The expected move is the one-standard-deviation range the options market prices for a stock through a given expiration: stock price times implied volatility times the square root of the time left. Under the model, about two-thirds of outcomes land inside it.
The expected move turns an option chain's implied volatility into a price range for one expiration. It is the options market's own price of movement, quoted in dollars instead of a volatility percentage, so it can be compared directly with strikes, past moves and the stock's chart.
Expected move = stock price x implied volatility x the square root of (days to expiration / 365).
A $100 stock with 30% implied volatility and 30 days to expiration:
The square root is why a week is not a quarter of a month: the 7-day move is about half the 30-day move, not a quarter of it. The expected move calculator runs the same arithmetic for any price, volatility and horizon.
The at-the-money straddle price is the quick market read. On the example stock, the 30-day 100 call and 100 put cost about $3.59 and $3.26, a $6.85 straddle.
That is smaller than the $8.60 standard deviation, and the gap is not an error. The straddle prices the average size of the move in either direction, which under the model is about 0.8 of one standard deviation ($6.85 / $8.60 = 0.80). Some traders quote the straddle itself as the expected move, some scale it by about 85 percent to isolate an event, and some convert it to a standard deviation. Two published "expected moves" for the same stock can differ for exactly this reason, so it is worth checking which convention a number uses.
Measuring distance in expected moves makes strikes comparable across stocks. A strike $5 away means little by itself; a strike 1.2 expected moves away carries roughly the same implied odds on any stock. A short strike near one standard deviation out sits near the conventional 16 delta: in the example, the model gives about a 17 percent chance of finishing above $108.60, and the call there carries a delta of about 0.19. Careful placement rules compute the move for the trade's own expiration from the larger of implied and recent realized volatility, so the ruler cannot understate a stock that is moving faster than its options price. The reasoning is in delta bands for short strikes, and the price cone draws the same arithmetic across every date to expiration.
Multiply the stock price by the implied volatility and by the square root of the days to expiration divided by 365. A $100 stock with 30 percent implied volatility and 30 days left has a one-standard-deviation expected move of about $8.60.
The at-the-money straddle prices the average size of the move in either direction, which under the pricing model is about 0.8 of one standard deviation. On the example stock the straddle costs about $6.85 against an $8.60 standard deviation.
About 68 percent under the model's normal distribution for one standard deviation, and about 95 percent for two. Real returns have fatter tails, so large moves outside the range happen more often than the model implies.