Expected Move: What the Options Market Predicts

What is the Expected Move?

The Expected Move (EM) is the range that the options market implies price will stay within over a given timeframe, with roughly 68% probability (one standard deviation).

In GammaLens, the EM is derived from the structural levels — specifically the distance between the call wall and put wall, calibrated against implied volatility. It represents the market's consensus on how far price can move before hitting significant structural resistance.

For example, if SPY is at $682 with an EM of ±0.77% (±5 points), the options market is pricing in a range of roughly $677 to $687 for the near term.

How to Use the Expected Move

The EM is useful in several ways:

Position sizing: if the EM is ±$5 on a $680 stock, you know what kind of move the market expects. Size your positions accordingly.

Options selling: selling options outside the expected move range means you're selling options the market considers unlikely to be reached. This is the foundation of premium-selling strategies.

Defining risk: if you're long and price moves beyond the EM, something unusual is happening. The structure is breaking. That's a signal to reassess.

Daily planning: the EM gives you a realistic range for the day. If SPY's daily EM is ±$4, expecting a $10 move is unrealistic unless something breaks.

Expected Move and Structural Levels

The EM and structural levels are related but distinct. The call wall and put wall represent the strongest hedging barriers. The EM represents the statistically implied range.

Often they align — the EM range sits inside the CW/PW range. But when they diverge, it's informative:

EM wider than CW/PW range: implied volatility is elevated relative to the structural barriers. The market is pricing in the possibility that walls break.

EM narrower than CW/PW range: structural support is strong relative to expected movement. Walls are likely to hold.

GammaLens displays the EM in the sidebar alongside the structural levels, so you can see both frameworks simultaneously and compare them.

Expected Move Across Timeframes

The expected move scales with the square root of time. A weekly EM of ±2% implies a daily EM of roughly ±0.9% (2% ÷ √5).

This matters because different trading styles operate on different timeframes. A day trader cares about the daily EM. A swing trader cares about the weekly. A position trader might look at the monthly.

By filtering expirations in GammaLens, you can see how structural levels shift across timeframes — the near-term structure driven by weekly options often looks very different from the longer-term structure driven by monthly expirations.