Expected Move Calculator

The expected move is the 1-standard-deviation price range the options market is pricing into a given expiration. This calculator computes it from at-the-money implied volatility (σ × S × √T) and cross-checks with the ATM straddle method (≈ 1.25 × straddle, the Brenner-Subrahmanyam 1988 identity). Under Black-Scholes assumptions the two methods agree to high precision; deviations in real markets reflect carry, discounting, and skew adjustments.

The 1σ range brackets roughly 68% of the implied terminal distribution; the 2σ range brackets ~95%. Real equity returns are fat-tailed, so both buckets understate the probability of large adverse moves — use the computed ranges as market-implied guide rails, not as probabilistic guarantees.