Options calculator
Options expected move calculator
Estimate the move an option is pricing in before expiry, from implied volatility and days remaining.
Implied volatility is quoted as an annual figure, which is not the number a short dated trade needs. The expected move converts it: given this implied volatility and this many days, roughly how far does the market expect the underlying to travel?
It is an approximation drawn from the standard lognormal assumption, and it prices one standard deviation, which means the actual move stays inside that range around two thirds of the time.
Notes
- Price stays inside the one standard deviation range roughly two thirds of the time, which means it leaves it often enough to matter.
- Compare the expected move against the range your symbol usually covers. If the option prices a move the symbol rarely makes, the premium is doing the talking.
- Weekend days count as calendar days here, which is why a Friday to Monday option decays the way it does.
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