The Expected Move metric gives you a quick, quantifiable insight into how much the options market expects a stock to move by a certain expiration date. Based on options pricing, it reflects traders’ collective estimate of future volatility and can be used to improve both directional and non-directional strategies.
In Option Samurai, we let you incorporate this field into your scans to unlock unique opportunities and filter trades with better alignment to your market view, as you can see below:
Expected Move Datapoints
Expected Move: This is the anticipated price movement of a stock until a specific expiration date. It’s calculated using options prices and reflects market consensus about how volatile a stock is expected to be.
How it's calculated: We take the average between:
The at-the-money straddle price (call + put at the same strike closest to the stock price)
The ATM strangle, which is the narrowest out-of-the-money call and put combination
This gives a balanced measure that captures both symmetrical and slightly directional pricing.
Expiration-based: The expected move is recalculated for each expiration date, giving you a precise, timeframe-specific insight.
Why use this data point?
The Expected Move is a valuable addition to your options toolkit. It helps you:
Set realistic price targets when building directional trades.
Understand whether an option is cheap or expensive relative to expected movement.
Identify underlying sentiment and volatility priced in by the options market.
Build probability-aligned trades like iron condors, straddles, or directional spreads.
Since it’s derived directly from options pricing, this metric is uncorrelated with technical indicators and complements them well for a “bigger picture” view.
Example Use Cases
The Expected Move gives you a clear picture of what the options market is pricing in, and that context is powerful. Whether your view agrees or disagrees with the market, knowing the expected move lets you act with greater precision.
If you agree with the market’s expectation, you can align your strategy accordingly (e.g., placing debit spreads with targets near the expected move).
If you disagree, you can position for divergence (e.g., selling premium outside the expected range in a high-probability short strangle).
Here are a few specific ways to use it:
Sell short strangles where your outlook aligns with the stock staying within the expected move range.
Build iron condors that match the expected move boundaries to maximize balance between risk and reward.
Before earnings, check the expected move to assess how much of a move is already priced in, then trade accordingly.
You can also layer in other metrics like IV Rank, Delta, or Analyst Targets to create more informed, probability-aligned strategies.
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