Expected Move

The expected move is the market-implied one-standard-deviation range for the underlying over a given horizon, commonly estimated from the price of the at-the-money straddle. The 0DTE chain publishes a same-day expected move every morning - the options market's own estimate of that session's range.

The simplest estimate reads the at-the-money straddle (call plus put at the nearest strike): its cost approximates the move the market charges for, and a common refinement is roughly 85% of the straddle price as the one-standard-deviation range. A 30-point expected move on the S&P 500 means options are priced for about a 30-point swing in either direction.

One standard deviation is not a boundary: if options are fairly priced, the underlying should close inside the expected move only about two-thirds of the time. Breaks of the range are normal, and their frequency is itself a read on whether options are cheap or rich.

Structure analysis uses the expected move as the day's frame: the strikes at and just beyond it are where open interest tends to cluster, which is why walls and pins so often sit near the expected-move boundaries.