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Expected move
An expected move estimates the size of a price range implied by options for a chosen expiration. Read the calculation method, reference price, and time horizon together: different methods can produce different boundaries from the same chain.
A symmetric ±10-point estimate around 100 gives boundaries of 90 and 110 and a total span of 20 points. It does not specify which direction price will move.
One expiry, four estimates
TanukiTrade shows three underlying methods — BEM, STD¹, and delta distance — plus the Smart blend. This example holds the reference price and expiration constant so the method differences are visible.
- Lower boundary
- 7,441.94
- Upper boundary
- 7,908.32
- Total span
- 466.38 pts
- Lower boundary
- 7,303.63
- Upper boundary
- 8,046.63
- Total span
- 743.00 pts
- Lower boundary
- 7,324.31
- Upper boundary
- 7,959.88
- Total span
- 635.57 pts
- Lower boundary
- 7,356.63
- Upper boundary
- 7,971.61
- Total span
- 614.98 pts
Each bar uses the same point-distance scale, centered on the reference price. Values come from the Adaptive Expected Move drawer example; they describe that snapshot.
Here, BEM and STD¹ are symmetric. The Δ16 downside distance is larger than its upside distance, and Smart retains that asymmetry. The ordering of the widths in this snapshot is an observation, not a fixed ranking for every market.
σ STD¹: the one-sigma estimate
STD¹ converts the selected expiration’s annualized IVx into a point-distance estimate. TanukiTrade draws this curve in ivory.
S × IVx × √TS is the reference price, IVx is annualized volatility as a decimal, and T is time to expiration in years. In calendar-day notation, T = DTE / 365. Keep the time convention consistent; a 0DTE label means expiry day, not that the contracts have already expired.
B BEM: Binary Expected Move
BEM is TanukiTrade’s premium-based blend for the selected expiration, shown in brown. It combines the ATM straddle and the first two OTM strangles:
0.6 × ATM straddle
+ 0.3 × first OTM strangle
+ 0.1 × second OTM strangleAn ATM straddle combines a call and put at the same at-the-money strike. An OTM strangle combines an out-of-the-money put and call at different strikes. Use premiums from the same expiration and consistent point units.
In the example, ±233.19 is the distance on each side of the reference. The total BEM span is 466.38 points. This premium-derived estimate does not carry a fixed 68% containment probability.
Δ Delta distance: read each wing
The blue envelope uses the distances to interpolated OTM put and call strikes at a chosen delta. The two sides can differ under skew; either wing can be wider. The WebApp offers 16, 20, 25, 30, 35, and 40.
Delta measures an option’s price sensitivity. A delta label is not an exact real-world probability of finishing beyond a boundary, touching it, or making a profit. Continue with Delta curves for interpolation and interpretation.
S Smart Range: average each side separately
The purple Smart EM Range averages BEM, STD¹, and Δ16 separately on the downside and upside. Its delta component stays at 16 when you change the independent manual delta-curve selector.
(233.19 + 371.50 + 350.82) / 3318.50 pts(233.19 + 371.50 + 284.75) / 3296.48 ptsSubtract the downside distance from 7,675.13 to get 7,356.63; add the upside distance to get 7,971.61. The wider downside wing reflects the input distances. It does not predict a downward move.
What “about 68%” actually means
About 68% of a normal distribution lies within one standard deviation of its mean. Applying that approximation to an expiry range concerns the outcome at expiration, not the probability that price never touches or crosses a boundary along the way.
Actual returns can have jumps, skew, and heavy tails. The estimate changes when its inputs change. BEM, Δ16, Smart Range, and the shaded space between two methods do not inherit a universal 68% probability from a nearby one-sigma curve. A range is also distinct from a position’s breakeven or probability of profit. See Probability and position risk.
Keep saved session ranges separate
Adaptive Expected Move describes the selected expiration using updated options analytics and a spot-based reference. The Static Expected Move Box records a 0DTE session range at a labeled snapshot. That saved band stays anchored while live price changes.
| Snapshot | Reference price | Calculation time (ET) |
|---|---|---|
| EOD | Previous session’s close | After the cash close, around 4:15 PM |
| PRE | Premarket spot at 6:30 AM | 6:30 AM |
| OPEN | Cash-open price at 9:30 AM | 9:30 AM |
Anchor 7,504.35
±34.56 ptsMain range
7,469.79 – 7,538.91
Anchor 7,431.23
±41.61 ptsMain range
7,389.62 – 7,472.84
The WebApp uses slate for EOD, amber for PRE, and violet for OPEN. The example above contains EOD and PRE. Their outer σ distances are separate from their main expected-move widths. Multiple enabled snapshots can be shown separately or combined with Merged Widest; see Expected Move Box display modes.
Compare the method, anchor, and date
- Match the symbol and expiration. A session range and a later-expiry estimate cover different horizons.
- Name the method and reference price. An upper boundary can change because the anchor moved, the distance changed, or both.
- Read the snapshot time. A locked PRE band and an updated Smart Range are different observations; their boundary difference alone does not measure how volatility changed.
- Separate the range from the trade. Crossing a boundary does not itself establish a signal, a stop, or a profitable option position.
Further reading: Cboe on volatility and time scaling, OIC on delta and option-price behavior, and OIC on standard deviations and tail risk.
Where you see it
TanukiTrade documentation. Levels are context, not a recommendation. tanukitrade.com