State Street SPDR Portfolio S&P 500 ETF (SPYM) Expected Move
Expected move estimates the probable price range for a given period based on at-the-money options pricing. It reflects the market consensus for volatility over the selected timeframe.
State Street SPDR Portfolio S&P 500 ETF (SPYM) operates in the Financial Services sector, specifically the Asset Management industry, with a market capitalization near $4.8M, listed on AMEX, carrying a beta of 1.01 to the broader market. The State Street SPDR Portfolio S&P 500 ETF seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P 500 Index (the "Index")A low-cost ETF that seeks to offer precise, comprehensive exposure to the US large cap market segmentThe Index represents approximately 80% of the US marketOne of the low-cost core State Street SPDR Portfolio ETFs, a suite of portfolio building blocks designed to provide broad, diversified exposure to core asset classes Led by Gary L. French, public since 2005-11-15.
Snapshot as of May 15, 2026.
- Spot Price
- $87.10
- Expected Move
- 4.5%
- Implied High
- $91.00
- Implied Low
- $83.20
- Front DTE
- 34 days
As of May 15, 2026, State Street SPDR Portfolio S&P 500 ETF (SPYM) has an expected move of 4.47%, a one-standard-deviation implied price range of roughly $83.20 to $91.00 from the current $87.10. Expected move is derived from at-the-money straddle pricing and represents the market's pricing of a ±1σ move. Roughly 68% of outcomes should fall within this range under lognormal assumptions, though empirical markets have fatter tails.
SPYM Strategy Sizing to the Expected Move
With State Street SPDR Portfolio S&P 500 ETF pricing an expected move of 4.47% from $87.10, risk-defined strategies sized to the implied range structurally target the modal outcome distribution. Iron condors with wings at the ±1σ expected move boundaries collect premium against the ~68% probability that spot stays inside the range under lognormal assumptions; strangles set wider at ±1.5σ or ±2σ target the tails but pay smaller per-trade premium. Long-vol structures (long straddles, ratio backspreads) profit when realized move exceeds the implied move, the inverse trade: they bet against the lognormal assumption itself, capitalizing on the empirically fatter equity-return tails.
Learn how expected move is reported and how to read the data →
Per-expiration expected move for SPYM derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $87.10 × (1 ± expected move %). One standard-deviation range under lognormal assumptions, roughly 68% of outcomes fall inside.
| Expiration | DTE | ATM IV | Expected Move | Implied High | Implied Low |
|---|---|---|---|---|---|
| Jun 18, 2026 | 34 | 15.6% | 4.8% | $91.25 | $82.95 |
| Jul 17, 2026 | 63 | 16.1% | 6.7% | $92.93 | $81.27 |
| Sep 18, 2026 | 126 | 17.2% | 10.1% | $95.90 | $78.30 |
| Dec 18, 2026 | 217 | 18.0% | 13.9% | $99.19 | $75.01 |
| Jan 15, 2027 | 245 | 18.5% | 15.2% | $100.30 | $73.90 |
| Jan 21, 2028 | 616 | 19.8% | 25.7% | $109.50 | $64.70 |
Frequently asked SPYM expected move questions
- What is the current SPYM expected move?
- As of May 15, 2026, State Street SPDR Portfolio S&P 500 ETF (SPYM) has an expected move of 4.47% over the next 34 days, implying a one-standard-deviation price range of $83.20 to $91.00 from the current $87.10. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the SPYM expected move mean for traders?
- Roughly 68% of outcomes should fall within ±1 expected move and 95% within ±2 under lognormal assumptions, though equity returns have empirically fatter tails than log-normal predicts. Strategies sized to the expected move (iron condors at ±1σ, strangles at ±1.5σ) target the typical outcome distribution; strategies that profit from tail moves (long-vol structures, ratio backspreads) target the tails the lognormal model under-prices.
- How is SPYM expected move calculated?
- The expected move displayed here is derived from at-the-money implied volatility scaled to the chosen tenor: expected move % is approximately ATM IV times sqrt(T / 365), where T is days to expiration. An equivalent straddle-based form: the ATM straddle (call + put at the same strike) is roughly sqrt(2/pi) times spot times IV times sqrt(T/365), so the implied one-standard-deviation move is approximately 1.25 times ATM straddle divided by spot. The two formulations agree once the sqrt(2/pi) constant is reconciled.