What the expected move is
The expected move is the price of the at-the-money straddle — one call plus one put at the strike closest to the current stock price — in the first expiration that includes the trading session after the earnings report. Options traders often read this as the market's estimate of how far the stock could move, in either direction, by that expiration.
How EarningsMoves calculates it
- Earnings dates come from the public Nasdaq earnings calendar for the next 14 calendar days, including the report time (before open / after close) when supplied.
- Option quotes come from CBOE's free delayed quotes. We use the mid of bid and ask for the ATM call and put.
- Expiration choice: before-open reports use the first expiration on or after the report date; after-close or unconfirmed-time reports use the first expiration strictly after it.
- Expected move % = straddle mid ÷ stock price. We also record the straddle bid/ask, ATM implied volatility, and the expiration used. Quotes with a bid/ask spread above 40% of mid are flagged “wide”.
- Snapshots run every trading day around 3:30 PM ET; each day's numbers are stored, so you can see how the expected move changed into the report.
Actual moves and “exceeded”
After a report we record the close-to-close move: before-open reports compare the prior close to the report-day close; after-close reports compare the report-day close to the next day's close; unconfirmed timing uses the prior close and the next day's close. “Exceeded” means the absolute actual move was larger than the last expected move captured before the report. Daily closes come from Yahoo Finance's public chart data (CBOE as fallback).
Limitations
The straddle includes some non-earnings time value, so it can slightly overstate the pure earnings move, especially when the expiration is several days after the report. Delayed or illiquid quotes can be stale. Earnings dates can change. History starts Wednesday, October 21, 2026.