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 Aug 28, 2026.
- Spot Price
- $7724.75
- Expected Move
- 1.8%
- Implied High
- $7862.31
- Implied Low
- $7587.19
- Front DTE
- 21 days
As of Aug 28, 2026, E-mini S&P 500 Futures (September 2026) (ESU6) has an expected move of 1.78%, a one-standard-deviation implied price range of roughly $7587.19 to $7862.31 from the current $7724.75. 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 1.78% from $7724.75, 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 1.78%, anchoring an implied range of approximately $7587.19 to $7862.31. 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.
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 2.74 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 $7724.75 × (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 |
|---|---|---|---|---|---|
| Aug 31, 2026 | 3 | 6.2% | 0.6% | $7768.25 | $7681.25 |
| Sep 1, 2026 | 4 | 7.3% | 0.8% | $7784.03 | $7665.47 |
| Sep 2, 2026 | 5 | 7.9% | 0.9% | $7796.35 | $7653.15 |
| Sep 3, 2026 | 6 | 8.7% | 1.1% | $7810.82 | $7638.68 |
| Sep 4, 2026 | 7 | 9.4% | 1.3% | $7825.37 | $7624.13 |
| Sep 8, 2026 | 11 | 8.7% | 1.5% | $7840.90 | $7608.60 |
| Sep 9, 2026 | 12 | 8.9% | 1.6% | $7849.59 | $7599.91 |
| Sep 10, 2026 | 13 | 9.2% | 1.7% | $7859.51 | $7589.99 |
| Sep 11, 2026 | 14 | 9.8% | 1.9% | $7872.37 | $7577.13 |
| Sep 14, 2026 | 17 | 9.5% | 2.1% | $7883.52 | $7565.98 |
| Sep 15, 2026 | 18 | 9.8% | 2.2% | $7892.21 | $7557.29 |
| Sep 16, 2026 | 19 | 10.4% | 2.4% | $7908.39 | $7541.11 |
| Sep 17, 2026 | 20 | 10.7% | 2.5% | $7918.57 | $7530.93 |
| Sep 18, 2026 | 21 | 10.7% | 2.6% | $7923.87 | $7525.63 |
Frequently asked ESU6 expected move questions
- What is the current ESU6 expected move?
- As of Aug 28, 2026, E-mini S&P 500 Futures (September 2026) (ESU6) has an expected move of 1.78% over the next 21 days, implying a one-standard-deviation price range of $7587.19 to $7862.31 from the current $7724.75. 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.