What the Expected Move Is Pricing

Priced in vs predicted

The call mid plus put mid on the strike nearest last is what it costs to own both sides until expiry. Divide by spot and you get the box. If earnings sit inside that expiry, most of that premium is event variance. If the print is after expiry, you are looking at leftover week variance, not the full report.

After the print, compare the session percent we store on /t/SYMBOL to that box. Absolute realized move at or under the box is inside; larger is outside. That label describes the tape versus the straddle that was listed. It does not say the options were “wrong.”

A worked reading, still without a fake print

Suppose last is a liquid mark and the nearest expiry’s ATM call mid plus put mid is 6% of that mark. The page will say expected move ±6% and draw last ± that dollar amount. If the next session we score then closes 2% from the prior close, the recap is inside. If it closes 9% away, the recap is outside. The 6% never promised a 6% rally. It priced a two-sided package through expiry.

Now change only the expiry. If earnings are next month and the chain you are reading expires this Friday, that same 6% is leftover week variance, not the full report. The ticker page prints the expiry date for that reason. Reading a weekly box as “the earnings move” is the most common way this number gets abused.

Where to read it

Live box and last print: any calendar name opens /t/TICKER. Formula detail: How the implied move works. Vendor notes: Methodology.