Implied-Move Calendar · Foundations
Free to readWhat the Straddle Implies
An ATM straddle price converts directly into an expected move. Once you know the conversion, every expiration speaks in plain English.
Options traders have long used the at-the-money straddle as a quick shorthand for the market's expectation of how far an underlying can move by expiration. The conversion is simple enough to do in your head, accurate enough to trade on, and it is exactly what the Implied-Move Calendar automates across every listed expiration.
The conversion
Add the ATM call price and the ATM put price together. That sum is the straddle price. Divide by the current price of the underlying and you get the implied move — the market's estimate of the expected one-standard-deviation move, expressed as a percentage. A straddle that costs $6 on a $150 stock implies a 4% move by expiration.
The straddle price divided by the underlying price gives the implied move — the market's estimate of roughly one standard deviation by expiration. Quick enough to compute in your head; exact enough to trade on.
What "one standard deviation" means in practice
A one-standard-deviation move by expiration means the market puts roughly a 68% probability on the underlying finishing within that range — and a 32% probability on finishing outside it, in either direction. The implied move is not a guarantee and not a cap. It is the market's central estimate of magnitude. In any given expiration cycle, approximately one in three outcomes exceeds the implied move — sometimes modestly, sometimes sharply. That is the nature of a 1SD estimate.
Single expiry vs. across expiries
A single straddle tells you what the market expects for one expiration. The power of the Implied-Move Calendar is reading that figure across all expirations simultaneously. On a quiet week, implied moves scale smoothly with time — the 30-day move is larger than the 14-day move in proportion to the square root of days. When that smooth curve bumps up at a specific expiration, something is going on at that date: a known catalyst is being priced in, and the calendar's label tells you what it is.
The straddle is long both the call and the put, so it wins whether the stock goes up or down — provided it moves enough. The implied move is entirely about magnitude. The option chain does not reveal direction; it reveals the size of the move the market thinks is plausible. Treat implied moves as magnitude estimates, not forecasts of direction.
Why the straddle slightly overstates the 1SD move
The formal 1SD move from a normal distribution is the option-chain-derived implied vol times the stock price times the square root of time: σ · S · √T. The straddle price also includes skew, the bid/ask spread, and a small time-value residual, so the straddle price is approximately 1.25 × the pure 1SD dollar move. Dividing by 1.25 gives the exact 1SD number; dividing by the stock price directly gives a slight upward bias. Both are useful. The calendar's implied-move figures apply the correction so each reading approximates the genuine one-standard-deviation estimate.
The concept is free. To read live straddle-implied moves across every expiration: ETFs with ETF Analytics, any optionable single stock with ETF + Equities, and the full history with Everything.
See plans →Your next step
Open the tool → Read: how to read the calendar → Read: how the implied move is computed →Educational content from Nations Indexes. VolDex® is a registered mark of Nations Indexes. Implied move is a ~1SD estimate (~68% band), not a cap on the actual move. Diagrams are schematic. Nothing here is investment advice.