Expected move formula
The approximation multiplies the current underlying price by annualized implied volatility in decimal form and the square root of days divided by 365. For a $100 stock with 30% IV over 30 days, the one-standard-deviation estimate is about $8.60, producing a range near $91.40 to $108.60.
Using 252 trading days instead of 365 produces a different value. Options volatility is conventionally annualized and calendar-time decay continues across weekends, so this calculator uses 365 and states that assumption explicitly.
What one standard deviation means
Under a simplified normal-distribution interpretation, roughly 68% of outcomes fall within one standard deviation and roughly 95% within two. Actual asset returns are not perfectly normal: gaps, skew, changing volatility and fat tails make extreme moves more common than a simple model suggests.
Implied volatility also contains risk premium and varies by strike and expiration. The selected IV should match the horizon and contracts being researched rather than an unrelated generic volatility number.
- Expected move is magnitude, not bullish or bearish direction.
- The estimate changes linearly with IV and nonlinearly with time.
- Event volatility can collapse after earnings or another known catalyst.
- Skew means the market may price upside and downside tails differently.
Expected move versus straddle pricing
Traders also approximate an event move from the price of an at-the-money straddle. That approach uses live option prices and may better reflect a specific expiration, though rules of thumb differ and bid/ask spreads matter. The volatility formula is useful when you want a consistent estimate from price, IV and time.
Neither method predicts the realized move. Compare assumptions, use current inputs and size risk for outcomes beyond the calculated range.