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1Fix the driver behind crashes, sound loss and screen glitches2Repair Windows errors before they cause bigger problems3Scan for outdated or missing drivers - takes under a minuteTo estimate the move that options prices around an earnings report are implying, add the premiums of an at-the-money call and put with the same strike and expiration, then divide that total by the current share price. For example, a $3 call plus a $2 put on a $100 stock produces a 5% estimate. That is a market-priced scale for the stock’s movement through the selected expiration—not a directional forecast, a guaranteed range, or proof that an options trade is attractive.
The result is meaningful only when you identify the report timing, use an expiration that spans the first post-report session, record contemporaneous quotes, and explain how much ordinary time remains after the event. Implied volatility, quote quality and the stock’s own earnings history all affect the number.
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What an options-implied expected move tells you
An expected move is an estimate derived from option prices. It reflects what traders are paying for volatility over a defined period, including the uncertainty around the earnings announcement. It does not assign a probability to a specific price, identify the likely direction, or say that the stock will remain inside the estimate.
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The usual event-focused measure is a same-strike, same-expiration at-the-money straddle. The call provides exposure to an upside move and the put to a downside move. Adding their premiums creates a symmetric dollar amount; dividing by the stock price converts it to a percentage.
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If the stock is $100 and the calculation is 5%, the simple interpretation is a range of roughly $95 to $105 through the chosen expiration. The phrase “through expiration” matters: the figure includes the earnings reaction and any additional trading days before the options expire.
The core straddle calculation
Use these variables:
| Item | Meaning |
|---|---|
S |
Current stock price, observed at the same time as the option quotes |
C |
Premium of the near-at-the-money call |
P |
Premium of the put with the same strike and expiration |
C + P |
Dollar value of the at-the-money straddle |
(C + P) ÷ S × 100 |
Approximate percentage move priced by the options |
Use a strike close to the current share price, not an unrelated out-of-the-money strike. Both legs must have identical strike and expiration. If the strike is materially away from spot, the sum reflects directional skew and moneyness as well as event volatility, so it is no longer the cleanest symmetric estimate.
The Options Industry Council describes this calculation as a rough percentage estimate around an event such as earnings. “Rough” is important: option prices include interest, dividends, supply and demand, volatility skew and the time value associated with every day until expiration.
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- Verify when the company reports. Determine whether the announcement is before the opening bell or after the closing bell. Then identify the first trading session in which the market can react. Earnings calendars can change, so confirm the date and timing on the issuer’s investor-relations calendar close to the trade or publication date.
- Choose an expiration after that reaction session. Select an expiry that remains open through the first post-announcement session. Write the exact expiration date in your notes. An expiry several weeks later captures more ordinary price movement and time value than an expiry immediately after the event.
- Locate the near-at-the-money strike. In the option chain, find a strike near the current stock price. Select the call and put at that same strike and expiration. If the stock is between strikes, use the closest practical strike and disclose that it is only approximately at the money.
- Capture usable quotes. Record the bid, ask, midpoint if you use it, and the timestamp for each leg. Midpoints are a calculation convention, not prices you are guaranteed to receive. A stale quote or unusually wide spread can distort the sum. No universal spread cutoff is established; judge whether the market is reasonably tradable and state your convention.
- Add the premiums. Calculate
C + P. This is the straddle’s dollar cost per share and the rough dollar movement priced through expiration. - Convert to a percentage. Divide the combined premium by the stock price observed at the same time, then multiply by 100. Keep the inputs together so another reader can reproduce the result.
- Label the horizon. Report the result as “approximately X% through the [expiration date],” not simply “the earnings move is X%.” If the expiry includes several sessions after earnings, say so.
- Compare, do not predict. Place the estimate beside the company’s prior earnings reactions and its recent implied-volatility context. Those comparisons help you judge whether the price is unusually high or low; they do not create a reliable probability forecast.
Expiration timing changes what the number covers
After-close reports
For a report released after the close, the first reaction normally occurs during the next regular session. An expiration that ends before that session cannot measure the event. An expiry at the end of that session captures the immediate reaction more closely; a later expiry also includes subsequent trading days.
Before-open reports
For a report released before the open, the same day is the first reaction session. An expiry after that day includes the event, while an expiry before it does not. Check the exchange calendar as well as the company’s stated timing because holidays and shortened sessions can alter the number of trading days.
Why an “earnings-only” label can mislead
Options do not isolate one instant. A contract expiring after earnings carries overnight risk, regular-market risk and time value beyond the announcement. Two analysts can produce different expected moves while both calculate correctly if they use different expirations. Always show the expiration date alongside the percentage.
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Quote quality and strike selection can dominate a small calculation
Use contemporaneous stock and option prices. If the stock price is from 10:00 a.m. but the option quote is from an earlier print, the percentage can be internally inconsistent. Note whether you used the midpoint, an executable ask, an executable bid or an actual fill.
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Scan for outdated or missing drivers - takes under a minuteDriver Scan →Repair Windows errors before they cause bigger problemsFix Now →Wide markets create a range of possible straddle values. For example, adding two midpoints may produce a neat number even though neither leg can be bought near that midpoint. Conversely, using both asks estimates a purchase cost while using both bids estimates a sale value. Those are different questions. State the convention rather than presenting one as universally correct.
Liquidity matters, but the reviewed educational sources do not specify a universal numerical spread threshold. Look for active volume, open interest and quotes that update with the underlying, then explain any material limitation. A highly unusual spread is a reason to treat the result as indicative rather than precise.
Put the estimate beside the stock’s own earnings history
Historical reactions are context, not a promise. Measure past events consistently—for example, from the prior regular-session close to the first post-report close—and use the same convention for every quarter. Mixing intraday highs, overnight prices and closing prices can make a history appear more comparable than it is.
Some platforms, including the tools described by Charles Schwab, show the prior eight earnings periods. Eight observations can reveal whether reactions have generally been quiet or wide, but it is still a small, changing sample. A company can move far more or less than its recent pattern because guidance, valuation, macro news or an unexpected product issue changes the market’s response.
Compare the current implied-volatility level with the stock’s own history. The Options Industry Council identifies IV Rank and IV Percentile as ways to place current implied volatility in historical context. A high rank means premiums are elevated relative to the selected lookback, not that a large move is certain. A low rank does not guarantee that an earnings announcement will be uneventful.
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Implied volatility explains why the estimate changes
Implied volatility is an input embedded in option prices. Holding other factors constant, higher implied volatility generally produces higher premiums and therefore a larger straddle estimate. Earnings uncertainty often pushes implied volatility higher as the announcement approaches.
That rise can make an estimate increase even when the share price barely changes. It can also make a long option expensive before the event. After the announcement, the uncertainty is removed and implied volatility often drops sharply—a “volatility crush.” The drop can reduce an option’s value enough to offset some or all of the benefit from a correctly anticipated stock move.
Suppose a call buyer expects a rally and the stock rises. If implied volatility falls substantially after earnings, the call may gain less than expected or even lose value. Direction alone is not the option’s entire return; the starting premium, time remaining, strike, interest, dividends and volatility change all matter.
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One free scan finds every outdated or missing driver and matches the right update for your exact hardware.Free scan · exact hardware matchStraddle estimate versus an annualized-volatility formula
A second approach starts with annualized implied volatility and scales it to a rough daily move:
Approximate daily dollar move = stock price × annualized implied volatility × 1 ÷ √N
Here, N is the number of trading days used for the annualization convention. This calculation assumes returns behave approximately like a normal distribution and is not guaranteed. It describes a daily volatility scale, not the event-specific dollar cost of options expiring after earnings.
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| Method | Primary input | Horizon | Useful for | Main limitation |
|---|---|---|---|---|
| ATM straddle | Call premium plus put premium at one strike and expiry | Through that expiration | A quick market-priced event range | Includes post-event time and is sensitive to quote quality and strike choice |
| Annualized-IV scaling | Annualized implied volatility | Usually one trading day when scaled | Comparing volatility levels across periods | Relies on distribution and scaling assumptions; not an earnings-specific quote |
| Proprietary expected-move display | Platform model and selected inputs | Defined by the platform | Convenient screening | Method may be theoretical and can differ from a simple straddle |
Do not place outputs from these methods in the same column as if they were interchangeable. State the horizon, formula and assumptions for each.
Worked arithmetic examples
Simple illustrative example
Assume, purely for arithmetic, that a stock trades at $100, the near-the-money call costs $3.00 and the matching put costs $2.00. The straddle is $5.00. Dividing $5.00 by $100 gives 0.05, or 5%. The rough band is therefore $95 to $105 through that option’s expiration. These are invented teaching values, not a live quote, historical statistic or backtest.
Published educational illustration
A Cboe educational presentation hosted by Fidelity shows a $17.50 underlying price and a $1.85 mid-market straddle, producing a 10.6% move through expiration. It is a dated teaching illustration rather than a current quote or a prediction for any particular company.
Independent reader supportYour contribution helps us test, update, and keep practical guides available for everyone.How to compare two different expected-move numbers
When two screens disagree, check the definitions before deciding that one is wrong.
- Expiration: Does each expiry include the first post-report session? How many ordinary sessions remain afterward?
- Strike: Are both legs at the same strike, and is that strike close to the current stock price?
- Timestamp: Were the stock and option prices observed at the same time?
- Quote convention: Does one figure use midpoints while another uses executable prices?
- Volatility context: Is current implied volatility elevated relative to its own recent IV Rank, IV Percentile or platform lookback?
- History: Were prior reactions measured with the same start and end prices?
- Model definition: Is the display a transparent straddle calculation or a proprietary theoretical measure? A platform’s “Market Maker Move,” for example, may differ from a simple premium sum and may be greater or smaller than the realized move.
Resolve these differences first. A larger number may simply include a later expiry, while a smaller number may use a nearer expiry or lower volatility snapshot.
What the estimate does not tell you about direction
A symmetric straddle deliberately avoids choosing a side. A 6% estimate means the options market is charging for a certain amount of movement, not that a 6% gain and a 6% loss are equally likely, nor that either outcome is the most probable.
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Fundamental news can produce counterintuitive reactions. A company can report strong results and fall if investors expected even better results, guidance disappoints, or valuation contracts. A weak report can produce a rally if expectations were lower. The expected-move calculation cannot resolve those directional questions.
Risk considerations before using the number in a trade
Long straddles and strangles
A long straddle pays both premiums and needs a sufficiently large move to overcome that cost, along with the effect of volatility changes. A strangle uses different, usually out-of-the-money strikes and therefore is not the same calculation; its premium sum cannot be presented as the at-the-money estimate without labeling the difference.
Uncovered short options
A rough expected move is not a justification for selling uncovered options. A naked short call has theoretically unlimited upside risk, while a naked short put remains exposed to a fall toward zero. A short straddle or strangle can lose substantially when the stock moves beyond the premiums collected. Anyone considering an options strategy should read the applicable options-risk disclosure and confirm that the strategy is permitted and suitable for their account.
Why a “correct” forecast can still lose
Even if the stock moves in the anticipated direction, an option position can lose because the move was smaller than the premium implied, implied volatility collapsed, or time passed. The straddle estimate is a pricing reference, not a break-even guarantee. For a long straddle purchased at strike K with total premium Ptotal, the approximate expiration break-even levels are K + Ptotal and K − Ptotal; before expiration, volatility and time value still affect the position.
A reproducible worksheet
Before relying on a calculated figure, record the following:
- Company ticker and confirmed report date
- Before-open or after-close report timing
- First session available for the market’s reaction
- Option expiration date and number of sessions after the event
- Stock price and timestamp
- Call and put strikes, both identical and near spot
- Call bid, ask, midpoint or execution price
- Put bid, ask, midpoint or execution price
- Formula used and resulting dollar and percentage values
- Recent implied-volatility context, such as IV Rank or IV Percentile
- Historical earnings-reaction convention and observations used
- Any wide spreads, stale quotes, unusual dividends or other data limitations
This record prevents a common mistake: comparing a precisely timestamped straddle with a platform estimate generated at another time or for another expiration.
Limits of the estimate and the evidence behind it
There is no current quote for a particular company in this guide, no calibrated probability that the stock will reach either boundary, and no universal option-liquidity cutoff. A company-specific calculation requires the ticker, report timing, share price, strike, expiration, bid and ask or midpoint, and quote timestamp.
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Options-market activity also should not be confused with profitability. Cboe Global Markets reported that long straddles represented 0.6% of complex orders during earnings-announcement weeks versus 0.2% on normal days in its 2022 comparison, using data from the fourth quarter of 2019 through the fourth quarter of 2022. That statistic describes order composition in the report’s sample; it is not the percentage of traders who made money and is not a forecast for any stock.
The most defensible use of an expected move is therefore narrow: define the contract and timestamp, calculate the premium-implied scale, compare it with consistent historical and volatility context, and keep direction, probability and trade suitability as separate questions.
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