Implied Move & Break-even Calculator
Estimate the expected (1-sigma) move in a stock by expiry from its implied volatility — handy around earnings — and get the break-even for a single call or put.
How it works
Implied volatility encodes the market's expected range. The expected one-standard- deviation move scales the price by the volatility and the square root of time to expiry. Roughly two-thirds of the time the stock should land within ± that move by expiry.
No IV handy? The price of the at-the-money straddle is a quick proxy — the expected move is about 85% of the straddle premium. The optional break-even box adds the simple call/put break-even (strike ± premium).
Worked example
Stock at $100, implied volatility 30%, one year to expiry:
- Expected move = 100 × 0.30 × √(365/365) = ±$30 (±30%).
- Expected range ≈ $70 to $130 by expiry.
- A $100 call bought for $3 breaks even at $103.
The formula
implied move = price × IV × √(days / 365) (or ≈ 0.85 × ATM straddle price if no IV) call break-even = strike + premium put break-even = strike − premium
FAQ
- What does the expected move mean?
- The ±1-sigma range — the stock should finish within it about two-thirds of the time, per the implied volatility.
- I don't have the IV — can I still use it?
- Yes — enter the at-the-money straddle price instead; the move is about 85% of it.
- Is this a guarantee?
- No — it's the market's estimate of volatility, not a prediction of direction or a guaranteed range.