Expected move calculator

Turn an implied volatility into the price range the option market is actually pricing.

Quick answer: The expected move calculator converts an implied volatility into a price range: the one-standard-deviation band the option market is pricing for the period you specify, which historically contains the outcome roughly 68% of the time.

Expected Move Calculator

The result is a price, not a prediction. Roughly one expiry in three closes outside the 1σ band, by construction.

Figures are per unit of the underlying and exclude brokerage, STT, exchange charges, stamp duty and GST.

How this calculator works

What the number means

An implied volatility is an annualised standard deviation. To get the standard deviation of the move over a shorter period you scale by the square root of the fraction of a year — not by the fraction itself, because variance scales with time and volatility is its square root. The result is the band inside which a normally-distributed outcome falls about 68% of the time.

It is a price, not a prediction

The expected move is what the option market is charging for uncertainty over that window. It is not a forecast that the underlying will move that far, and it is not a promise that it will not move further. Roughly one expiry in three closes outside the one-standard-deviation band. That is the band working correctly, not the band failing.

The straddle shortcut, and why it works

Traders on a screen rarely reach for a calculator. They read the at-the-money straddle price and multiply by about 1.25. This falls straight out of the Brenner–Subrahmanyam approximation: for an at-the-money option, premium ≈ 0.4 × S × σ × √T, so the straddle is ≈ 0.8 × S × σ × √T, and the one-standard-deviation move S × σ × √T is therefore about 1.25 straddles. It is accurate to a few percent and requires no inputs you cannot see.

Where the band lies to you

The band is symmetric and the real distribution is not. Equity index returns are negatively skewed and fat-tailed, so the true probability of a large fall exceeds the normal model's, and the true probability of finishing just inside the upper band exceeds it too. The volatility skew is the option market's own admission of this: it charges more for the downside strike than the symmetric model says it should. Treat the band as a well-calibrated first approximation and never as a boundary.

The expected move

EM(zσ) = S × σ × √(days ÷ 365) × z

Note the 365, not 252: the option expires on a calendar date, and the underlying can gap over a weekend even though it does not trade. Some desks use trading days here; the difference is around 6% on the move, which matters on a narrow spread.

EMExpected move, in the same units as the spot price (NIFTY points, or rupees).
SSpot price of the underlying.
σImplied volatility, annualised, as a decimal (0.13 = 13%).
daysCalendar days until the option expires.
zThe standard-normal multiple for the confidence band: 1 for 68.3%, 1.645 for 90%, 1.96 for 95%, 2.576 for 99%.

Using it, step by step

Enter the underlying's spot price.
Enter the at-the-money implied volatility for the expiry you care about — not India VIX, unless your window happens to be 30 days.
Enter calendar days to that expiry, not trading days.
Choose a confidence band. The 68% band is the conventional 'expected move'; the 95% band is what a risk manager looks at.
Read the range, then sanity-check it against the at-the-money straddle price × 1.25. If the two disagree by more than a few percent, one of your inputs is wrong.

Worked example

NIFTY

NIFTY is at 24,000, the 7-day at-the-money implied volatility is 13%, and you want the one-standard-deviation band. The move is 24,000 × 0.13 × √(7/365) = 24,000 × 0.13 × 0.1385 ≈ 432 points. So the option market is pricing roughly a 68% chance that NIFTY expires between 23,568 and 24,432 seven days from now. Now the part most people skip: that also means the market is pricing roughly a 32% chance it closes outside that band — about one expiry in three. A short strangle sold at those strikes is not a high-probability position because the band is wide; it is a position whose losses arrive on the one occasion in three when the band is breached, and whose worst outcomes are unbounded.

Assumptions and limitations

What this calculator assumes. Every number it produces is only as good as the assumptions below, and each of them is wrong to some degree in a real market. The output is a model's opinion, not a measurement.

Returns are assumed lognormal, so the price distribution is symmetric in log space. Real index returns are negatively skewed and fat-tailed, and the volatility skew is the option market's own acknowledgement of this.
Implied volatility is assumed constant over the window. In practice it changes daily, and it changes most when the underlying moves most.
The calculation uses calendar days ÷ 365 because the option expires on a calendar date and the underlying can gap over a weekend. Platforms that use trading days ÷ 252 will show a move about 6% larger.
The 68.3 / 95.4 / 99.7 coverage percentages are properties of the NORMAL distribution. Real markets deliver far more three-standard-deviation days than the normal model allows, so the outer bands understate tail risk substantially.
The expected move says nothing about the PATH. A position can be stopped out by an intraday excursion the closing price never records.

Common mistakes

Treating the band as a boundary. About one expiry in three closes outside the 1σ band — that is the band's design, not its failure.
Feeding in India VIX for a window that is not 30 days. India VIX is a constant-30-day quantity; for a 7-day expiry, use the 7-day at-the-money implied volatility.
Using trading days instead of calendar days and quietly overstating the move by about 6%.
Reading the expected move as an expected profit. It is a measure of dispersion, and dispersion cuts in both directions.
Assuming a symmetric band is a fair description of a market with a steep put skew. The downside tail is fatter than this calculation admits, and the option market prices it that way.

Frequently asked questions

What is the expected move?

The expected move is the one-standard-deviation price range that an option's implied volatility implies over a given period. With NIFTY at 24,000, 13% implied volatility and 7 days, it is about 432 points either side. It is what the option market is charging, not a forecast.

How do I calculate expected move from implied volatility?

Multiply the spot price by the implied volatility (as a decimal) and by the square root of days divided by 365. For NIFTY at 24,000, IV 13%, 7 days: 24,000 × 0.13 × √(7/365) ≈ 432 points.

Why 365 days and not 252 trading days?

Because the option expires on a calendar date, and the underlying can gap over a weekend even though it does not trade. Realised volatility is annualised on 252 trading days for the opposite reason — a closed market does not move. The two conventions are inconsistent and both are standard.

Can I get the expected move without a calculator?

Yes. Read the at-the-money straddle price and multiply by about 1.25. This is Brenner–Subrahmanyam rearranged, and it is accurate to a few percent for at-the-money options.

How often does the market close outside the expected move?

About one time in three for the one-standard-deviation band, if returns were normal. In practice, large moves happen somewhat more often than the normal model allows, because real index returns have fat tails.

Is the expected move the same as the breakeven of a straddle?

Very nearly, and that is not a coincidence. A long at-the-money straddle breaks even at spot plus or minus the total premium paid, and the total premium is about 0.8 of the one-standard-deviation move. So the straddle's breakeven sits slightly inside the 1σ band.

Does the expected move account for the volatility skew?

No. It is symmetric by construction. Real equity-index distributions are negatively skewed, so the true probability of a large fall exceeds what this band implies. The option chain prices that asymmetry through the skew; this formula does not see it.

Should I use India VIX as the implied volatility input?

Only if your window is about 30 days, because India VIX is defined as a constant 30-day quantity. For a weekly expiry, use the at-the-money implied volatility of that specific expiry, which can differ substantially from India VIX.

Voice search & related questions

What is the expected move of NIFTY this week?

Multiply NIFTY's spot by its weekly at-the-money implied volatility and by the square root of days divided by 365. At 24,000 with 13% IV and 7 days, that is about 432 points either side.

Why does the market move more than the expected move?

Because the expected move is a one-standard-deviation band, and about one outcome in three falls outside one standard deviation even in a well-behaved normal distribution. Real markets have fatter tails, so it happens slightly more often still.

How do I find the expected move from the straddle price?

Multiply the at-the-money straddle premium by roughly 1.25. It is a rearrangement of the Brenner–Subrahmanyam approximation and it works to within a few percent.

Last reviewed 10 July 2026. Educational content only — not investment advice.