Implied-Move Calendar · Advanced

How the Implied Move Is Computed

ATM straddle price, the 1.25 correction, variance-additivity, kink isolation, and which feeds are live vs. pending — the full recipe.

The Implied-Move Calendar is built from live option chain data and a small set of well-established calculations. Here is exactly what is computed, what is estimated, and what is still connecting.

Step 1 — extract the ATM straddle

For each listed expiration, the tool identifies the strike closest to the current underlying price — the at-the-money strike. It reads the mid-price of the call and the mid-price of the put at that strike and sums them to form the ATM straddle price. Mid-price (the average of bid and ask) is used in place of last trade to avoid stale prints and to capture current market conditions.

Step 2 — the 1.25 correction

The formal 1SD dollar move from options theory is σ · S · √T, where σ is the annualized implied vol, S is spot, and T is time in years. The ATM straddle price equals approximately 0.8 × σ · S · √T under a log-normal model, which means the straddle price is roughly 1.25 times the implied vol's 1SD dollar move (since 1 ÷ 0.8 = 1.25). Dividing the straddle price by 1.25 brings the figure back to a proper 1SD estimate before the final division by spot price. In practice, skew and interest rates introduce small deviations; the 1.25 factor is the standard market approximation used on trading desks.

Step 3 — variance additivity and kink isolation

The curve is smooth when no events fall in the window. When an event does fall inside a window, the expiration that first captures it prices higher than the prior expiration — not because more calendar time has passed but because a discrete, expected variance contribution has been added. The tool estimates the smooth baseline by interpolating across expirations that appear event-free, then computes the kink as the residual above that baseline at the kinked expiration. This residual, converted back to a percentage move, is the event's marginal implied move.

Step 4 — the named-event calendar overlay

The tool attempts to match each kink to a labeled event from its calendar feeds. The following feeds are currently live: equity earnings dates (sourced from the earnings-calendar API); FOMC meeting dates (sourced from the Federal Reserve public calendar). The following are pending connection: CPI and PPI release dates; PCE dates; NFP (Non-Farm Payroll) dates; individual-company-specific events (analyst days, product launches). When a pending feed has not yet connected for a given underlying, the kink is still computed and displayed in the term structure; only the automatic label is absent. Users can match pending events manually by cross-referencing the kink date with the economic calendar.

Step 5 — historical over/under track

For names in the initial launch set with sufficient history, the tool flags whether the underlying has historically over- or under-delivered relative to its implied move at the same type of event. This historical track is computed as the ratio of the actual post-event move to the pre-event implied move, averaged across past events of the same type. Note: this historical track is currently a pending feature for names outside the initial set; the methodology will be updated as coverage expands.

Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. The 1.25 straddle-to-1SD approximation is a standard market convention; actual figures vary with skew and interest rates. Named-event feed coverage is described above. Diagrams are schematic. Nothing here is investment advice.