Home › Templates › Expected move spreadsheet

Expected Move Spreadsheet: Options Expected Move Calculator for Excel

A free expected move calculator spreadsheet for Excel and Google Sheets. Type a stock price, the implied volatility and the expiry date to get the one- and two-standard-deviation price range. Add the at-the-money call and put to compare it with the straddle method. An earnings tab pulls the implied earnings move out of two expiries, and a 50-ticker watchlist ranks your list by expected move.

Use it in Google Sheets: choose File → Import → Upload in Sheets and pick the .xlsx, or upload it to Google Drive and open it with Google Sheets. No sign-up, no email gate, no add-in, no live data feed: you type the prices and IVs from your broker's option chain.

±$9.91EXA 1-SD move to expiry (IV method, 35 days)

$90.09 – $109.91EXA 1-SD range (about 68% in a normal model)

$9.901-SD move implied by the $7.90 straddle

±10.86%EXB implied earnings move (front vs back IV)

8 of 11logged past reports that stayed inside the implied move

Ticker	Price	IV	Days	1-SD move	1-SD %	1-SD range	Straddle	Straddle ÷ IV move
EXA	$100.00	32%	35	$9.91	±9.91%	$90.09 – $109.91	$7.90	0.797
EXB	$50.00	85%	7	$5.89	±11.77%	$44.11 – $55.89	$4.68	0.795
EXC	$212.40	38%	35	$24.99	±11.77%	$187.41 – $237.39	$19.94	0.798
EXD	$18.75	70%	35	$4.06	±21.68%	$14.69 – $22.81	$3.24	0.797
EXE	$75.00	22%	63	$6.86	±9.14%	$68.14 – $81.86	$5.45	0.795
EXF	$9.40	95%	35	$2.77	±29.42%	$6.63 – $12.17	$2.40	0.868
EXG	$140.00	30%	35	$13.01	±9.29%	$126.99 – $153.01	$13.20	1.015
EXH	$33.10	41%	14	$2.66	±8.03%	$30.44 – $35.76

Dark bar: ±1 SD. Light bar: ±2 SD. Gold ticks: ± the straddle price. Row shaded red: straddle and IV disagree (EXG).

What an expected move is

An expected move is the price range that option prices imply for a stock by a given expiry date. It comes from implied volatility. The Options Industry Council (OIC) defines it this way:

"Implied Volatility is a measure of how much the marketplace expects the asset price to move based on the price of the option."OIC, Volatility & the Greeks

Volatility itself is a standard deviation. OIC: "We denote the official mathematical value of volatility as 'the annualized standard deviation of a stock’s daily price changes.'" So an expected move is a one-standard-deviation (1-SD) move, scaled from one year down to the days left before expiry.

IV rises and falls with the news cycle. OIC's page on vega says: "Implied volatility tends to increase when there is uncertainty or anticipated news, while it tends to decrease in times of calm." (OIC, Vega) The SEC's investor site lists volatility as one of three things that set an option's price: "the underlying stock price in relation to the strike price, (ii) the length of time until the option contract expires, and (iii) the price volatility of the underlying stock." (Investor.gov, Introduction to Options)

Not a forecast. An expected move describes how big a move the market is paying for, not which way it will go. Cboe: "options pricing generally does not imply the direction of a reaction – just how much the stock is expected to move in either direction." (Cboe Insights, 30 Jul 2025) Prices often end outside the range.

Method 1: expected move from implied volatility

1-SD move = price × IV × √(calendar days to expiry ÷ 365)

Example (EXA, fictional): $100.00 × 32% × √(35 ÷ 365) = $9.91, or 9.91% of the price. The 1-SD range is $90.09 to $109.91; the 2-SD range is $80.18 to $119.82.

The shares come from the normal curve: 2 × N(1) − 1 = 68.27% and 2 × N(2) − 1 = 95.45%. For any other share, the file uses z = NORMSINV((1 + p) ÷ 2). The lognormal row uses price × e^±IV√T: prices move in percent terms, so the downside step is a little smaller than the upside step.

365 calendar days or 252 trading days?

Trading-day version: 1-SD move = price × IV × √(trading days to expiry ÷ 252)

The calendar version spreads volatility over every day of the year, weekends included. The trading-day version assumes the price only moves on the roughly 252 days the market is open. Use the one that matches how your platform annualises IV; many quote it on calendar days.

• Over several weeks they are close. EXA has 35 calendar days and 24 trading days (25 weekdays minus the US Thanksgiving holiday, typed in the override cell): $9.91 vs $9.88.
• Over a weekend they are not. Friday close to Monday close is 3 calendar days but 1 trading day. At $100 and 32% IV: √(3 ÷ 365) gives $2.90, √(1 ÷ 252) gives $2.02.

The spreadsheet shows both and the gap between them. Weekday counts use NETWORKDAYS, which does not know market holidays, so the Calculator tab has an override cell.

Method 2: expected move from the at-the-money straddle

Straddle = ATM call (mid) + ATM put (mid), same strike and expiry

A long straddle pays off by the size of the move in either direction, so its price is what the market charges for movement until expiry. Many traders read the straddle price itself as the expected move. In the example, $4.05 + $3.85 = $7.90, a range of $92.10 to $107.90.

Why the straddle is about 0.8 of a standard deviation

The straddle pays the absolute move, so its fair value is close to the average absolute move. For a normal distribution, the average absolute deviation is σ × √(2 ÷ π) ≈ 0.798 σ. That gives two conversions:

straddle ≈ 0.798 × 1-SD move   ⇔   1-SD move ≈ straddle × √(π ÷ 2) ≈ 1.2533 × straddle

EXA: $7.90 × 1.2533 = $9.90, almost the same as the IV method's $9.91. The ratio straddle ÷ IV move is 0.797. When the ratio is far from 0.80, the file flags it: a stale quote, a strike far from the price, or a mistyped IV. In the preview, EXG shows a ratio of 1.015. This is an approximation: it ignores interest rates and dividends and assumes the strike sits at the price. A Black-Scholes check at 32% IV and 35 days gives 0.0790 × price vs 0.0791 from the shortcut.

Where the 0.85 × straddle rule comes from

Several options sites quote "expected move ≈ 85% of the straddle". No exchange or regulator publishes this rule; it is a rule of thumb. The normal-model math explains what it measures:

• 0.85 × straddle ≈ 0.85 × 0.798 σ = 0.678 σ.
• The median absolute move of a normal distribution is 0.674 σ: half of outcomes land inside it.
• So 0.85 × straddle marks roughly a 50/50 range (normal-model share inside: 50.2%), not the 68% one-standard-deviation range.

Cboe uses the same idea in a different form. Its July 2025 earnings note says it converted standard deviations "into an expected move using a 2/3 rule of thumb to estimate the highest probability point" (Cboe). Two-thirds of a standard deviation (0.667 σ) sits next to 0.674 σ and 0.678 σ. The spreadsheet shows the 0.85 band ($93.28 – $106.72 for EXA) next to the full straddle and the 1-SD band, so you can see all three.

Earnings implied move: the move priced for one report

Before a report, the nearest expiry carries extra volatility for that one day. Cboe describes the approach: "Mathematically, a comparison between near-term volatility and longer-dated volatility results in the expected standard deviation for the post-earnings day." (Cboe Insights) The file uses the standard total-variance split.

front IV² × Tf = base² × Tf + E   and   back IV² × Tb = base² × Tb + E

E = Tf × Tb × (front IV² − back IV²) ÷ (Tb − Tf)  ·  implied event move = √E

ex-earnings IV (base) = √[(back IV² × Tb − front IV² × Tf) ÷ (Tb − Tf)]

T is calendar days ÷ 365 for each expiry. The front expiry is the first one after the report; the back is the next one. The split assumes one event day and the same ordinary volatility in both expiries.

Worked example (EXB, fictional): price $50.00, report on 19 Nov 2026 after the close. Front expiry 7 days at 85% IV, back expiry 35 days at 48% IV.

1. Tf = 7 ÷ 365 = 0.019178; Tb = 35 ÷ 365 = 0.095890.
2. E = 0.019178 × 0.095890 × (0.85² − 0.48²) ÷ (0.095890 − 0.019178) = 0.011797.
3. Implied event move = √0.011797 = ±10.86%, or ±$5.43: a range of $44.57 to $55.43.
4. Ex-earnings IV = 32.8%: the volatility left once the event is taken out.
5. Average absolute event move ≈ 10.86% × 0.798 = 8.67%. Compare this with the average of past moves (7.28% for the four logged EXB reports).

If the front IV is not above the back IV, there is no event premium to extract, and the row says so. If the ex-earnings variance comes out below zero, the IVs are not consistent with one event day and the base IV shows "below 0".

Compare with past actual moves you log

The log table holds up to 60 past reports for any tickers: the close before, the close after, and the implied move you noted before the report. The file computes the actual move, whether it stayed inside, and the per-ticker averages used above.

In this fictional log, 8 of 11 moves stayed inside the implied move logged before the report and 3 did not. The largest miss is EXD on 2026-09-10: +16.98% against ±12.0% implied. A small log says little. Treat it as a record, not a hit rate to rely on.

What's inside the spreadsheet

How to use it

1. Open the option chain at your broker. Pick an expiry. Note the stock price, the at-the-money IV for that expiry, and the mid price of the call and put at the strike closest to the price.
2. On the Calculator tab, type them in the yellow cells. Type IV as a percent: 32%, or 0.32. A value like 32 is rejected.
3. Leave the trading-day cell blank unless a market holiday falls before expiry; then type the count.
4. Read the 1-SD move and bands. If the check says the two methods disagree, recheck the strike, the quotes and the IV.
5. On the Earnings tab, type the report date, the front and back expiries and their IVs. After each report, log the closes before and after.
6. On the Watchlist tab, add one row per ticker. Row status must say OK; otherwise it names what to fix.
7. Check the Dashboard for the cone chart and the summaries.

The formulas in the file

These are the actual formulas from the Calculator tab (cells shortened to names) and the Earnings and Watchlist rows:

All formulas work in Excel 2016 and later, Google Sheets and LibreOffice. No macros, no XLOOKUP, LET or dynamic arrays.

Worked example from the sample data

EXA (fictional): price $100.00, IV 32%, as-of 13 Nov 2026, expiry 18 Dec 2026, ATM 100 call $4.05 and put $3.85.

In the watchlist, EXF has the largest 1-SD move in percent terms (±29.4% at 95% IV), and EXH the smallest (14 days to expiry).

Common mistakes

• Typing IV as 32 instead of 32%. The result is 100 times too large. The file rejects values above 500%.
• Mixing expiries. The IV, the straddle and the days must all belong to the same expiry.
• Using a strike far from the price. The straddle then includes intrinsic value and overstates the move. The Calculator shades the strike distance red above 2.5%.
• Reading the straddle as a 1-SD move. In a normal model it is about 0.8 SD; 1 SD ≈ 1.25 × straddle.
• Using last-trade prices. Use the mid of bid and ask; last trades can be stale.
• Treating the range as a forecast. It is the market's price for movement. Stocks often close outside it.
• Using the wrong expiries for earnings. The front must be the first expiry after the report, not before it.

Limits

• You type prices and IVs; there is no live feed. Results are only as good as the quotes.
• Bands use a normal model. Real returns have fatter tails and skew, so large moves happen more often than 2 SD suggests.
• Interest rates, dividends, early exercise and volatility skew are ignored.
• Weekday counts do not remove market holidays; use the override.
• The earnings split assumes one event day and the same ordinary volatility in both expiries. Other events (index rebalances, macro releases) in the front expiry inflate the result.

FAQ

How do you calculate the expected move of a stock?

Multiply the stock price by the implied volatility and by the square root of the time to expiry in years: price × IV × √(days ÷ 365). That gives a one-standard-deviation move. In the example, a $100.00 stock with 32% IV and 35 days to expiry has a 1-SD move of $9.91, a range of $90.09 to $109.91.

How do you calculate the expected move from the straddle?

Add the mid prices of the at-the-money call and put with the same strike and expiry. The total is what the market charges for a move in either direction. In a normal model the straddle is about 0.798 of a one-standard-deviation move, so 1 SD ≈ 1.25 × straddle. Example: a $7.90 straddle points to a 1-SD move of $9.90.

Why do traders multiply the straddle by 0.85?

It is a rule of thumb, not a published exchange formula. The math behind it: if the straddle equals the average absolute move (0.798 SD in a normal model), then 0.85 × straddle ≈ 0.678 SD. That is close to the median absolute move (0.674 SD), the move with even odds of being exceeded. So 0.85 × straddle marks roughly a 50/50 range, not a 68% range.

How do you calculate the implied move for earnings?

Use two expiries: the first one after the report (front) and the next one (back). Total variance is IV² × time. Assume both expiries share the same ordinary volatility and the front holds one extra event. Then event variance = Tf × Tb × (front IV² − back IV²) ÷ (Tb − Tf), and the implied event move is its square root. In the fictional EXB example, 85% front IV (7 days) and 48% back IV (35 days) give ±10.86%.

Should I use 365 or 252 days for the expected move?

Match the convention used to quote the IV. Many platforms annualise IV over calendar days, so price × IV × √(calendar days ÷ 365) is the usual choice. The trading-day version, √(trading days ÷ 252), assumes prices only move on trading days. Over weeks the two are close; over a weekend or a holiday they differ more. The spreadsheet shows both.

How accurate is the expected move?

It is a market price turned into a range, not a forecast, and it says nothing about direction. Cboe notes that "options pricing generally does not imply the direction of a reaction". Stocks often move more than the expected move, and real returns have fatter tails than the normal model. The earnings log in the file lets you see how often your own tickers stayed inside the implied move.

Related tools and templates

• Black-Scholes calculatorOption price and IV inputs
• Options Greeks spreadsheetDelta, gamma, theta, vega
• Options profit spreadsheetP/L at expiry by strategy
• Options profit calculatorPayoff for one trade
• Covered call calculatorReturn on a covered call
• Position size calculatorShares for a set risk
• Trading journalLog every trade
• All templatesFree spreadsheets

Educational template only, not investment advice. An expected move is not a prediction and implies no direction; prices often move beyond it. Options can lose all of the premium paid, and some positions can lose more. Example data is fictional: tickers EXA to EXH, prices, IVs, dates and past moves are made up to show the formulas and are not market data. Sources: OIC, Volatility & the Greeks (optionseducation.org) and Vega (optionseducation.org); Investor.gov, Introduction to Options (investor.gov); Cboe Insights, What Options Data May Indicate About Mag 7 Earnings, 30 Jul 2025 (cboe.com). Retrieved 12 November 2026.