Quantora · Derivatives Desk
Expected Move & Probability Cone
Given a price and its volatility, how far could it realistically travel by a chosen date? This is the number options traders live by for sizing moves around earnings, weeklies, or any horizon - and the cone that shows the 1σ (~68%) and 2σ (~95%) ranges around it.
The expected move over t days scales with the square root of time: EM = Price × σ × √(t/365). Because prices compound multiplicatively, the cone bounds are lognormal - Price × e±zσ√t - so the upside is slightly wider than the downside. About 68% of outcomes land inside the 1σ band and 95% inside 2σ, assuming volatility is stable and returns are roughly normal. Traders cross-check this against the at-the-money straddle price (expected move ≈ 0.85 × ATM straddle); a big gap between the two is itself a signal. You can get any ticker's volatility from Quantora's Volatility and Historical VaR engines.