium environment for short-vol strategies.
- Iron Condor Sweeper — ranks condors by relative width vs EM.
- Earnings Volatility Screener — expected-move focus on earnings-week setups.
- Expected Move glossary entry — canonical definition with worked example.
Data source: Polygon.io options chains (delayed ~15 min). Methodology documented on the methodology page. This is educational content, not investment advice — see the full disclaimer.