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Expected Move estimates how far a stock price may move over a given timeframe, based on its recent realized volatility. On ticker pages, VolRadar uses the RV-based formula (Price × RV × √(DTE/252)) with 20-day Yang-Zhang realized volatility as the RV estimator, capturing both intraday and overnight movement. Premium sellers use expected move to select strike prices that sit outside the likely price range.
VolRadar uses two expected move formulas for different purposes. Understanding both helps you see the gap between what the market prices in and how the stock actually moves.
RV-based — used on ticker Expected Move pages
Expected Move = Price × RV × √(DTE / 252)Example: AAPL at $185, RV 20d = 22%, DTE = 7:
EM = $185 × 0.22 × √(7/252) = $185 × 0.22 × 0.1667 = ±$6.78Shows how far the stock has actually been moving based on recent realized volatility.
IV-based — used in the Expected Move Calculator tool
Expected Move = Price × IV × √(DTE / 365)Example: AAPL at $185, IV 30d = 28%, DTE = 7:
EM = $185 × 0.28 × √(7/365) = $185 × 0.28 × 0.1385 = ±$7.17Shows the range the options market is pricing in based on implied volatility.
Why two formulas? Comparing the two reveals the edge: if the IV-based expected move is larger than the RV-based one, options are overpriced — exactly the condition premium sellers look for. The RV formula uses 252 (trading days) because realized volatility is measured on trading days. The IV formula uses 365 (calendar days) because options expire on calendar dates.
VolRadar implementation:
Most platforms show expected move based on implied volatility — what the options market is pricing in. VolRadar uses realized volatility to show how the stock has actually been moving. By comparing the two, you can see the gap: if the IV-based expected move is significantly larger than the RV-based one, options may be overpriced.
VolRadar uses the Yang-Zhang volatility estimator instead of simple close-to-close standard deviation. Yang-Zhang uses open, high, low, and close prices to capture both intraday price range and overnight gaps. This produces a more accurate volatility estimate, especially for stocks with significant after-hours or pre-market movement (e.g., around earnings or macro events).
VolRadar uses two formulas: (1) RV-based: Price × RV × √(DTE/252) — shown on ticker Expected Move pages using 20-day Yang-Zhang realized volatility. (2) IV-based: Price × IV × √(DTE/365) — used in the Expected Move Calculator tool using ORATS 30-day implied volatility. Comparing both reveals the pricing edge.
IV-based expected move shows what the market is pricing in. RV-based shows how the stock actually moves. Comparing the two reveals the edge — if the IV-based move is larger, options may be overpriced.
A volatility estimator that uses open, high, low, and close prices. It captures both intraday range and overnight gaps, making it more accurate than close-to-close methods.