Option Implied Volatility & Expected Move Calculator

Back out implied volatility (IV %) and ±1σ expected move from ATM option pricing.

Annualized Implied Volatility (IV)
31.69 %
±1σ Expected Move (USD) USD 18.17
Upper 1σ Price Target USD 218.17
Lower 1σ Price Target USD 181.83
Inputs
Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
USD
Current underlying stock price.
USD
Combined ATM call + put straddle market price.
days
Days until option expiration.
Results & Graph
Annualized Implied Volatility (IV)
31.69 %
±1σ Expected Move (USD)
USD 18.17
Upper 1σ Price Target
USD 218.17
Lower 1σ Price Target
USD 181.83

Annualized Implied Volatility (IV)

Graph 1 • Spot Price Sensitivity Recalculates the domain equation across 50% to 150% of the primary input while holding other parameters constant.
0 % 34.2 % 68.5 % 50%: 63.39 % 63.4 50% 75%: 42.26 % 42.3 75% 100%: 31.69 % 31.7 100% 125%: 25.36 % 25.4 125% 150%: 21.13 % 21.1 150%
Graph 2 • Primary & Supporting Metric Comparison Compares the primary output alongside supporting domain benchmarks.
Annualized Implied Volatility (IV) 31.69 % ±1σ Expected Move (USD) USD 18.17 Upper 1σ Price Target USD 218.17 Lower 1σ Price Target USD 181.83
Graph 3 • Exact Output Table & Units Displays each calculated output in its exact domain unit.
Annualized Implied Volatility (IV)31.69 %±1σ Expected Move (USD)USD 18.17Upper 1σ Price TargetUSD 218.17Lower 1σ Price TargetUSD 181.83
Summary: An ATM straddle of USD 14.50 on a USD 200.00 stock with 30 DTE implies 31.69% annualized volatility and a ±USD 18.17 (1σ) expected range.
Summary: An ATM straddle of USD 14.50 on a USD 200.00 stock with 30 DTE implies 31.69% annualized volatility and a ±USD 18.17 (1σ) expected range.
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Formula & Mathematical Methodology: Implied Volatility & Move Mathematical Formula

IV ≈ (StraddlePrice / SpotPrice) ÷ Days / 365 × 1.2533
ExpectedMove = Spot × IV × Days / 365
IV ≈ (StraddlePrice / SpotPrice) ÷ √(Days / 365) × 1.2533; ExpectedMove = Spot × IV × √(Days / 365)
  • spotPrice: Spot Price (USD)
  • atmStraddlePrice: Atm Straddle Price (USD)
  • daysToExpiry: Days To Expiry (days)

Rounding: Intermediate calculations retain full IEEE-754 floating-point precision; displayed currency and ratios round to 2 decimal places.

Worked Example: Benchmark Scenario: Implied Volatility & Move

Back out implied volatility (IV %) and ±1σ expected move from ATM option pricing.

  1. Enter the portfolio, option, lease, or corporate balance-sheet inputs.
  2. Evaluate the core equation: IV ≈ (StraddlePrice / SpotPrice) ÷ √(Days / 365) × 1.2533; ExpectedMove = Spot × IV × √(Days / 365).
  3. Inspect the primary valuation output, risk metrics, and 3 visual SVG graphs.
Result: Computes Implied Volatility & Move using IV ≈ (StraddlePrice / SpotPrice) ÷ √(Days / 365) × 1.2533; ExpectedMove = Spot × IV × √(Days / 365).

Frequently Asked Questions

How does the Option Implied Volatility & Expected Move Calculator calculate results?

It evaluates IV ≈ (StraddlePrice / SpotPrice) ÷ √(Days / 365) × 1.2533; ExpectedMove = Spot × IV × √(Days / 365) directly in your browser and updates the three domain SVG visualizations immediately as you adjust any input.

Can I compare multiple investment or financing scenarios side by side?

Yes. Click "Compare (0/3)" in the results toolbar to pin up to three scenarios side by side.

Are my financial numbers kept private?

Yes. All calculations run 100% locally in your browser with zero server uploads.

Finance & Investing · Quantitative Investing & Derivatives

Option Implied Volatility & Expected Move Calculator: inputs, method, and how to read the result

Back out implied volatility (IV %) and ±1σ expected move from ATM option pricing.

Choose inputs for the case you are checking

The defaults are illustrative. Replace them with values for your case and keep the units shown beside each field.

  • Display Currency: Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
  • Spot Price: Current underlying stock price.
  • Atm Straddle Price: Combined ATM call + put straddle market price.
  • Days To Expiry: Days until option expiration.

What the calculation includes

With the default values shown, Annualized Implied Volatility (IV) is 31.69 %. The calculation follows Implied Volatility & Move Mathematical Formula; the formula and variable definitions above show how the inputs combine.

One-input check: With the other defaults held constant, changing Spot Price from 200 USD to 220 USD changes Annualized Implied Volatility (IV) from 31.69 % to 28.81 %. This is a comparison inside the calculator's stated model, not a prediction.

Where to use caution

  • Uses standard quantitative finance, GAAP/IFRS operating ratios, and continuous/periodic compounding conventions.
  • For educational and analytical modeling only; consult a licensed CPA, CFA, or fiduciary advisor before executing tax or derivative transactions.

Scope: Global Financial & Corporate Valuation Standard Check the assumptions and limitations against your situation before relying on the estimate.

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