Implied Move

The Implied Move is the market's expected price range over a given period, derived from options prices. It tells you how much movement the options market is "pricing in."

How It's Calculated

The implied move is typically calculated from the ATM straddle price:

Implied Move = ATM Straddle Price / Stock Price

For example, if a stock trades at $100 and the ATM straddle costs $8, the market expects roughly an 8% move (up or down) by expiration.

Using Implied Move

Pre-Earnings Analysis

Before earnings, implied moves spike as traders anticipate volatility. Compare the implied move to historical earnings moves to assess whether options are "cheap" or "expensive."

Setting Price Targets

The implied move defines the expected range. Price targets outside this range represent "tail risk" scenarios that the market considers unlikely.

Trade Sizing

Understanding the implied move helps you set appropriate strike prices for spreads and define risk levels.

Implied Move vs Actual Move

After events like earnings, compare the actual move to what was implied:

• Actual > Implied: Volatility was underpriced - long premium strategies won
• Actual < Implied: Volatility was overpriced - IV crush hurt option buyers

This comparison helps you understand whether the market is efficiently pricing risk.