The 1-Day Expected Move and Post-Earnings Price Bands
The options market publishes a number for how far a stock moves on earnings day. Comparing it with what actually happened last time is one of the cleanest edges available for free.
Calculating a one-day move
The general expected move formula collapses neatly for a single session. With annual implied volatility IV, a one-day move is approximately price × IV ÷ √252, since there are about 252 trading days in a year.
A $200 stock with 32% implied volatility has a one-day expected move of 200 × 0.32 ÷ 15.87 ≈ $4.03, about 2%. That is the ordinary, non-event daily range the market is pricing.
Why earnings day breaks the formula
That calculation assumes risk is spread evenly across sessions. Earnings day is not an ordinary session: it concentrates a quarter's worth of information into a single gap.
This is why implied volatility on options expiring just after earnings is dramatically higher than on options expiring just before. The market is not saying the stock is generally more volatile — it is saying one specific session carries most of the risk.
The cleaner read for earnings is the front-expiry straddle: buy the at-the-money call and put on the contract expiring right after the report, and the combined premium is the market's implied one-day move.
Comparing implied against realized history
The genuinely useful exercise is comparing what the market implies against what the stock has actually done. Pull the absolute percentage move on each of the last eight earnings days and compare the median with the currently implied move.
If implied consistently exceeds realized, options into earnings have been expensive for that name — the pattern behind systematic premium-selling strategies. If realized has frequently exceeded implied, the market has been underpricing that stock's reports.
The limits of the comparison
Eight observations is a small sample, and the composition of risk changes: a company facing a strategic inflection is not comparable to its own steady-state history. A guidance change, an acquisition, or a new disclosure regime can make past reactions a poor guide.
Implied volatility also carries the variance risk premium, so it running slightly above realized is normal and not evidence of mispricing on its own. What matters is the size of the gap relative to that baseline.
See modelled one-day, one-week and one-month ranges built from measured historical volatility, not from options pricing.
Explore the live probability cone →Quick answers
How do I calculate a one-day expected move?
Multiply the price by the annual implied volatility and divide by the square root of 252. For earnings specifically, read the front-expiry at-the-money straddle price instead.
Why is implied volatility so high on options expiring after earnings?
Because a single session carries most of the quarter's information risk. The market is pricing one concentrated event, not a generally more volatile stock.
What does it mean if implied move exceeds realized history?
That options into earnings have been priced richly for that name. Some premium above realized is normal because of the variance risk premium; a persistently large gap is more notable.