The Expected Move Before Earnings - How to Read the Implied Move

Reviewed by Leon Moyer - Published October 9, 2026 - Last reviewed October 9, 2026

The expected move, or implied move, is the size of the stock move that option prices are paying for over a period that includes an event such as earnings. The quickest estimate is the price of the at-the-money straddle in the first expiration after the report, divided by the stock price.

It tells you how big a move the market is pricing, in either direction. It does not tell you which way the stock will go, and it is not a promise that the stock will move that much.

How do you calculate the expected move from the straddle?

A straddle is a call and a put at the same strike and expiration. Here is the full method.

1. Find the first expiration after the earnings date. An expiration before the report does not include the event.
2. Pick the strike closest to the stock price.
3. Add the call and put prices. Use the mid of each bid and ask, since the spread can be wide before a report.
4. Divide by the stock price.

In one sentence: implied move = at-the-money straddle price / stock price, and the price range is the stock price plus and minus the straddle.

Is the expected move the same as one standard deviation?

Not quite, and the difference matters when you place strikes. There is a second common formula that uses implied volatility directly:

one standard deviation move = stock price x implied volatility x the square root of (days to expiration / 365).

For XYZ that is $100 x 0.80 x the square root of 7/365, or about $11.08. That is larger than the $8.83 straddle because they measure different things. Under the model, the straddle is close to the average size of the move, which works out to about 0.8 of one standard deviation ($11.08 x 0.8 is about $8.86). A useful rule: one standard deviation is roughly the straddle divided by 0.8.

Neither figure is a boundary. In the model, the stock finishes beyond one standard deviation about a third of the time, and real earnings moves have fatter tails than the model assumes.

How much of the straddle is the earnings report itself?

Part of the seven-day straddle pays for six ordinary days, not the report. Traders separate the two by comparing expirations. Cboe's earnings options analysis describes the same idea: comparing near-term volatility with longer-dated volatility gives the expected standard deviation for the post-earnings day.

Under the model, the arithmetic works because variance (volatility squared, times time) adds up across days. This is a simplification: it treats the report as one day and ignores weekends and skew, but it shows how much of the premium the event carries. Suppose XYZ's normal implied volatility, read from an expiration well after the report, is 30%. Then:

• The whole week at 80%: 0.80 squared x 7 days.
• Six ordinary days at 30%: 0.30 squared x 6 days.
• Whatever is left belongs to the report day. Converted back, it is one standard deviation of about $10.39, or an average move of roughly $8.30.

So most of this week's premium is the report. That is the part the IV crush removes the next morning.

How do you know if the implied move is high or low?

Compare it with what the stock has actually done. As the same Cboe analysis puts it, "The simplest way to estimate the magnitude of the reaction is by comparing the straddle price to historic moves."

For each of the last eight or so reports, measure the stock's move from the close before the report to the close after it, ignoring direction. Then compare:

• Implied move above the typical past move: options look expensive by this measure, which favors sellers if the stock behaves as it has before.
• Implied move below the typical past move: options look cheap, which favors buyers.

Suppose, hypothetically, XYZ's last eight reports moved it by $4, $11, $6, $3, $9, $5, $7 and $3. The average is $6.00, against the $8.83 the straddle now prices. That suggests the market is paying up this quarter, though two of the eight moves ($9 and $11) were bigger than the implied move.

Two cautions. Eight reports is a small sample, and a company's business can change between them. And a measured move from close to close ignores how far the stock swung in between, which matters if you hold a short option with a stop.

What does the expected move not tell you?

• Direction. The straddle prices the size of the move, not which way it goes.
• Timing. The straddle covers the whole period to expiration, not only the report.
• Your edge. A high implied move is not automatically a good sale. Markets often price earnings more richly when the risk really is larger.

The rest of this module uses the same XYZ numbers to compare the main ways to trade around a report: buying or selling premium, defined-risk spreads, and directional spreads.