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 Aug 28, 2026.
- Spot Price
- $771.13
- Expected Move
- 3.3%
- Implied High
- $796.62
- Implied Low
- $745.64
- Front DTE
- 31 days
As of Aug 28, 2026, Mini-SPX Index (XSP) has an expected move of 3.31%, a one-standard-deviation implied price range of roughly $745.64 to $796.62 from the current $771.13. 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 3.31% from $771.13, 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 3.31%, anchoring an implied range of approximately $745.64 to $796.62. 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 8.6%, 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 0.97 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 $771.13 × (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 | 6.5% | 0.6% | $775.67 | $766.59 |
| Sep 1, 2026 | 4 | 7.7% | 0.8% | $777.35 | $764.91 |
| Sep 2, 2026 | 5 | 8.3% | 1.0% | $778.62 | $763.64 |
| Sep 3, 2026 | 6 | 9.1% | 1.2% | $780.13 | $762.13 |
| Sep 4, 2026 | 7 | 9.8% | 1.4% | $781.60 | $760.66 |
| Sep 8, 2026 | 11 | 9.0% | 1.6% | $783.18 | $759.08 |
| Sep 9, 2026 | 12 | 9.3% | 1.7% | $784.13 | $758.13 |
| Sep 10, 2026 | 13 | 9.6% | 1.8% | $785.10 | $757.16 |
| Sep 11, 2026 | 14 | 10.1% | 2.0% | $786.38 | $755.88 |
| Sep 14, 2026 | 17 | 9.8% | 2.1% | $787.44 | $754.82 |
| Sep 15, 2026 | 18 | 10.0% | 2.2% | $788.25 | $754.01 |
| Sep 16, 2026 | 19 | 10.7% | 2.4% | $789.96 | $752.30 |
| Sep 17, 2026 | 20 | 11.0% | 2.6% | $790.99 | $751.27 |
| Sep 18, 2026 | 21 | 11.2% | 2.7% | $791.85 | $750.41 |
| Sep 21, 2026 | 24 | 11.0% | 2.8% | $792.88 | $749.38 |
| Sep 22, 2026 | 25 | 11.1% | 2.9% | $793.53 | $748.73 |
| Sep 23, 2026 | 26 | 11.3% | 3.0% | $794.39 | $747.87 |
| Sep 24, 2026 | 27 | 11.4% | 3.1% | $795.04 | $747.22 |
| Sep 25, 2026 | 28 | 11.6% | 3.2% | $795.91 | $746.35 |
| Sep 28, 2026 | 31 | 11.5% | 3.4% | $796.97 | $745.29 |
| Sep 29, 2026 | 32 | 11.7% | 3.5% | $797.84 | $744.42 |
| Sep 30, 2026 | 33 | 11.7% | 3.5% | $798.26 | $744.00 |
| Oct 2, 2026 | 35 | 12.0% | 3.7% | $799.78 | $742.48 |
| Oct 5, 2026 | 38 | 12.0% | 3.9% | $800.99 | $741.27 |
| Oct 9, 2026 | 42 | 12.3% | 4.2% | $803.30 | $738.96 |
| Oct 16, 2026 | 49 | 12.6% | 4.6% | $806.73 | $735.53 |
| Oct 30, 2026 | 63 | 13.2% | 5.5% | $813.42 | $728.84 |
| Nov 3, 2026 | 67 | 13.3% | 5.7% | $815.07 | $727.19 |
| Nov 4, 2026 | 68 | 13.3% | 5.7% | $815.40 | $726.86 |
| Nov 20, 2026 | 84 | 13.9% | 6.7% | $822.55 | $719.71 |
| Nov 30, 2026 | 94 | 13.8% | 7.0% | $825.13 | $717.13 |
| Dec 18, 2026 | 112 | 14.4% | 8.0% | $832.64 | $709.62 |
| Dec 31, 2026 | 125 | 14.4% | 8.4% | $836.11 | $706.15 |
| Jan 15, 2027 | 140 | 14.7% | 9.1% | $841.33 | $700.93 |
| Jan 29, 2027 | 154 | 14.9% | 9.7% | $845.76 | $696.50 |
| Feb 19, 2027 | 175 | 15.3% | 10.6% | $852.82 | $689.44 |
| Mar 19, 2027 | 203 | 15.8% | 11.8% | $861.99 | $680.27 |
| Apr 16, 2027 | 231 | 16.2% | 12.9% | $870.51 | $671.75 |
| May 21, 2027 | 266 | 16.7% | 14.3% | $881.07 | $661.19 |
| Jun 17, 2027 | 293 | 16.9% | 15.1% | $887.89 | $654.37 |
| Jul 16, 2027 | 322 | 17.1% | 16.1% | $894.98 | $647.28 |
| Aug 20, 2027 | 357 | 17.5% | 17.3% | $904.59 | $637.67 |
| Sep 17, 2027 | 385 | 17.7% | 18.2% | $911.31 | $630.95 |
| Dec 17, 2027 | 476 | 18.2% | 20.8% | $931.40 | $610.86 |
| Dec 15, 2028 | 840 | 18.9% | 28.7% | $992.23 | $550.03 |
XSP highest implied-volatility contracts
| Type | Strike | Expiration | Volume | OI | IV | Bid | Ask |
|---|---|---|---|---|---|---|---|
| CALL | $775.00 | Aug 31, 2026 | 12.3K | 304 | 5.8% | $0.39 | $0.41 |
| CALL | $766.00 | Aug 31, 2026 | 4.0K | 325 | 7.6% | $5.51 | $5.72 |
Top 2 contracts from the institutional-grade nightly options scan; ranked by iv within the broader S&P 500/400/600 + ETF universe.
Frequently asked XSP expected move questions
- What is the current XSP expected move?
- As of Aug 28, 2026, Mini-SPX Index (XSP) has an expected move of 3.31% over the next 31 days, implying a one-standard-deviation price range of $745.64 to $796.62 from the current $771.13. 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.