iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) 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.
iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) operates in the Financial Services sector, specifically the Asset Management - Leveraged industry, with a market capitalization near $31.2M, listed on CBOE, employing roughly 93,000 people, carrying a beta of -0.97 to the broader market. These iPath Series B S&P 500 VIX Mid-Term Futures ETNs are structured to track the S&P 500 VIX Mid-Term Futures Index Total Return. public since 2018-01-17.
Snapshot as of Sep 30, 2026.
- Spot Price
- $45.52
- Expected Move
- 8.5%
- Implied High
- $49.37
- Implied Low
- $41.67
- Front DTE
- 16 days
As of Sep 30, 2026, iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) has an expected move of 8.46%, a one-standard-deviation implied price range of roughly $41.67 to $49.37 from the current $45.52. 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.
VXZ Strategy Sizing to the Expected Move
With iPath Series B S&P 500 VIX Mid-Term Futures ETN pricing an expected move of 8.46% from $45.52, 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.
How to read the VXZ implied-range chart
The shaded range above shows the one-standard-deviation implied price band at each listed expiration, derived from ATM implied volatility scaled to days-to-expiration. The front-tenor expected move is 8.46%, anchoring an implied range of approximately $41.67 to $49.37. Under lognormal assumptions, roughly 68% of outcomes fall inside that band; 95% fall inside ±2σ; 99.7% inside ±3σ. The empirical equity-return distribution has fatter tails than lognormal, so true tail-outcome frequency is moderately higher than these closed-form numbers suggest.
VXZ expected move and event pricing
Expected move widens with √time: a 5% 30-day move corresponds to roughly a 2.5% 7.5-day move and a 10% 120-day move. VXZ term-structure is in backwardation (slope -0.037), so near-dated tenors price in disproportionate vol - usually because of a known event in the front-month window. With IV rank at 7.0%, the implied move is at the low end of the typical VXZ range - cheap optionality for buyers, thin premium for sellers.
Sizing VXZ structures to the expected move
Iron condors with wings at ±1σ collect the modal-outcome premium; ±1.5σ widens probability of inside-range to ~87% but cuts collected premium roughly in half. Strangles do the inverse trade - they pay against the same lognormal distribution, profiting when realized exceeds implied. Calendar spreads bet on the slope of the term structure rather than the level. VXZ put/call volume ratio currently at 0.00 indicates speculative call flow dominates - look for upside-skewed sentiment. The expected move is the inputs the chain is pricing, not a forecast - realized moves above or below are normal under any distribution.
Learn how expected move is reported and how to read the data →
Per-expiration expected move for VXZ derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $45.52 × (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 |
|---|---|---|---|---|---|
| Oct 16, 2026 | 16 | 29.5% | 6.2% | $48.33 | $42.71 |
| Nov 20, 2026 | 51 | 25.8% | 9.6% | $49.91 | $41.13 |
| Dec 18, 2026 | 79 | 33.5% | 15.6% | $52.61 | $38.43 |
| Jan 15, 2027 | 107 | 33.7% | 18.2% | $53.83 | $37.21 |
| Feb 19, 2027 | 142 | 36.8% | 23.0% | $55.97 | $35.07 |
| Mar 19, 2027 | 170 | 37.7% | 25.7% | $57.23 | $33.81 |
| Jun 17, 2027 | 260 | 37.4% | 31.6% | $59.89 | $31.15 |
| Sep 17, 2027 | 352 | 41.2% | 40.5% | $63.94 | $27.10 |
Frequently asked VXZ expected move questions
- What is the current VXZ expected move?
- As of Sep 30, 2026, iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) has an expected move of 8.46% over the next 16 days, implying a one-standard-deviation price range of $41.67 to $49.37 from the current $45.52. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the VXZ 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 VXZ 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.