Implied Move & Break-even Calculator

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.

How do I find the expected move for an earnings report?

Use the implied volatility of the options expiring just after earnings, with the days until that expiry; the calculator returns the ±1-sigma earnings expected move. No IV handy? Enter the at-the-money straddle price instead — the move is roughly 85% of it.

Is "implied move" the same as "expected move"?

Yes — both name the ±1-sigma range the options market is pricing in by expiry. It's the move implied by current option prices, not a directional forecast.