Implied move
TradingDefinition
Pre-event expected price move derived from the price of ATM straddles. ATM straddle premium ÷ stock price ≈ implied 1-sigma move through the event.
Pre-earnings: implied moves average 5-8% for tech stocks. Realized moves disappoint about half the time, which is why systematic short-straddle strategies have positive edge (with crash risk).
Pre-earnings: implied moves average 5-8% for tech stocks. Realized moves disappoint about half the time, which is why systematic short-straddle strategies have positive edge (with crash risk).
Example
AAPL stock $180. ATM straddle (call + put) costs $9. Implied 1-sigma move ≈ 5%, or $171-$189 by expiration.