What is the current C expected move?

As of Jun 30, 2026, Citigroup Inc. (C) has an expected move of 9.44% over the next 31 days, implying a one-standard-deviation price range of $126.51 to $152.89 from the current $139.70. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.

What does the C 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 C 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.

Citigroup Inc. (C) 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.

Citigroup Inc. (C) operates in the Financial Services sector, specifically the Banks - Diversified industry, with a market capitalization near $241.65B, listed on NYSE, employing roughly 226,000 people, carrying a beta of 1.11 to the broader market. Citigroup, Inc. Led by Jane Nind Fraser, public since 1977-01-03.

Snapshot as of Jun 30, 2026.

Spot Price: $139.70
Expected Move: 9.4%
Implied High: $152.89
Implied Low: $126.51
Front DTE: 31 days

As of Jun 30, 2026, Citigroup Inc. (C) has an expected move of 9.44%, a one-standard-deviation implied price range of roughly $126.51 to $152.89 from the current $139.70. 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.

C Strategy Sizing to the Expected Move

With Citigroup Inc. pricing an expected move of 9.44% from $139.70, 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 C 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 9.44%, anchoring an implied range of approximately $126.51 to $152.89. 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.

C 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. C 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.

Sizing C 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. C put/call volume ratio currently at 1.27 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 →

Shaded band shows the ±1σ implied price range (~68% probability under lognormal assumptions) at each expiration; the center line marks current spot. Bands widen with longer DTE since volatility scales with √time.

Per-expiration expected move for C derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $139.70 × (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
Jul 2, 2026	2	34.8%	2.6%	$143.30	$136.10
Jul 10, 2026	10	29.2%	4.8%	$146.45	$132.95
Jul 17, 2026	17	35.7%	7.7%	$150.46	$128.94
Jul 24, 2026	24	33.9%	8.7%	$151.84	$127.56
Jul 31, 2026	31	32.8%	9.6%	$153.05	$126.35
Aug 7, 2026	38	33.0%	10.6%	$154.57	$124.83
Aug 21, 2026	52	31.8%	12.0%	$156.47	$122.93
Sep 18, 2026	80	31.2%	14.6%	$160.11	$119.29
Oct 16, 2026	108	32.0%	17.4%	$164.02	$115.38
Nov 20, 2026	143	32.2%	20.2%	$167.86	$111.54
Dec 18, 2026	171	32.1%	22.0%	$170.39	$109.01
Jan 15, 2027	199	32.5%	24.0%	$173.22	$106.18
Mar 19, 2027	262	32.4%	27.5%	$178.05	$101.35
Jun 17, 2027	352	32.4%	31.8%	$184.15	$95.25
Jan 21, 2028	570	33.2%	41.5%	$197.66	$81.74
Dec 15, 2028	899	33.1%	51.9%	$212.27	$67.13

C highest implied-volatility contracts

Type	Strike	Expiration	Volume	OI	IV	Bid	Ask
PUT	$115.00	Aug 7, 2026	6.8K	228	41.1%	$0.32	$0.68

Top 1 contracts from the institutional-grade nightly options scan; ranked by iv within the broader S&P 500/400/600 + ETF universe.

Frequently asked C expected move questions

What is the current C expected move?: As of Jun 30, 2026, Citigroup Inc. (C) has an expected move of 9.44% over the next 31 days, implying a one-standard-deviation price range of $126.51 to $152.89 from the current $139.70. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
What does the C 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 C 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.