Implied Move Calculator
What move is the options market actually pricing in before earnings? Read the at-the-money quotes off your broker, put them in, and see the number with its assumptions stated rather than hidden.
| Measure | Low | High |
|---|---|---|
| 1σ range (~68% of outcomes) | $92.70 | $107.88 |
| 2σ range (~95% of outcomes) | $85.93 | $116.38 |
| Straddle breakeven (cost $6.05) | $93.95 | $106.05 |
| Probability at expiry | Estimate |
|---|---|
| Finishes outside the 1σ range | 31.7% |
| Finishes outside the 2σ range | 4.6% |
| Finishes above the upper straddle breakeven | 21.9% |
How this is calculated
For a zero-mean normal variable, the average absolute move is smaller than one standard deviation by a fixed factor: E|X| = σ√(2/π) ≈ 0.798σ.
The familiar “straddle divided by share price” shortcut therefore gives the average absolute move, not one sigma. Most calculators label that result “1 standard deviation”, which understates the real 1σ band by about 20%. Both numbers are shown above, labelled, so you can pick the one you meant.
Sigma is scaled to the period with σT = IV × √(T/365), using calendar days because that is how options decay. Ranges are lognormal with zero drift, S × e±σ, which keeps the downside strictly positive — a linear S(1−σ) goes negative once sigma passes 1.
What this does not account for
- Volatility crush. Implied vol usually collapses right after the event, so a straddle can lose money even when the move lands inside its breakevens.
- Skew. A single at-the-money quote ignores the fact that puts and calls are rarely priced symmetrically.
- Normality. Real returns have fatter tails than the model, so the 2σ probability is optimistic for genuinely extreme moves.
- Drift, rates and dividends are all assumed to be zero over the horizon, which is reasonable for a few weeks and not for a year.
Nothing here is investment advice. It is arithmetic on numbers you supply.