Expected move
The move by expiry, in either direction, that the options market is charging for.
Formula
Expected move = (ATM call + ATM put) ÷ Price
How to read it
A price, not a forecast or a probability — by convention it is read as roughly a one-standard-deviation move.
How to use it
Sizes the move the options market expects through an event such as earnings.
Limitations
Rests on the at-the-money prices only.
In Kereon
Investing · company. The mid of the at-the-money call plus the mid of the at-the-money put, ÷ the spot price, at the strike nearest the price.
Also called: expected move, options are pricing.