What is the current ODTE expected move?

As of May 29, 2026, VegaShares SPX NDX RTY Premium Income ETF (ODTE) has an expected move of 15.40% over the next 20 days, implying a one-standard-deviation price range of $23.26 to $31.72 from the current $27.49. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.

What does the ODTE 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 ODTE 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.

VegaShares SPX NDX RTY Premium Income ETF (ODTE) 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.

VegaShares SPX NDX RTY Premium Income ETF (ODTE) operates in the Financial Services sector, specifically the Asset Management - Income industry, with a market capitalization near $1.1M, listed on NASDAQ, carrying a beta of 0.00 to the broader market. ODTE actively purses a covered call strategy using the S&P 500, Nasdaq-100 and Russell 2000 Indexes. public since 2026-04-02.

Snapshot as of May 29, 2026.

Spot Price: $27.49
Expected Move: 15.4%
Implied High: $31.72
Implied Low: $23.26
Front DTE: 20 days

As of May 29, 2026, VegaShares SPX NDX RTY Premium Income ETF (ODTE) has an expected move of 15.40%, a one-standard-deviation implied price range of roughly $23.26 to $31.72 from the current $27.49. 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.

ODTE Strategy Sizing to the Expected Move

With VegaShares SPX NDX RTY Premium Income ETF pricing an expected move of 15.40% from $27.49, 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 ODTE 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 15.40%, anchoring an implied range of approximately $23.26 to $31.72. 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.

ODTE 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. ODTE term-structure is in backwardation (slope -0.121), so near-dated tenors price in disproportionate vol - usually because of a known event in the front-month window.

Sizing ODTE 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. 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 ODTE derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $27.49 × (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 18, 2026	20	53.7%	12.6%	$30.95	$24.03
Jul 17, 2026	49	41.6%	15.2%	$31.68	$23.30
Sep 18, 2026	112	37.3%	20.7%	$33.17	$21.81
Dec 18, 2026	203	36.6%	27.3%	$34.99	$19.99

Frequently asked ODTE expected move questions

What is the current ODTE expected move?: As of May 29, 2026, VegaShares SPX NDX RTY Premium Income ETF (ODTE) has an expected move of 15.40% over the next 20 days, implying a one-standard-deviation price range of $23.26 to $31.72 from the current $27.49. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
What does the ODTE 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 ODTE 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.