Expected Move Tracker

How to read the chart

Each observation captures where the options market priced the move on the observation day and compares it to the realized close on the evaluation day (roughly the selected DTE later, allowing for weekends/holidays). The dashed bands represent the expected range derived from the at-the-money straddle; the green line is what actually happened.

Observation Price is the underlying price recorded on that snapshot day—the launch point for the expected range. Comparing it with the Actual Close highlights how the trade evolved over the holding period, while the gap to the Expected Lower/Upper bands shows how the straddle-implied range stacked up against reality.

Key metrics

• Breach Frequency: Percentage of observations where price finished outside the expected range. High readings mean the underlying routinely outruns the options market.
• Avg Expected Move: Average dollar value of the straddle premium at the snapshot. Bigger numbers imply pricier insurance and wider expected ranges.
• Avg Days Held: Average number of calendar days between snapshot and evaluation. This confirms the DTE you requested is being respected after weekend adjustments.

Table columns

• Observation Date: Day we recorded the straddle price. Snapshot DTE shows the expiry closest to your request.
• Expected Lower/Upper: Stock price ± straddle premium calculated on the observation date.
• Actual Price: Close observed on the evaluation date. Breached flags if price moved beyond expectations (and which side).