Expected move
How big a move did the options market price, and how does today compare?
What it is
The expected move is the range that options price in for a horizon: today, this week, this month. The bands drawn around price on the map show that range. One "sigma" is one unit of that priced move.
Scheduled releases such as inflation, jobs or central bank decisions matter at known times, and options prices usually build in an expected move beforehand.
A day in sigma
Move in sigma is today's move divided by the priced daily move. Around 1 is an ordinary day. 2 or more is unusual and worth asking why. Invented example: a fund is priced for +/-0.7% today and closes up 1.6%. That is about 1.6 / 0.7 = 2.3 sigma. Under the usual bell-curve simplification about two days in three finish inside one sigma, but real markets have fat tails, so treat that only as a rough guide.
Scaling to the time left
Time scaling helps on a plan. The priced move for a shorter window is roughly the daily move times the square root of the fraction of the day left. If the day is priced for +/-1.0% and half the day is left, the priced move for the rest is about 1.0% x 0.71 = 0.7%. A target 1.4% away in that half-day needs about 2 sigma. With walls in the way, that is context, not a target. It is a rough guide, since intraday volatility is not spread evenly.
No direction in it
The expected move is not a forecast of direction. It says how large a move was priced, not which way it goes.
Try it
Before the open, write the +/-1 sigma range for one ticker. After the close, write where the day finished in sigma. Do this for five days and look at how often "ordinary" was true.