How the implied move works

The box

Take the nearest expiry that still has a usable chain. Find the strike closest to the underlying last (the at-the-money strike). Add the call mid and the put mid on that strike. That sum is the straddle price — roughly what it costs to own both sides through that expiry.

Divide the straddle by the underlying price and you get a percent. Add and subtract that percent from spot and you get the dollar box shown as lower / upper. If earnings sit inside that expiry, most of the premium is event variance. If the next earnings date is after expiry, you are looking at residual week variance, not the full print.

What it is not

It is not a probability cone, a 68% one-standard-deviation promise, or a guarantee the cash session stays inside the rails. Stocks gap through straddles on guidance. They also die inside a rich box when the print is a nothingburger and implied volatility collapses.

Mids can sit inside a wide bid/ask. Illiquid names will show a box that is more artifact than market. If the chain is missing, the ticker page says so instead of inventing a number.

How to read a print against it

After the report, compare the close-to-close (or official session) percent change to the implied percent that was on the page going into the event. Absolute realized move at or under the box is labeled inside; larger than the box is outside. That label is descriptive. It does not say the options were “wrong” in a tradable sense — the straddle already collected or paid that variance.