{"slug":"straddle-vs-strangle","qid":"expected_move_by_name","label":"One-month expected move priced by the option market","post_title":"Straddle vs Strangle: Break-Evens and Margin","post_url":"/blog/straddle-vs-strangle#q-expected_move_by_name","columns":["symbol","implied_vol_pct","expected_move_pct"],"rows":[{"symbol":"NVDA","implied_vol_pct":39.3,"expected_move_pct":11.9},{"symbol":"MSFT","implied_vol_pct":25.8,"expected_move_pct":7.82},{"symbol":"AAPL","implied_vol_pct":24.9,"expected_move_pct":7.52},{"symbol":"QQQ","implied_vol_pct":19.4,"expected_move_pct":5.95},{"symbol":"KO","implied_vol_pct":18.2,"expected_move_pct":5.52},{"symbol":"SPY","implied_vol_pct":13,"expected_move_pct":3.98}],"shape":"ranking","sql":"SELECT\n    underlying_symbol                       AS symbol,\n    round(100 * avg(implied_volatility), 1) AS implied_vol_pct,\n    round(100 * avg(implied_volatility)\n        * sqrt(avg(days_to_expiry) / 365), 2) AS expected_move_pct\nFROM global_markets.options_greeks\nWHERE date =\n    (\n        SELECT max(date)\n        FROM global_markets.options_greeks\n        WHERE underlying_symbol = 'SPY'\n          AND date >= today() - 90\n          AND iv_converged = 1\n          AND volume > 0\n    )\n  AND underlying_symbol IN ('SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'KO')\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05\nGROUP BY underlying_symbol\nORDER BY expected_move_pct DESC","computed_at":"2026-08-22T04:22:22.105169+00:00","elapsed":0.117680684}