The expected daily move is a simple, powerful idea: given how much a market has been moving lately, how far is it reasonably likely to travel today? It is not a prediction of direction. It is a statistical range, and knowing it changes how you place stops, size positions and judge whether a target is realistic.
It is one of the few things about a market that is genuinely forecastable. Which way price closes on any given day is close to a coin flip, but how far it moves clusters and trends in a way you can measure. This guide explains where the number comes from and how to trade with it.
Where the number comes from
The expected move is built from realized volatility: the standard deviation of the market's recent daily returns. Volatility measures the typical size of a day's move regardless of direction, so a market printing 0.4% days has a small expected move and one printing 3% days has a large one.
From that single number you get a band around the current price. Roughly two thirds of the time price stays within one standard deviation (the plus or minus one-sigma band), and the great majority of the time it stays within two. So the one-sigma band is your "normal day" range, and a close outside it marks an unusually large session.
It is a range, not a direction
This is the point most people miss. The expected move says nothing about whether price goes up or down. It only says how far. A market with a 1.5% expected move could close plus 1.5% or minus 1.5%, and volatility alone cannot tell you which.
That is a feature, not a limitation. Direction on a single day is dominated by noise, so a tool that honestly refuses to guess direction is more useful than one that pretends to. What you get instead is context: is today a quiet day, a normal day, or a genuine outlier?
How to actually use it
- Stops: a stop tighter than the expected move will often be hit by ordinary noise. Size your stop against the day's realistic range, not a round number.
- Targets: if your profit target sits far beyond the two-sigma band, you are relying on an exceptional day. That can happen, but do not build a plan around it.
- Position sizing: when volatility expands, the same percentage stop is a bigger dollar move, so scale size down to keep risk constant.
- Context for a breakout: a move that pushes decisively past the expected range is information; a wiggle inside it usually is not.
Why the band is not a guarantee
Real markets have fatter tails than a tidy bell curve. Big days happen more often than a pure normal distribution predicts, especially around news, so the one-sigma band tends to contain the daily close somewhat less often than the textbook two-thirds. That is exactly why an honest tool measures its own hit rate on history rather than asserting a number.
The right way to trust an expected-move band is to check how often, over years of data, the close actually landed inside the band the same method would have drawn using only prior data. That walk-forward hit rate is a fact you can measure, and it is the honest accuracy of the range.
Seeing it live on Secuora
The Secuora Index in the Quant Terminal computes exactly this for major currencies and large crypto: a forward one-sigma and two-sigma range from trailing realized volatility, how big today's move is in sigma terms, and the measured walk-forward containment rate for each market, so you can see how far price can reasonably travel and how normal today looks. It is deliberately a volatility-context tool, not a direction call.
Frequently asked questions
What is the expected daily move?
It is the range a market is statistically likely to trade within today, derived from its recent realized volatility. The one standard deviation band is the "normal day" range; a close outside it marks an unusually large session. It describes distance, not direction.
How is the expected move calculated?
Take the standard deviation of recent daily log returns (realized volatility), then project a band of plus or minus one and two standard deviations around the current price. Larger recent volatility gives a wider expected move.
Does the expected move predict which way price will go?
No. It only estimates how far price can travel, not the direction. Single-day direction is close to random, so a proper expected-move tool reports a symmetric range around price and never claims to know up or down.