Mini-SPX Index (XSP) 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
- $758.94
- Expected Move
- 3.6%
- Implied High
- $786.12
- Implied Low
- $731.76
- Front DTE
- 31 days
As of May 29, 2026, Mini-SPX Index (XSP) has an expected move of 3.58%, a one-standard-deviation implied price range of roughly $731.76 to $786.12 from the current $758.94. 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.
XSP Strategy Sizing to the Expected Move
With Mini-SPX Index pricing an expected move of 3.58% from $758.94, 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 XSP 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 3.58%, anchoring an implied range of approximately $731.76 to $786.12. 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.
XSP 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. XSP term-structure is in contango (slope 0.003), 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 12.6%, the implied move is at the low end of the typical XSP range - cheap optionality for buyers, thin premium for sellers.
Sizing XSP 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. XSP put/call volume ratio currently at 1.48 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 XSP derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $758.94 × (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 1, 2026 | 3 | 8.0% | 0.7% | $764.44 | $753.44 |
| Jun 2, 2026 | 4 | 8.8% | 0.9% | $765.93 | $751.95 |
| Jun 3, 2026 | 5 | 9.5% | 1.1% | $767.38 | $750.50 |
| Jun 4, 2026 | 6 | 10.0% | 1.3% | $768.67 | $749.21 |
| Jun 5, 2026 | 7 | 10.7% | 1.5% | $770.19 | $747.69 |
| Jun 8, 2026 | 10 | 10.2% | 1.7% | $771.75 | $746.13 |
| Jun 9, 2026 | 11 | 10.4% | 1.8% | $772.64 | $745.24 |
| Jun 10, 2026 | 12 | 11.0% | 2.0% | $774.08 | $743.80 |
| Jun 11, 2026 | 13 | 11.2% | 2.1% | $774.98 | $742.90 |
| Jun 12, 2026 | 14 | 11.5% | 2.3% | $776.03 | $741.85 |
| Jun 15, 2026 | 17 | 11.2% | 2.4% | $777.28 | $740.60 |
| Jun 16, 2026 | 18 | 11.5% | 2.6% | $778.32 | $739.56 |
| Jun 17, 2026 | 19 | 12.1% | 2.8% | $779.89 | $737.99 |
| Jun 18, 2026 | 20 | 12.5% | 2.9% | $781.15 | $736.73 |
| Jun 22, 2026 | 24 | 12.1% | 3.1% | $782.49 | $735.39 |
| Jun 23, 2026 | 25 | 12.2% | 3.2% | $783.17 | $734.71 |
| Jun 24, 2026 | 26 | 12.4% | 3.3% | $784.06 | $733.82 |
| Jun 25, 2026 | 27 | 12.6% | 3.4% | $784.95 | $732.93 |
| Jun 26, 2026 | 28 | 12.7% | 3.5% | $785.64 | $732.24 |
| Jun 29, 2026 | 31 | 12.4% | 3.6% | $786.37 | $731.51 |
| Jun 30, 2026 | 32 | 12.7% | 3.8% | $787.48 | $730.40 |
| Jul 2, 2026 | 34 | 13.0% | 4.0% | $789.05 | $728.83 |
| Jul 7, 2026 | 39 | 12.8% | 4.2% | $790.69 | $727.19 |
| Jul 10, 2026 | 42 | 13.2% | 4.5% | $792.92 | $724.96 |
| Jul 17, 2026 | 49 | 13.5% | 4.9% | $796.48 | $721.40 |
| Jul 24, 2026 | 56 | 13.7% | 5.4% | $799.67 | $718.21 |
| Jul 31, 2026 | 63 | 14.1% | 5.9% | $803.40 | $714.48 |
| Aug 21, 2026 | 84 | 14.6% | 7.0% | $812.10 | $705.78 |
| Aug 31, 2026 | 94 | 14.8% | 7.5% | $815.94 | $701.94 |
| Sep 18, 2026 | 112 | 15.3% | 8.5% | $823.26 | $694.62 |
| Sep 30, 2026 | 124 | 15.4% | 9.0% | $827.06 | $690.82 |
| Oct 16, 2026 | 140 | 15.7% | 9.7% | $832.73 | $685.15 |
| Oct 30, 2026 | 154 | 16.1% | 10.5% | $838.31 | $679.57 |
| Nov 20, 2026 | 175 | 16.4% | 11.4% | $845.12 | $672.76 |
| Dec 18, 2026 | 203 | 16.7% | 12.5% | $853.46 | $664.42 |
| Jan 15, 2027 | 231 | 16.9% | 13.4% | $860.98 | $656.90 |
| Feb 19, 2027 | 266 | 17.3% | 14.8% | $871.02 | $646.86 |
| Mar 19, 2027 | 294 | 17.6% | 15.8% | $878.82 | $639.06 |
| Apr 16, 2027 | 322 | 17.8% | 16.7% | $885.82 | $632.06 |
| May 21, 2027 | 357 | 18.1% | 17.9% | $894.79 | $623.09 |
| Jun 17, 2027 | 384 | 18.3% | 18.8% | $901.40 | $616.48 |
| Sep 17, 2027 | 476 | 18.6% | 21.2% | $920.14 | $597.74 |
| Dec 17, 2027 | 567 | 18.9% | 23.6% | $937.72 | $580.16 |
| Dec 15, 2028 | 931 | 19.5% | 31.1% | $995.30 | $522.58 |
Frequently asked XSP expected move questions
- What is the current XSP expected move?
- As of May 29, 2026, Mini-SPX Index (XSP) has an expected move of 3.58% over the next 31 days, implying a one-standard-deviation price range of $731.76 to $786.12 from the current $758.94. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the XSP 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 XSP 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.