How the Implied Move Works

Why a desk uses a box at all

Earnings are a scheduled unknown. The cash market will print a new last after the words hit. The options market, before those words, will sell you a package that pays if the name travels a long way and decays if it does not. The cheapest simple package that answers “how far is priced through this expiry?” is the at-the-money straddle: buy (or mark) the call and the put with the strike nearest last.

Add those two mids. That sum is a dollar amount. Divide by the underlying last. That quotient is a percent. Add and subtract the percent from last and you have a lower and an upper. That pair is the box on the ticker page. It is a translation of listed quotes, not a confidence interval we derived from a volatility surface model we do not publish.

The walk, without invented prints

One: take the nearest listed expiry that still has a usable chain. Two: find the strike closest to last. Three: take call mid and put mid on that strike. Mid means (bid + ask) / 2 when both sides exist. Four: sum the mids. Five: divide by last. Six: last ± that percent is the dollar box.

If last is missing, we do not divide. If the chain is missing, we do not invent mids from last week’s snapshot. If the bid/ask is a canyon, the mid is still a mid — and the page should be read as “this name is sloppy,” not “this name is precisely a 7.14% event.” Illiquid boxes are artifacts. Liquid boxes are still not forecasts.

When earnings sit inside that expiry, most of the extra premium is event variance. When the print is after expiry, you are looking at leftover week variance. The ticker page tells you the expiry date so you can see which case you are in. We do not hide a monthly expiry behind a daily-sounding label.

What the box refuses to be

It is not a 68% one-standard-deviation cone. Some textbooks treat a straddle as a rough stand-in for a normal-move band. Listed markets are not a textbook. Skew, wide markets, pin risk, and a single binary event all break that story. We will not stamp “1σ” on the tile to look quantitative.

It is not a guarantee the cash session stays inside the rails. Names gap through straddles on guidance every season. Names also expire inside a rich box when the beat was already in the stock and implied volatility falls out of the chain. Both outcomes are why we bother to recap inside versus outside after the fact.

It is not advice. A wide box is not “buy the straddle.” A tight box is not “sell the straddle.” Those are trades. This site publishes a translation of listed quotes and a comparison after the session we score.

How a print is read against it

Store the implied percent before the release. After the session definition we use for that report time has a close, take the absolute realized percent. Less than or equal to the stored implied is inside. Larger is outside. If either number is missing, there is no label. That rule is the same on the briefing pages and on the public recap thread.

Extended-hours tape can print a different percent than the next cash close. We do not collapse those into one number to make a prettier card. See after hours vs the next open and what happens to vol after the print.