Option Expected Moves

What every column means

Stock price

Current share price from the Cboe chain payload (the “spot”).

Expiry / Days left

The option expiration date and calendar days until it.

At-the-money strike

The strike price closest to the stock price where both a call and a put have real, tradeable quotes. “At the money” = strike ≈ stock price.

Straddle cost

Price of buying the at-the-money call and put together, each at its bid/ask midpoint: straddle = (call bid + call ask)/2 + (put bid + put ask)/2. This is what the market charges for “a move in either direction by expiry”.

Expected move

straddle cost ÷ stock price — the percentage move (up or down) the market has priced in by that expiry. The straddle buyer’s break-even.

Annualized move

expected move ÷ √(days left / 365) — the same move rescaled to a one-year rate so expiries of different lengths compare fairly (moves grow with the square root of time, not linearly). Blank for same-day expiries, where it is undefined.

Implied volatility

The market’s annualized volatility estimate, straight from Cboe, averaged over the two at-the-money legs. Sanity check: annualized move ≈ 0.8 × implied volatility; rows far above that usually have wide or stale quotes.

Open interest

Existing option contracts outstanding at the at-the-money strike (calls/puts) — how much positioning is already there.

Volume

Contracts traded this session at the at-the-money strike (calls/puts).