Expected move from implied volatility API

Compute the 1-sigma expected move (price x IV x sqrt(days/365)), the 1-sigma and 2-sigma price ranges, the move as a percent, and the lognormal probability of staying within 1 sigma. Deterministic volatility math. Answers 'what's the expected move on this IV','what's the 1-sigma range into earnings','how far might this stock move'.

Price$0.03per request

MethodPOST

Route/v1/calc/opt-expected-move

StatusLive

MIME typeapplication/json

Rate limit120/minute

CacheNo cache

optionsexpected-movecalcvolatilityimplied-volatilitystandard-deviationderivativestrading

API URLhttps://x402.hexl.dev/v1/calc/opt-expected-move

Integration docs

Example request

{
  "price": 100,
  "impliedVolatility": 0.3,
  "daysToExpiry": 30
}

Example response

{
  "price": 100,
  "impliedVolatility": 0.3,
  "daysToExpiry": 30,
  "oneSigmaMove": 8.6007,
  "oneSigmaRange": [
    91.3993,
    108.6007
  ],
  "twoSigmaMove": 17.2014,
  "twoSigmaRange": [
    82.7986,
    117.2014
  ],
  "oneSigmaMovePercent": 8.6007,
  "formula": "1σ = price * IV * sqrt(days/365)",
  "probabilityWithinOneSigma": 68.27
}

Input schema

{
  "type": "object",
  "required": [
    "price",
    "impliedVolatility",
    "daysToExpiry"
  ],
  "properties": {
    "price": {
      "type": "number",
      "examples": [
        100
      ]
    },
    "impliedVolatility": {
      "type": "number",
      "description": "annualized IV as a decimal (0.30 = 30%)",
      "examples": [
        0.3
      ]
    },
    "daysToExpiry": {
      "type": "number",
      "examples": [
        30
      ]
    }
  }
}

Output schema

{
  "type": "object",
  "additionalProperties": true
}