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Hedg3 AI Inc publishes general market content. Not personalized investment advice. All trading involves risk. Real-time options quotes are provided via OPRA under subscriber agreement; non-subscribers see delayed data. See Terms for full disclosures.

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Implied Move Calculator

Both are standard. Which one produced the figure is stated with it.

$
d

Calendar days, not trading days. Implied volatility is quoted on calendar time and the contract decays over a weekend.

%

Annualized, as quoted.

A normal distribution places about 68% of outcomes inside one standard deviation and about 95% inside two.

Move to expiry, 1 sd
$8.60078.601% of the price. Price times volatility times the square root of 0.08219 of a year
Upper bound
$108.60
Price entered
$100.00
Lower bound
$91.40
One standard deviation
$8.6007
One sd, % of price
8.601%
Year fraction
0.08219

The band is symmetric in dollars around the price entered, spanning 1 standard deviation over 30 calendar days.

Hypothetical illustration, computed only from the figures entered. Every input is typed; nothing here reads a live quote or a chain.

The volatility route linearizes a lognormal price around the spot, so the band is symmetric in dollars while a price is not, and a wide band can place its lower bound below zero. The straddle route uses the square root of pi over two, which follows from the at-the-money straddle formula at a zero rate and yield. Neither states a direction, and an implied volatility is a price rather than a measurement of what will happen.

Get startedSee pricing

What this does

Option prices carry a view on how far the underlying travels before expiry. Converting a quoted implied volatility, which is an annual figure, into the move over the actual days left gives the one-standard-deviation band the options are priced against. The at-the-money straddle answers the same question directly, because its price is what the round trip costs.

Worked example

A $100 underlying with 30% implied volatility and 30 calendar days to expiry has a one-standard-deviation move of $8.60, or 8.601%, so the band runs $8.60 either side of the $100 price. The at-the-money straddle on those inputs prices near $6.86, about 0.80 of that move, so the straddle route multiplies by about 1.25 to get back to it.

Mistake it prevents

Reading the straddle price as the standard deviation. It is about 80% of it, so taking it at face value understates the band by a fifth.