Search results

JohnL111, I am curious, how do you “measure” the mispricings you observe, meaning how do you conclude that options are mispriced? Do you observe this in real time, or in hindsight, after the misspricings are corrected, but even then, how do you distinguish between mispriced and “correctly...

Consider using a standalone (!) stock analysis/backtesting program where you can import ASCII files, and use it to import eod options data from a data provider.

PT, I hadn't noticed the details on page 2, I was referring to probability.xls on page 7. But this spreadsheet alone does pretty much what you're looking for, within excel.

ProbPTUB ?? In mine it's called prob_hitub and it works fine. Thanks gbos.

There's a simple formula for so-called "confidence intervals": expected range = (#st.devs) * stock * (annualized) volatility * sqrt(#days/365) e.g. 1 st.dev stock at $30 volatility 40% 1 day exp. range = 1*30*0.4*0.052 = 0.63 So this stock would be expected to trade within +/-...