Options expected move: why two calculators can give different answers

Put a label beside each number

An expected-move label can refer to several calculations. Write down the method before comparing the output. The table uses deliberately separate teaching inputs; the 45% IV was not derived from the $2.50 call and put.

In the straddle example, the stock and both strikes are $100. The call and put share an expiration and each has an illustrative midpoint of $2.50. In the separate IV example, the stock is also $100, but the assumed annualized IV is 45% and the horizon is seven calendar days.

The $5, $6.23 and $4.25 figures are not three valuations of the same measured market. The sections below explain the different definitions.

A $5 straddle quote is not a $5 contract bill

Fidelity’s straddle explanation pairs one call with one put on the same underlying, strike and expiration. ATM means at the money: the strike is at or near the stock price. Adding their premiums gives the quoted price of the pair.

In our example, $2.50 + $2.50 = $5 per share. With a 100 premium multiplier on each leg, one call costs $250 and one put costs $250 at those prices: $500 for the pair before charges. OCC’s equity-option specifications describe standard contract units and adjusted contracts; check the actual terms.

These are midpoints, not fills. The option mark-price versus exit-price guide explains that distinction. If both legs were actually bought for a combined $5 per share and held to expiration, the simplified breakevens would be $95 and $105: the $100 strike minus or plus the paid premium, excluding charges.

Those endpoints belong to the expiration payoff calculation. They are not a probability interval, and they do not establish what selling the position before expiration would return.

The IV formula starts with a different input

Schwab’s IV explanation illustrates a common approximation: stock price × annualized IV × the square root of the fraction of a year. Using our independent assumptions gives $100 × 0.45 × √(7/365) ≈ $6.23. Centering that amount on $100 gives approximately $93.77 to $106.23 at the stated horizon.

The 45% is an annualized volatility input, not a seven-day percentage. The square-root term rescales it. This is a simplified one-standard-deviation estimate under the model’s assumptions; it does not promise that 68% of real outcomes will land inside the band or that price will stay inside it throughout the week.

IV itself is inferred from option prices through a model. OIC’s technical explanation also describes how IV can differ across strikes and expirations. A single-contract IV, an ATM reading and a provider’s combined reading need not match.

Keep the time basis and event horizon consistent

The seven-day example counts calendar days and divides by 365. Schwab’s earnings discussion also shows a daily calculation based on trading days. Use the day count and annualization convention specified by the provider; changing the denominator while keeping incompatible inputs does not reconcile two methods.

An expiration a week after earnings includes time before and after the announcement. Its options price more than the earnings reaction alone. Schwab separately describes Market Maker Move as a proprietary estimate for an upcoming event. A full-expiration calculation is not automatically an isolated one-day earnings estimate.

After the announcement, stock price, time remaining and IV may all change. The IV-crush guide explains why a favorable stock move can coexist with a lower option price. Expected move describes the underlying’s movement; delta describes an option’s local sensitivity to a stock move.

Treat the 85% rule as a named convention

tastylive’s event calculation uses 85% of a front-month ATM straddle near a binary event, describing use the day before the event or very close to expiration. Applied to our invented $5 straddle, its arithmetic gives $4.25.

That explains why a provider might display a smaller number than the full straddle price. It is a provider-specific event convention, not a universal correction to every straddle or IV formula. Multiplying by 85% does not change the actual premium paid or the expiration breakevens of a purchased straddle.

Reconcile two calculators in five checks

Record these details beside each result. The first mismatch often explains more than another decimal place:

1. Method and units: is the output a full straddle premium, a scaled event convention or an IV-based stock-price range? Is it dollars, percent or contract cost?
2. Contract and horizon: match the underlying, strike and expiration. For earnings, record the announcement time and whether the estimate covers that event alone or the entire remaining life.
3. Price inputs: use the same observation time and quote convention. A last trade, midpoint and executable bid or ask are different inputs.
4. IV and clock: identify the contract or aggregation behind the IV, confirm it is annualized, and match calendar or trading time to that model.
5. Purpose: keep a range estimate separate from a position’s actual cost, expiration payoff and possible exit price. None is a trade recommendation.

Use the scanner to organize the contract research

ConvexRadar’s option-chain scanner helps organize exact contracts and their research context. Use it to identify the call or put, strike and expiration, then verify a current quote and data timestamp with your broker or data source.

ConvexRadar does not currently compute expected move. Its displayed Stored IV is a capped legacy value from the stored scan, not an uncapped annualized IV input for this formula. Do not substitute it into the calculation or treat it as historical IV rank.

The useful outcome is a comparison you can explain: the method, inputs, time horizon and units behind each number.