E-mini S&P 500 Futures (September 2026) (ESU6) 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.
E-mini S&P 500 Futures (September 2026) (ESU6) operates in the Equity Index Futures sector, specifically the Equity Index Futures industry, listed on CME. E-mini S&P 500 Futures September 2026 contract: CME E-mini S&P 500 futures (ES): the most liquid US equity index futures contract, tracking the S&P 500 index.
Snapshot as of Jul 16, 2026.
- Spot Price
- $7573.75
- Expected Move
- 3.8%
- Implied High
- $7860.35
- Implied Low
- $7287.15
- Front DTE
- 29 days
As of Jul 16, 2026, E-mini S&P 500 Futures (September 2026) (ESU6) has an expected move of 3.78%, a one-standard-deviation implied price range of roughly $7287.15 to $7860.35 from the current $7573.75. 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.
ESU6 Strategy Sizing to the Expected Move
With E-mini S&P 500 Futures (September 2026) pricing an expected move of 3.78% from $7573.75, 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 ESU6 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 3.78%, anchoring an implied range of approximately $7287.15 to $7860.35. 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.
ESU6 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. ESU6 term-structure is in backwardation (slope -0.002), so near-dated tenors price in disproportionate vol - usually because of a known event in the front-month window.
Sizing ESU6 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. ESU6 put/call volume ratio currently at 2.18 indicates protective put flow dominates - look for hedged-money positioning into the move. 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 ESU6 derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $7573.75 × (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 |
|---|---|---|---|---|---|
| Jul 17, 2026 | 1 | 13.6% | 0.7% | $7627.52 | $7519.98 |
| Jul 20, 2026 | 4 | 9.8% | 1.0% | $7651.12 | $7496.38 |
| Jul 21, 2026 | 5 | 10.3% | 1.2% | $7665.44 | $7482.06 |
| Jul 22, 2026 | 6 | 10.7% | 1.4% | $7677.66 | $7469.84 |
| Jul 23, 2026 | 7 | 11.5% | 1.6% | $7694.30 | $7453.20 |
| Jul 24, 2026 | 8 | 11.9% | 1.8% | $7706.66 | $7440.84 |
| Jul 27, 2026 | 11 | 11.1% | 1.9% | $7720.07 | $7427.43 |
| Jul 28, 2026 | 12 | 11.3% | 2.1% | $7729.22 | $7418.28 |
| Jul 29, 2026 | 13 | 11.9% | 2.3% | $7744.27 | $7403.23 |
| Jul 30, 2026 | 14 | 12.5% | 2.5% | $7759.41 | $7388.09 |
| Jul 31, 2026 | 15 | 13.0% | 2.6% | $7773.49 | $7374.01 |
| Aug 3, 2026 | 18 | 12.5% | 2.8% | $7784.34 | $7363.16 |
| Aug 4, 2026 | 19 | 12.7% | 2.9% | $7792.71 | $7354.79 |
| Aug 5, 2026 | 20 | 12.8% | 3.0% | $7800.82 | $7346.68 |
| Aug 6, 2026 | 21 | 12.9% | 3.1% | $7808.49 | $7339.01 |
| Aug 7, 2026 | 22 | 13.1% | 3.2% | $7818.07 | $7329.43 |
| Aug 10, 2026 | 25 | 12.8% | 3.4% | $7827.97 | $7319.53 |
| Aug 11, 2026 | 26 | 12.9% | 3.5% | $7835.29 | $7312.21 |
| Aug 12, 2026 | 27 | 13.1% | 3.6% | $7843.88 | $7303.62 |
| Aug 13, 2026 | 28 | 13.2% | 3.7% | $7851.15 | $7296.35 |
| Aug 14, 2026 | 29 | 13.3% | 3.7% | $7857.14 | $7290.36 |
| Aug 17, 2026 | 32 | 13.1% | 3.9% | $7866.69 | $7280.81 |
| Aug 18, 2026 | 33 | 13.1% | 3.9% | $7872.69 | $7274.81 |
| Aug 19, 2026 | 34 | 13.2% | 4.0% | $7878.58 | $7268.92 |
| Aug 20, 2026 | 35 | 13.3% | 4.1% | $7885.87 | $7261.63 |
| Aug 21, 2026 | 36 | 13.4% | 4.2% | $7891.72 | $7255.78 |
| Aug 28, 2026 | 43 | 13.7% | 4.7% | $7929.10 | $7218.40 |
| Aug 31, 2026 | 46 | 13.5% | 4.8% | $7937.09 | $7210.41 |
| Sep 4, 2026 | 50 | 13.6% | 5.0% | $7954.07 | $7193.43 |
| Sep 11, 2026 | 57 | 13.6% | 5.4% | $7981.72 | $7165.78 |
| Sep 18, 2026 | 64 | 13.9% | 5.8% | $8014.65 | $7132.85 |
Frequently asked ESU6 expected move questions
- What is the current ESU6 expected move?
- As of Jul 16, 2026, E-mini S&P 500 Futures (September 2026) (ESU6) has an expected move of 3.78% over the next 29 days, implying a one-standard-deviation price range of $7287.15 to $7860.35 from the current $7573.75. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the ESU6 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 ESU6 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.