Probability & Forecasting
Expected Move Calculator
Calculate one- and two-standard-deviation price-move approximations from manual IV and DTE.
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Match the volatility clock to the horizon
With stock $80, annualized IV 30% and 14 calendar days under a 365-day convention, the simple one-standard-deviation scale is $80 × 0.30 × √(14/365) ≈ $4.70. A displayed interval around spot is a model summary, not a hard boundary or a price target.
Changing from 14 to 28 days increases that scale by √2, not by two. Mixing trading-day volatility and calendar-day time without a consistent convention changes the interpretation. For a lognormal model, exact quantiles can also be asymmetric in price space and depend on drift assumptions.
An event can concentrate much of the uncertainty into one night. A maturity-wide IV estimate does not isolate the earnings-only move, and a straddle premium describes different payoff arithmetic. Label which method is used when comparing an expected move with option breakevens.
Try lower and higher volatility inputs and consider outcomes outside the displayed interval. A nominal 68% normal-model range leaves probability outside it even when the model is correct; real distributions, gaps and estimation error can further change coverage.
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Reviewed . Examples are illustrative; verify exact contract and broker terms.
References: OIC: Black–Scholes assumptions; CME: time and volatility.
About this calculator
How to use this tool
Move size equals underlying price × annual IV × square root of calendar days / 365. The displayed bands are symmetric approximations, not exact lognormal quantiles.
A one-standard-deviation normal range is often associated with about 68% and two with about 95%; these are not guaranteed coverage for an actual stock. Large volatility or long horizons can produce a negative lower approximation, which is labelled outside the positive-price model.
Worked example
For $100 spot, 20% IV and 365 days, the one-SD approximation is $20 or 20%, giving $80–$120. Two SD gives $60–$140.
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Model references and conventions
365 calendar days per year. Continuous rates for theoretical pricing. All examples are illustrative.
