S&P 100 Index (OEX) 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.
Snapshot as of May 29, 2026.
- Spot Price
- $3784.60
- Expected Move
- 3.8%
- Implied High
- $3929.48
- Implied Low
- $3639.72
- Front DTE
- 28 days
As of May 29, 2026, S&P 100 Index (OEX) has an expected move of 3.83%, a one-standard-deviation implied price range of roughly $3639.72 to $3929.48 from the current $3784.60. 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.
OEX Strategy Sizing to the Expected Move
With S&P 100 Index pricing an expected move of 3.83% from $3784.60, 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 OEX 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 3.83%, anchoring an implied range of approximately $3639.72 to $3929.48. 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.
OEX 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. OEX term-structure is in contango (slope 0.004), so longer-dated tenors price in proportionally more vol than √time scaling alone would suggest - typically because long-dated cycles include uncertain macro states. With IV rank at 25.9%, the implied move is at the low end of the typical OEX range - cheap optionality for buyers, thin premium for sellers.
Sizing OEX 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. OEX put/call volume ratio currently at 0.09 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 OEX derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $3784.60 × (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 5, 2026 | 7 | 12.1% | 1.7% | $3848.02 | $3721.18 |
| Jun 12, 2026 | 14 | 11.8% | 2.3% | $3872.06 | $3697.14 |
| Jun 18, 2026 | 20 | 12.9% | 3.0% | $3898.88 | $3670.32 |
| Jun 26, 2026 | 28 | 13.2% | 3.7% | $3922.96 | $3646.24 |
| Jul 2, 2026 | 34 | 13.6% | 4.2% | $3941.69 | $3627.51 |
| Jul 10, 2026 | 42 | 13.8% | 4.7% | $3961.76 | $3607.44 |
| Jul 17, 2026 | 49 | 13.8% | 5.1% | $3975.96 | $3593.24 |
| Aug 21, 2026 | 84 | 15.4% | 7.4% | $4064.20 | $3505.00 |
| Sep 18, 2026 | 112 | 16.1% | 8.9% | $4122.13 | $3447.07 |
| Dec 18, 2026 | 203 | 16.9% | 12.6% | $4261.59 | $3307.61 |
| Jun 17, 2027 | 384 | 19.4% | 19.9% | $4537.68 | $3031.52 |
| Dec 17, 2027 | 567 | 19.7% | 24.6% | $4713.85 | $2855.35 |
Frequently asked OEX expected move questions
- What is the current OEX expected move?
- As of May 29, 2026, S&P 100 Index (OEX) has an expected move of 3.83% over the next 28 days, implying a one-standard-deviation price range of $3639.72 to $3929.48 from the current $3784.60. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the OEX 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 OEX 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.