What is the M 30-day expected price range?

As of May 29, 2026, with M at $21.79 and ATM IV at 61.3%, the implied 30-day one-standard-deviation range is approximately ±$3.83, or about $17.96 to $25.62. IV rank is elevated, so the priced distribution is wider than the 1-year typical width.

What does M risk-neutral density tell us?

Risk-neutral density is the probability distribution of future M price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.

How does M ATM IV translate to a probability range?

ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.

Macy's, Inc. (M) Probability Analysis

Probability analysis extracts the risk-neutral probability distribution implied by option prices. It shows the market-implied likelihood of the underlying reaching various price levels by expiration.

Macy's, Inc. (M) operates in the Consumer Cyclical sector, specifically the Department Stores industry, with a market capitalization near $5.55B, listed on NYSE, employing roughly 94,189 people, carrying a beta of 1.49 to the broader market. Macy's, Inc. Led by Antony Spring, public since 1992-02-05.

Snapshot as of May 29, 2026.

Spot Price: $21.79
ATM IV: 61.3%
IV Rank: 77.2%
IV Percentile: 88.9%
HV 20-Day: 43.3%
IV Skew 25Δ: 0.023

As of May 29, 2026, Macy's, Inc. (M) at $21.79 has an ATM IV of 61.3%, implying a 30-day one-standard-deviation range of approximately ±$3.83. IV rank is 77.2% (elevated, distribution priced wider than typical). IV percentile is 88.9%. The 25-delta skew is +0.023: upside tail priced richer than downside, biasing probability mass above spot. Under lognormal assumptions roughly 68% of outcomes fall within ±1σ and 95% within ±2σ; risk-neutral probability analysis refines this by extracting the market-implied distribution directly from options prices, capturing the fat tails that real markets exhibit.

How M probability analysis Data Feeds Strategy Selection

Strategy selection on Macy's, Inc. options does not derive from any single metric in isolation. The probability analysis view above sits inside a broader read: ATM IV currently sits at 61.3% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the probability analysis data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.

How to read the M probability distribution

The probability cone above is the option-market-implied distribution of where Macy's, Inc. spot could end up at expiration. It's derived from the implied-volatility surface via a risk-neutral pricing transformation, not from historical realized returns. With ATM IV at 61.3% and spot at $21.79, the 1σ band is approximately ±21.1% over a 30-day horizon. Recent realized HV-20 of 43.3% runs 17.9 vol points below the current implied, suggesting the chain is pricing more dispersion than the underlying has been delivering.

M risk-neutral vs real-world probabilities

The probabilities derived from option prices reflect the market's risk-adjusted view, not the realized statistical distribution. Risk-neutral probabilities include the equity risk premium and skew preferences priced into options, so they tend to overstate tail probability and understate upside drift relative to actually-realized outcomes. For probability-of-touch calculations and assignment-risk modeling, risk-neutral is the right benchmark. For position-sizing your own conviction, blend with realized-volatility-based statistics from the HV columns.

Trading the M distribution

Probability-driven strategies aim to capture mispricings between the implied distribution and your own probability assessment. Premium-selling structures (credit spreads, iron condors, cash-secured puts) profit when the implied distribution overprices tail probability relative to realized; premium-buying (debit spreads, long calls/puts, long straddles) profits in the reverse. With M IV rank at 77.2%, the chain is pricing fatter tails than recent realized history; sellers earn the gap on average. Always pair probability-driven strategy selection with a stop loss or wing-defined risk - the implied distribution is a snapshot, and regime shifts can invalidate it intraday.

Learn how risk-neutral density is reported and how to read the data →

Chart aggregates top-ranked contracts by strike from the institutional-grade nightly options scan. Sparse coverage on long-tail tickers reflects the scan's S&P 500/400/600 + ETF focus.

M highest implied-volatility contracts

Type	Strike	Expiration	Volume	OI	IV	Bid	Ask
PUT	$20.00	Jul 17, 2026	1.4K	227	55.6%	$0.92	$0.99
PUT	$19.00	Jul 17, 2026	1.4K	282	56.6%	$0.62	$0.67

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 M probability analysis questions

What is the M 30-day expected price range?: As of May 29, 2026, with M at $21.79 and ATM IV at 61.3%, the implied 30-day one-standard-deviation range is approximately ±$3.83, or about $17.96 to $25.62. IV rank is elevated, so the priced distribution is wider than the 1-year typical width.
What does M risk-neutral density tell us?: Risk-neutral density is the probability distribution of future M price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.
How does M ATM IV translate to a probability range?: ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.