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 Oct 14, 2026.
- Spot Price
- $771.89
- Expected Move
- 3.8%
- Implied High
- $801.10
- Implied Low
- $742.68
- Front DTE
- 30 days
As of Oct 14, 2026, Mini-SPX Index (XSP) has an expected move of 3.78%, a one-standard-deviation implied price range of roughly $742.68 to $801.10 from the current $771.89. 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 3.78% from $771.89, 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 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 3.78%, anchoring an implied range of approximately $742.68 to $801.10. 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 0.002), 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 21.9%, 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 0.87 indicates balanced flow without strong directional skew. 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 $771.89 × (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 15, 2026 | 1 | 15.1% | 0.8% | $777.99 | $765.79 |
| Oct 16, 2026 | 2 | 14.5% | 1.1% | $780.18 | $763.60 |
| Oct 19, 2026 | 5 | 11.0% | 1.3% | $781.83 | $761.95 |
| Oct 20, 2026 | 6 | 11.3% | 1.4% | $783.07 | $760.71 |
| Oct 21, 2026 | 7 | 11.5% | 1.6% | $784.18 | $759.60 |
| Oct 22, 2026 | 8 | 12.0% | 1.8% | $785.60 | $758.18 |
| Oct 23, 2026 | 9 | 12.2% | 1.9% | $786.68 | $757.10 |
| Oct 26, 2026 | 12 | 11.4% | 2.1% | $787.85 | $755.93 |
| Oct 27, 2026 | 13 | 11.6% | 2.2% | $788.79 | $754.99 |
| Oct 28, 2026 | 14 | 12.2% | 2.4% | $790.33 | $753.45 |
| Oct 29, 2026 | 15 | 12.6% | 2.6% | $791.61 | $752.17 |
| Oct 30, 2026 | 16 | 12.9% | 2.7% | $792.74 | $751.04 |
| Nov 2, 2026 | 19 | 12.4% | 2.8% | $793.73 | $750.05 |
| Nov 3, 2026 | 20 | 12.5% | 2.9% | $794.48 | $749.30 |
| Nov 4, 2026 | 21 | 13.0% | 3.1% | $795.96 | $747.82 |
| Nov 5, 2026 | 22 | 13.0% | 3.2% | $796.53 | $747.25 |
| Nov 6, 2026 | 23 | 13.3% | 3.3% | $797.66 | $746.12 |
| Nov 9, 2026 | 26 | 12.9% | 3.4% | $798.47 | $745.31 |
| Nov 10, 2026 | 27 | 13.0% | 3.5% | $799.18 | $744.60 |
| Nov 11, 2026 | 28 | 12.9% | 3.6% | $799.47 | $744.31 |
| Nov 12, 2026 | 29 | 13.0% | 3.7% | $800.17 | $743.61 |
| Nov 13, 2026 | 30 | 13.2% | 3.8% | $801.10 | $742.68 |
| Nov 20, 2026 | 37 | 13.4% | 4.3% | $804.82 | $738.96 |
| Nov 27, 2026 | 44 | 13.1% | 4.5% | $807.00 | $736.78 |
| Nov 30, 2026 | 47 | 13.0% | 4.7% | $807.90 | $735.88 |
| Dec 4, 2026 | 51 | 13.3% | 5.0% | $810.26 | $733.52 |
| Dec 18, 2026 | 65 | 13.7% | 5.8% | $816.52 | $727.26 |
| Dec 31, 2026 | 78 | 13.7% | 6.3% | $820.78 | $723.00 |
| Jan 15, 2027 | 93 | 13.7% | 6.9% | $825.27 | $718.51 |
| Jan 29, 2027 | 107 | 14.0% | 7.6% | $830.40 | $713.38 |
| Feb 19, 2027 | 128 | 14.3% | 8.5% | $837.26 | $706.52 |
| Feb 26, 2027 | 135 | 14.3% | 8.7% | $839.02 | $704.76 |
| Mar 19, 2027 | 156 | 14.5% | 9.5% | $845.06 | $698.72 |
| Mar 31, 2027 | 168 | 14.6% | 9.9% | $848.35 | $695.43 |
| Apr 16, 2027 | 184 | 14.9% | 10.6% | $853.55 | $690.23 |
| May 21, 2027 | 219 | 15.2% | 11.8% | $862.77 | $681.01 |
| Jun 17, 2027 | 246 | 15.5% | 12.7% | $870.11 | $673.67 |
| Jul 16, 2027 | 275 | 15.6% | 13.5% | $876.41 | $667.37 |
| Aug 20, 2027 | 310 | 15.7% | 14.5% | $883.57 | $660.21 |
| Sep 17, 2027 | 338 | 16.0% | 15.4% | $890.74 | $653.04 |
| Oct 15, 2027 | 366 | 16.1% | 16.1% | $896.33 | $647.45 |
| Dec 17, 2027 | 429 | 16.4% | 17.8% | $909.13 | $634.65 |
| Dec 15, 2028 | 793 | 16.9% | 24.9% | $964.17 | $579.61 |
Frequently asked XSP expected move questions
- What is the current XSP expected move?
- As of Oct 14, 2026, Mini-SPX Index (XSP) has an expected move of 3.78% over the next 30 days, implying a one-standard-deviation price range of $742.68 to $801.10 from the current $771.89. 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.