SPX Expected Move

Pick an "as of" date, then see the expected move to each expiration from that date's point of view.

As-of date Price at time (ET) SPX price on that date Day basis

Expiration	Input type	Value

Input type "IV %" uses the ATM implied volatility for that expiration. "Straddle $" uses 0.85 × the ATM call + put price (mid).

Expiration	Days	EM ±pts	EM ±%	−1σ	+1σ	−2σ	+2σ

IV Difference (1st expiration IV − 2nd expiration IV)

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OK when the difference is between 1.25 and 2.00 (inclusive) IV points; otherwise Warning. Uses the first two rows, which must both be entered as "IV %".

Strikes (shown only when IV Difference is OK)

Date 1 Sell Put

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Date 1 Sell Call

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Date 2 Buy Put

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Date 2 Buy Call

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Sell Put = SPX price − 1st expected move; Sell Call = SPX price + 1st expected move; Buy Put = Sell Put − 25; Buy Call = Sell Call + 25. All rounded up to whole numbers.