What is expected move?Expected Move

The range the market expects the stock to move by expiry, derived from implied volatility (about stock price × IV × √years left, with roughly a 68% chance of landing inside).

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Advanced Option Strategies
Vega and Implied Volatility
Option prices hide the market's expectation of future swings. Work backward from the price and you get implied volatility; how much the option price changes per 1 percentage point of it is Vega.

Related terms

Vega
implied volatility (IV)

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