1. What is the Expected Move?

The Expected Move represents the range (in points) that the SPX is expected to trade within over a specified time period, based on its current implied volatility. It's a key concept in options trading and risk management.

2. How Does the Calculator Work?

The calculator uses the Expected Move formula:

Where:

• \( \text{SPX Price} \) — Current price of the S&P 500 index (in points)
• \( \text{IV} \) — Implied volatility (expressed as a decimal, e.g., 0.20 for 20%)
• \( \text{Days} \) — Time period in days

Explanation: The formula accounts for how volatility scales with the square root of time, showing the expected price range for the given period.

3. Importance of Expected Move

Details: The expected move helps traders assess potential risk/reward, set profit targets, determine stop-loss levels, and evaluate option pricing.

4. Using the Calculator

Tips: Enter current SPX price in points, implied volatility as a decimal (e.g., 0.20 for 20%), and the time period in days. All values must be positive numbers.

5. Frequently Asked Questions (FAQ)

Q1: How accurate is the expected move?
A: It's a statistical estimate - the SPX will stay within this range about 68% of the time (1 standard deviation).

Q2: What's the difference between IV and historical volatility?
A: IV reflects market expectations of future volatility, while historical volatility measures past price movements.

Q3: How does the expected move change with time?
A: The expected move increases with the square root of time - doubling the time period increases the move by about 41% (√2).

Q4: Can this be used for other indices or stocks?
A: Yes, the formula works for any security, but SPX is most commonly referenced for this calculation.

Q5: How is this related to option pricing?
A: The expected move helps determine the probability of options expiring in/out of the money and influences option premiums.