Options Expected Move Bands [Strikeline]
How far can price move before this week’s (or this month’s) options expire?
- The question it answers
- How far can price move before this week’s (or this month’s) options expire?
- What it draws
- The expected-move range for a real expiration — 0DTE, this Friday or the monthly third Friday — fixed at the start of the cycle, plus a live cone showing the move still priced in from now to expiration, with the nearest strikes at the edges.
- Data
- VIX1D / VIX9D / VIX for SPX-SPY (matched to the expiration), VXN for NDX-QQQ, RVX for RUT-IWM; historical volatility for single stocks. Nothing to buy.
- Plan
- Free
- Version
- v0.2
How it works
Options expire on fixed dates. Traders don’t only ask “how far can price move today?” — they ask “how far can it move before my contract expires?”. This indicator answers that for the expiration you trade.
It draws two things. The cycle bands are fixed when the expiration cycle starts (for weekly: Monday, anchored to Friday’s close) and never move, so you can judge the whole week against them. The live cone starts at the current price and narrows toward expiration, because less time means a smaller expected move.
The math
σ = anchor × IV × √(trading days to expiration ÷ 252)
Trading days count weekdays from the anchor to expiration: 1 for 0DTE, 5 for a weekly cycle, about 20 for monthly. The live cone also counts the part of today’s session that is still left.
How to read the levels
| Level | Meaning | Stays inside* |
|---|---|---|
| ±1σ band | The expected move to expiration. Strikes outside it are “out of the expected move” | ≈68% |
| ±2σ | Extended move — rare before expiration | ≈95% |
| Anchor | The close the cycle was measured from | — |
| Live cone | The move still priced in from the current price | ≈68% (±1σ) |
*Theoretical, assuming a normal distribution. Real markets have fatter tails.
Settings
| Setting | What it does |
|---|---|
| Expiration | 0DTE (today 16:00 NY), Weekly (this Friday) or Monthly (third Friday). |
| Volatility source | Auto picks the VIX-family index that matches the expiration; historical volatility for stocks. Or force one, or type your own IV. |
| Strike step | Auto, or the strike spacing you trade. Used to show the nearest listed strikes at the ±1σ edges. |
| Cycle bands / Live cone | Show either or both. |
| Show ±2σ | Adds the outer levels. |
| Previous cycles to keep | Older cycles stay on the chart, faded, so you can see how often price stayed inside. |
Dashboard
| Setting | What it does |
|---|---|
| Expiration | Date and trading days left. |
| Volatility | Source and value at the cycle start, and its value now. |
| Cycle move (1σ) | Expected move for the whole cycle, in points and percent. |
| Cycle range | Lower and upper ±1σ prices. |
| Strikes at ±1σ | Nearest put strike at or below −1σ and call strike at or above +1σ. |
| Move left (1σ) | What is still priced in from now to expiration. |
| Price now / Range used | Where price sits in σ, and how much of the ±1σ range the cycle has already covered. |
| Next earnings | Shown automatically for stocks: the date of the next report and how many trading days away. If it lands before the expiration it turns orange (⚠ Earnings before expiry) — options price a bigger move around earnings, so the real range is usually wider than the bands. |
Alerts
Price crossing the cycle ±1σ and ±2σ levels.
How traders use it
- Buying a call? Check whether your strike is inside the expected move before expiration.
- Selling premium? Place short strikes outside ±1σ — the dashboard shows the nearest listed ones.
- Mid-week, compare the live cone with the cycle bands: if the cone is mostly outside, the market has already moved a lot.
- Keep previous cycles on to see how often price respects the weekly range on your stock.
Good to know
- US market holidays are not adjusted; on a holiday week the cycle is one day too long.
- VIX-family indices are a market proxy, not each stock’s own option prices. Before earnings, real implied volatility is usually higher than historical volatility.
- Educational tool. Not a signal and not financial advice.
Changelog
| Version | |
|---|---|
| 0.2 | Next earnings date always shown; turns into a warning when it falls before the expiration. |
| 0.1 | First build: 0DTE / weekly / monthly cycles, live cone, strike edges, dashboard, alerts. |