Implied-Move Calendar · Foundations
Free to readHow to Read the Implied-Move Calendar
Pick an underlying, scan the curve for kinks, match kinks to labeled events, read the marginal event contribution. Four moves.
The tool plots the ATM straddle-implied move for every listed expiration of your chosen underlying. The y-axis is the implied move in percentage; the x-axis is calendar days to expiration. Everything you need to know about the market's event pricing is already on that chart — here is how to work it.
Step 1 — pick the underlying and set the view
Choose the underlying from the ticker input. The chart immediately populates with one dot per listed expiration, connected into the term-structure curve. On ETF Analytics the universe is ETFs; on ETF + Equities, any optionable single name is available. The default view shows all listed expirations; you can zoom to a window around the nearest catalyst if you prefer.
Step 2 — find the smooth baseline, then find the kinks
On a no-event week, implied moves grow with time in a roughly smooth, concave-up curve — earlier expirations are smaller moves, later ones are larger. Scan for departures from that smooth shape: any expiration where the curve steps up more than the surrounding points is a kink. Kinks are event premium made visible.
The dashed line is the smooth baseline — what implied moves would look like with no event. The amber dot is the kink at the expiration that captures earnings. Schematic; not a live chart.
Step 3 — match the kink to the calendar label
Below each kink the tool overlays the named-event calendar label when the event feed has that date populated — EARNINGS, FOMC, CPI, and similar. Where the label is present, the kink is identified. Where the feed has not yet connected a date, the kink is still visible in the curve; you can match it manually to a known event date. The methodology page describes the current state of each event feed.
Step 4 — read the marginal event contribution
The kink's height above the smooth baseline is the marginal implied move attributed to the event alone — the market's estimate of the event's stand-alone magnitude. To isolate it: read the implied move at the kinked expiration, then read the implied move at the prior expiration (which should sit on or near the baseline). The difference — adjusted for the time between expirations — approximates what the market is pricing for the event itself, stripped of the diffusive drift between the two dates.
Comparing the kinked expiry's implied move directly to a later, smooth expiry gives a misleading ratio — later expirations always have larger moves because they cover more time. Always compare the kinked expiry to the surrounding expirations to isolate the event contribution. The marginal-move panel on the tool does this automatically when event feeds are connected.
What the historical track tells you
When the historical-event track is populated for a name, the tool flags whether this underlying has historically over- or under-delivered relative to its implied move around similar events. An underlying that habitually moves less than implied is a premium-selling candidate going into events; one that habitually exceeds its implied move is a premium-buying candidate. This track is listed in the methodology as a pending feed for names outside the initial launch set.
Reading the chart is free. To pull a live calendar on your underlying: ETFs with ETF Analytics, single stocks with ETF + Equities, and the full term-structure history with Everything.
See plans →Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. Diagrams are schematic. Implied move is a ~1SD estimate (~68% band), not a cap on the actual move. Nothing here is investment advice.