Expected Move API

Endpoint

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/expected-move/SPY?expiry=2026-06-20"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/expected-move/SPY",
    params={"expiry": "2026-06-20"},
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = resp.json()
print(f"Expected move: {data['expected_moves'][0]['expectedMove']}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/expected-move/SPY?expiry=2026-06-20",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
const data = await resp.json();
console.log("Expected move: " + data.expected_moves[0].expectedMove);

Response

{
  "symbol": "SPY",
  "underlying_price": 542.18,
  "as_of": "2026-06-05T14:32:10.123Z",
  "expected_moves": [
    {
      "expiry": "2026-06-20",
      "daysToExpiry": 15,
      "atmIv": 0.1642,
      "expectedMove": 17.6234,
      "expectedMovePct": 3.2504,
      "lowerBound": 524.5566,
      "upperBound": 559.8034
    }
  ]
}

Key Response Fields

Errors

About

Returns an ATM-IV-derived 1-sigma expected move per expiry: a model band, not an observed straddle price or execution breakeven. It generalizes the earnings-only expected move to any upcoming expiry, giving a 1-σ implied range for every expiration on the chain.

Top-level keys are snake_case (underlying_price, as_of, expected_moves) while the items inside expected_moves use camelCase. Each entry carries daysToExpiry, atmIv, expectedMove, expectedMovePct, and the lowerBound / upperBound of the implied range.

Release pending GET /v1/expected-move/{symbol}/history?start=&end=&tenor_days=30 (Alpha, SPY/QQQ) will compare reconstructed sigma bands with matured terminal moves and recorded intraperiod breaches. It returns 503 historical_source_unhealthy until the daily-series release.

Common Use Cases

• Set targets and stops around the range - use lowerBound / upperBound as the 1-σ envelope when placing price targets and protective stops for an expiry
• Size premium-selling structures - place iron-condor and credit-spread short strikes outside expectedMove so the structure clears the 1-σ band
• Read the term structure of risk - compare expectedMovePct across the expected_moves[] entries to see how implied risk scales with daysToExpiry
• Judge rich vs cheap - benchmark atmIv and expectedMovePct for an expiry against recent history to decide whether to buy or sell the move
• Frame an event-week trade - isolate the expiry that straddles a catalyst and size around its expectedMove to bracket the implied reaction
• Trade calendars off the term structure - exploit a front-to-back gap in expectedMovePct when near-dated implied move looks expensive relative to a later expiry

Related

Related reading

• Realized vs implied volatility & the risk premium - why the implied move tends to overstate the realized one

Complementary endpoints

• VRP - whether the implied move is rich versus realized
• Volatility - the ATM IV term structure behind the move
• Skew Term Structure - directional bias the symmetric move misses
• Earnings - the earnings-only expected move this endpoint generalizes