The expected move is the market's own estimate of how far price is likely to travel over a given window — a day, a week — expressed as a band around the current price. It isn't a forecast of direction. It's a measure of range: the zone price tends to stay inside on a normal session, drawn straight from what options are pricing right now.
Where the number comes from
It's built from at-the-money implied volatility — the volatility the market is paying for in the nearest options. Scale that annualized number down to the window you care about (roughly, multiply by the square root of the fraction of the year), and you get a one-standard-deviation move: a band of about ±1σ around spot. In practice, the quick read is the price of the at-the-money straddle — buy the call and the put at the current price, and what you pay is close to the move the market expects.
Daily and weekly
The same math gives you a daily band and a weekly band. The daily is your intraday frame; the weekly is the bigger container the whole week is likely to respect. When the weekly band is tight, the market is pricing a quiet stretch; when it's wide, it's bracing for movement — often around a known event.
The expected move doesn't tell you which way. It tells you how far — and how far is half the trade.
How to use the band
Three ways it earns its place in a read. First, as a reality check on targets: an intraday target well outside the daily band is asking for an unusually large day. Second, as context for fades: pushes into the edge of the band, on a calm day, tend to get sold back toward the middle. Third, and best, overlaid on the walls — if a call wall sits right at the top of the expected-move band, that's a doubly strong ceiling; if the walls sit far outside the band, there's room to run before positioning bites.
What widens it
The band breathes with implied volatility. Rising IV — ahead of data, earnings-heavy weeks, or a nervous tape — widens it; a calm, low-IV-rank backdrop pulls it in. That's why the expected move is most informative read relative to its recent self: a band that just doubled is telling you the market suddenly sees more risk.
The one caveat
A one-standard-deviation band covers roughly 68% of outcomes — which means price closes outside it about a third of the time. It's a probability zone, not a fence. Treat a move to the edge as “stretched, watch for a reaction,” not “it can't go further.” Used that way, the expected move is one clean layer in the full dealer-positioning read.