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 Oct 14, 2026.
- Spot Price
- $3849.76
- Expected Move
- 4.0%
- Implied High
- $4002.07
- Implied Low
- $3697.45
- Front DTE
- 30 days
As of Oct 14, 2026, S&P 100 Index (OEX) has an expected move of 3.96%, a one-standard-deviation implied price range of roughly $3697.45 to $4002.07 from the current $3849.76. 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 3.96% from $3849.76, 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 below 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 3.96%, anchoring an implied range of approximately $3697.45 to $4002.07. 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 0.002), 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 24.8%, 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 0.00 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 OEX derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $3849.76 × (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 | 2 | 21.5% | 1.6% | $3911.03 | $3788.49 |
| Oct 23, 2026 | 9 | 13.1% | 2.1% | $3928.95 | $3770.57 |
| Oct 30, 2026 | 16 | 13.8% | 2.9% | $3960.99 | $3738.53 |
| Nov 6, 2026 | 23 | 13.7% | 3.4% | $3982.16 | $3717.36 |
| Nov 13, 2026 | 30 | 13.8% | 4.0% | $4002.07 | $3697.45 |
| Nov 20, 2026 | 37 | 14.0% | 4.5% | $4021.36 | $3678.16 |
| Nov 27, 2026 | 44 | 13.9% | 4.8% | $4035.55 | $3663.97 |
| Dec 18, 2026 | 65 | 14.8% | 6.2% | $4090.20 | $3609.32 |
| Jan 15, 2027 | 93 | 14.6% | 7.4% | $4133.47 | $3566.05 |
| Mar 19, 2027 | 156 | 15.6% | 10.2% | $4242.38 | $3457.14 |
| Jun 17, 2027 | 246 | 16.6% | 13.6% | $4374.40 | $3325.12 |
| Dec 17, 2027 | 429 | 18.2% | 19.7% | $4609.36 | $3090.16 |
| Jun 16, 2028 | 611 | 18.7% | 24.2% | $4781.19 | $2918.33 |
Frequently asked OEX expected move questions
- What is the current OEX expected move?
- As of Oct 14, 2026, S&P 100 Index (OEX) has an expected move of 3.96% over the next 30 days, implying a one-standard-deviation price range of $3697.45 to $4002.07 from the current $3849.76. 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.