Historical move

Also called HIST 1σ, historical one standard deviation move, statistical move

How far the stock has typically moved over the time to an expiration: a year of daily returns' standard deviation, scaled to the sessions left.

The historical move (HIST 1σ) is the one standard deviation move a stock's own past implies for an expiration:

historical move = daily σ × √(sessions to expiration)

Daily σ is the standard deviation of the last 252 daily log returns (a year; at least 60 are needed). Sessions to expiration count today's remaining fraction, so a Friday expiration on Wednesday afternoon is a little over two sessions away. The move is shown as a percent each way and as prices around spot.

Beside the expected move

The expected move is what options price. The historical move is what the stock has done. When the expected move is wider, options are pricing more movement than the past year suggests; when it's narrower, the stock has been moving more than options price.

Where it's used

• /SPX/volatility shows it beside the IV move, with a histogram of every past move over the same number of sessions.
• The strike selector aims its risk profile at the larger of the two moves and scores strikes on their breach rate.
• Wheel and income's 1σ rule picks strikes just past it, and the strategy calculator's Smart Range offers it as a band.