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Expected Move
Options
The expected move is the approximate price range that option prices imply for a stock through a given date.
In practice it is most often estimated by adding the premiums of the nearest-dated at-the-money call and put (the straddle price). It says nothing about direction, only size, and the actual move can land inside or outside that range.
Example
With the stock at $100, if the $100 call and $100 put expiring just after earnings cost $4 each, the total is $8, meaning the market is pricing a move of roughly 8%.
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More in the Guide
What the Options Market Prices: Implied Volatility and the Expected MoveReading how big a move the market expects before an earnings night, straight from option prices with a single division.How to Read an Earnings DayWhy a company posting record profit drops 9% — expectations, the gap, and guidance.