Crypto options glossary
What is the Bitcoin expected move?
The expected move is how far option prices say Bitcoin is likely to travel by an expiry, up or down: one standard deviation. It is the price × the at-the-money implied volatility × the square root of the time left, in years. Option prices put about two chances in three on Bitcoin ending inside it.
- One standard deviation: price × at-the-money IV × √(years to expiry).
- Option prices put about two chances in three on ending inside it.
- An at-the-money straddle costs about 0.8 of it.
- It widens with time and IV, and shrinks to zero at expiry.
Today · 0DTE · settles 5:30 pm±0.76%
83,277now 83,91484,551
Weekly · Fri 25 Sep±2.18%
82,086now 83,91485,742
One standard deviation: price × at-the-money implied volatility × √(time to expiry), from Delta Exchange quotes. Option prices put about two chances in three on ending inside it; it is not a forecast.
Questions people ask
How is the expected move calculated?
Multiply the price by the at-the-money implied volatility and by the square root of the time left in years. With Bitcoin at 80,000, IV at 40% and a week to go: 80,000 × 0.40 × √(7/365) ≈ ±4,430. Algoclear works it out from Delta Exchange quotes for each expiry.
How accurate is the expected move?
It is the market's price for movement, not a forecast. Option prices put about two chances in three on Bitcoin ending inside it, and big news can carry it far beyond.
How do traders use the expected move?
Sellers often place short strikes at or beyond it; buyers check whether their target is inside or outside it. A target far beyond the expected move needs a bigger move than the market is pricing.
What about 85% of the straddle?
A common shortcut takes 85% of the at-the-money straddle's price. A straddle costs only about 0.8 of one standard deviation, so the shortcut gives about two-thirds of one: a range option prices put roughly even odds on. Algoclear shows the full standard deviation.
What is a one standard deviation move?
The size of move that the price is priced to stay within about two times in three, by a given date. Two standard deviations is double that distance and covers about nineteen outcomes in twenty.
Why is the weekly expected move not seven times the daily one?
Because movement grows with the square root of time, not with time itself. Seven days give about 2.6 times the one-day move, since the square root of seven is about 2.6.
The expected move, worked in numbers
An example with round numbers. Bitcoin is at 80,000 and at-the-money implied volatility is 40% a year.
For one day: 80,000 × 0.40 × √(1 ÷ 365) = 80,000 × 0.40 × 0.0523 ≈ 1,675, or about ±2.1%. For one week: 80,000 × 0.40 × √(7 ÷ 365) = 80,000 × 0.40 × 0.1385 ≈ 4,430, or about ±5.5%.
The week's move is not seven times the day's, only about 2.6 times: the square root of seven. Movement grows with the square root of time, which is why short-dated options lose their value so quickly at the end.
The one input that is not a fact is the implied volatility: it is the market's own estimate, read from option prices. An at-the-money straddle for the same expiry costs about 0.8 of this move, which is a quick way to check the number on any chain.
One and two standard deviations
The expected move is one standard deviation. Doubling it gives the range the market treats as unusual.
| Range | In the example | Chance of ending inside, as priced |
|---|---|---|
| ±1 expected move | 75,570 to 84,430 for the week | About two in three |
| ±2 expected moves | 71,140 to 88,860 for the week | About nineteen in twenty |
These chances are what option prices imply, not a promise. Bitcoin makes large moves more often than the textbook curve suggests.
Implied volatility, turned into dollars
The expected move is implied volatility expressed in Bitcoin dollars for one expiry: one standard deviation. Higher IV or more time both widen it, which is why the weekly expected move is much wider than the daily one.
Placing strikes with it
A short strangle with its strikes at the expected move is priced to finish between them about two times in three. Strikes further out win more often and collect less; strikes inside collect more and are breached more often. Algoclear's Market now shows the expected high and low beside the OI walls and max pain.
Why it shrinks into expiry
Only time value carries volatility, so the expected move falls toward zero as settlement nears. Worked out from a straddle's price instead, it would stall at the gap between Bitcoin and the nearest strike, because the in-the-money leg keeps its intrinsic value to the end.
Common mistakes with the expected move
The number is simple; the misreadings are common.
- Reading it as a forecast of direction. It is a range, the same distance up and down.
- Treating it as a wall. Finishing outside one expected move is priced to happen about one time in three, which is what a short strangle sold at those strikes is accepting.
- Using the weekly number for today's expiry, or the reverse.
- Forgetting that it shrinks through the day. With a few hours left, the daily expected move is a fraction of what it was in the morning.
Written by the Algoclear team · Updated 22 September 2026 · Examples use Bitcoin options on Delta Exchange India.
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