Why Your Expected Move Box Is Lying to You After a Gap

by Chris Pulver | Jun 25, 2026

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I need to talk about something that caught my attention in Monday’s session — and it’s probably costing you money if you’re not paying attention to it.

When the market closed at 7,472 on the S&P 500 (SPX) and then opened around 7,366 the next morning — a 106-point gap lower — the standard expected move calculations that most traders rely on became dangerously misleading.

Here’s what I mean…

TastyTrade was showing an expected move of 42.3 points while Thinkorswim displayed 56.09 points for the same trading day. That’s a massive discrepancy and it matters more than you might think.

These mismatches happen because platforms pull volatility inputs and calculation windows differently, which is exactly why cross-checking matters. You never want to place trades based on a single platform’s view of volatility.

But the real problem wasn’t the difference between platforms — it was that both were calculating from the previous day’s close, not from where the market actually opened.

The Gap-Adjusted Reality

When you’re facing a significant overnight gap, you can’t just apply the standard expected move box from the prior day’s close. Taking the 56-point move upward from Monday’s 7,472 close would put you at 7,528 — and that seemed like an unrealistic target when we were opening at 7,366.

And consider the broader volatility backdrop.

The Nasdaq 100 ETF (QQQ) had the potential for a massive intraday swing — around 5% — which tells you everything you need to know about the danger of relying on static expected move models in fast-moving environments. When an index can expand that quickly, it affects correlations, dealer hedging behavior and how fast volatility spreads through the market.

So I had to recalculate. I adjusted my upside target to around 7,440 and my downside support to approximately 7,295, creating asymmetric ranges that accounted for the overnight displacement instead of clinging to previous reference points.

A big factor influencing this is the current negative gamma environment — meaning dealers are positioned in a way that amplifies volatility instead of dampening it.

When we’re in negative gamma, dealers hedge by chasing price instead of countering it. That makes swings larger and expected move boundaries less reliable. Understanding that helps you appreciate why gaps become more unstable and why adjustments aren’t optional — they’re essential.

This isn’t guesswork — it’s dealer gamma, max pain, stability, ATR and volatility calculations working together. The gap adjustment prevents the fatal error of selling premium at yesterday’s levels when today’s reality has shifted dramatically.

Why This Matters for Your Positioning

Here’s the thing — my gap-adjusted expected move box ranged from 7,528 on the high end down to 7,310 on the low end, which gave me a much more realistic framework for the day’s actual trading range.

When I set up my iron condor spreads, I positioned call spreads around the 7,440/7,450 strikes and put spreads around the 7,290/7,280 strikes, reflecting this gap-adjusted thinking instead of blindly following the broker’s standard calculations.

The market doesn’t care what your platform says the expected move should be. It cares about where it actually opened and where the real support and resistance levels sit based on that new reality. And when platforms disagree as much as they did — one showing a 42-point move and another a 56-point move — it’s a reminder that no single data source should dictate your trades.

If you’re trading options based on expected move calculations without adjusting for significant overnight gaps, you’re working with outdated information — and that’s a recipe for getting squeezed on trades that looked safe on paper but were actually positioned in dangerous territory.

Next time you see a big gap at the open, don’t just accept what your platform tells you. Recalculate from where the market actually is, not where it was yesterday.

I’ll see you in the markets.

Chris Pulver
Chris Pulver Trading

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