Implied Move Calculator
Estimate a symmetric price-move scenario from entered annualized IV or an idealized at-the-money straddle. This calculation runs in your browser and does not request market quotes.
Used only when solving IV from straddle price.
Call + put, same expiry; model strike equals spot. Divide a standard 100-share contract total by 100. Adjusted contracts can differ.
Implied Volatility
Linear Move Scale
±10.04% of spot
Linear Scenario Range
No calibrated probability or price forecast. A negative lower bound indicates the linear approximation is unsuitable.
Move = Spot × IV × √(calendar days / 365). Straddle mode solves a European Black–Scholes model with strike = spot and no dividends. Supported IV is greater than zero and at most 500%; failure to find a matching premium returns no result.
What Is Implied Move?
Implied volatility is inferred from option prices using a pricing model. This page converts annualized IV into a linear movement scale. It is not the mean absolute move, an exact lognormal interval, or a guarantee of the terminal price. For spot $100, IV 20% and 365 days, the scale is $20 and the displayed scenario is $80–$120.
How to Use This Calculator
- Choose input: Use "ATM Straddle Price" if you have option chain data (add ATM call + put mid), or "Implied Volatility" if you already have IV.
- Enter spot and days: Current stock (or underlying) price and days until expiration.
- Risk-free rate: Only used when solving IV from the straddle (e.g. 5%).
- Read the result: Implied volatility, 1σ move in dollars and percent, and the linear scenario range (low–high).
Why Use Implied Move?
- Earnings and events: Compare scenario widths while recognizing that event jumps and changing IV are outside this model.
- Targets and stops: A scenario boundary is not a suitable stop or target by itself; it does not model gap risk, position sizing or execution.
- Volatility assessment: Compare implied and historical measures over matching horizons. A difference alone does not establish mispricing.
Disclaimer: This tool is for educational purposes only. The implied move is based on Black-Scholes assumptions (e.g. lognormal prices, normally distributed log returns, constant volatility) and does not guarantee where the price will be at expiration.
Model Questions
What does this implied move calculator estimate?
It calculates a symmetric linear scenario, spot × annualized IV × square root of (calendar days / 365). It is a rough movement scale, not a forecast, probability interval or straddle breakeven.
Which straddle price can I enter?
Enter the call-plus-put premium per share in the same currency as spot. This model fixes strike equal to spot, uses European exercise and assumes no dividends. A nearest listed strike, American exercise, spreads or dividends can cause a mismatch. Use a separately estimated IV when these assumptions do not fit.
Does the range have a 68% chance of containing the expiry price?
No calibrated probability is supplied. About 68% describes a one-standard-deviation interval under a normal model; this symmetric spot-price approximation is not an exact lognormal quantile interval. Jumps, changing volatility and risk premiums can change outcomes. A negative lower bound flags a poor linear approximation; it is not a possible stock price.
Can the result tell me whether to buy or sell options?
No. Option profit also depends on premiums, timing, volatility changes, spreads, fees, exercise and assignment. Earnings jumps can violate a constant-volatility model. This tool does not fetch quotes or recommend a trade.
References: OIC technical information and Cboe data and IV limitations.
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Research Volatility Assumptions
Use Pineify Finance Agent to investigate market data and document a research question. This separate product does not turn the scenario above into a validated options trade.