What is the expected move?
The expected move is the size of the price swing the options market is pricing in over a given horizon — most often one day. Derived from at-the-money implied volatility, it gives an upper and a lower band around the current price that together mark the range the market considers roughly one standard deviation likely.
How it is derived
The expected move comes from the price of the nearest at-the-money options: the more the market pays for that straddle, the wider the implied range. VolStrata converts that implied volatility into a concrete upper and lower band around spot, so you can read the day's priced-in range directly instead of doing the arithmetic.
Because it is built from IMPLIED volatility, the expected move is forward-looking — it reflects what the market is willing to pay for protection right now, which rises into events and decays afterward.
How to read the bands
Roughly speaking, the market prices about a two-in-three chance that the close lands inside the expected-move bands, and about a one-in-three chance it finishes outside them. A quiet, positive-gamma day usually stays well within the range; a negative-gamma or event day is far more likely to test or break a band.
The bands are most powerful read together with the walls: when the call wall sits near the upper band and the put wall near the lower band, the two methods agree and the range is well defined.
How traders use it
The expected move sizes the day. Range traders fade the bands in calm regimes; breakout traders watch for a decisive push through a band as a sign the day's volatility is exceeding what was priced. It is also the natural yardstick for whether a move is 'big' — a move that clears the band is unusual by the market's own pricing.
FAQ
What is the expected move?
It is the one-day (or chosen-horizon) price range implied by options pricing — an upper and lower band around spot marking roughly a one standard-deviation move.
How is the expected move calculated?
It is derived from at-the-money implied volatility — essentially the price of the nearest straddle — converted into a band around the current price.
How often does price stay inside the expected move?
The market prices it at about a two-in-three chance of closing inside the bands, though calm positive-gamma days hold the range more reliably than event or negative-gamma days.
Educational, not financial advice.
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