Calculating Expected Stock Movement with MarketXLS: A Comprehensive Guide

Basic Stock Information

• Current Stock Price: Last(ticker)Returns the latest price for the specified stock ticker
• Example: For MSFT at $422.37
• ATM Strike Price: StrikeNext(ticker, 0)Identifies the nearest strike price
• Example: For MSFT, strike of $422.50
• Expiration Date: ExpirationNext(ticker, 0)Determines the next option expiration date
• Time to Expiration: ExpirationDate - TODAY()

Option Symbol Generation

• Call Option: OptionSymbol(ticker, strike, "Call", expDate)Creates the symbol for the ATM call option
• Example: MSFT 422.5 Call
• Put Option: OptionSymbol(ticker, strike, "Put", expDate)Creates the symbol for the ATM put option
• Example: MSFT 422.5 Put

Implied Volatility Calculation

• Call IV: opt_ImpliedVolatility(ticker, callPrice, expDate, "Call", strike, 0.05)Calculates implied volatility for the call option
• Example: MSFT Call IV = 0.318185
• Put IV: opt_ImpliedVolatility(ticker, putPrice, expDate, "Put", strike, 0.05)Calculates implied volatility for the put option
• Example: MSFT Put IV = 0.295719
• Average IV: AVERAGE(CallIV, PutIV)Combines call and put IV for a balanced measure
• Example: MSFT Average IV = 0.306952

Expected Move Formula

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Expected Move = CurrentPrice × AverageIV × √(DaysToExpiration/365)

In Excel format:

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=Last(ticker) * AVERAGE(CallIV, PutIV) * SQRT(DTE/365)

Example Calculation

For Microsoft (MSFT):

• Current Price: $422.37
• Days to Expiration: 2
• Average IV: 0.306952
• Expected Move: $9.5969

This means the stock is expected to move up or down by approximately $9.60 before expiration.

Notes

• All prices should be current market prices
• The 0.05 in the implied volatility calculation represents the risk-free rate
• The calculation uses calendar days, not trading days
• The expected move is symmetrical (same magnitude up or down)