hey guys does anyone have a good way of getting the chances statistically a stock would move above or a below a given strike in X amount of days? i realize its inside of prev mentioned tools but was just curious if anyone had a manual way of getting the probability in % terms.
Chances of stock price hitting strike price
- Thread starter EliteTraderNYC
- Start date
what about an atm straddle...you could use weekly options throughout the month to determine in x number of days.
rmorse
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I'm not sure if this answers your question, but in general, the delta of an options is the percentage chance of it being in the money at expirations. eg .10 delta, 10%.
There are a bunch of free web-based probability calculators. This one is fairly simple but will tells you what you want:
http://www.optionstrategist.com/calculators/probability
The one thing you'll have to find out about the stock is its volatility.
TradeKing has a slightly nicer one:
http://www.ivolatility.com/custom/pbc/
http://www.optionstrategist.com/calculators/probability
The one thing you'll have to find out about the stock is its volatility.
TradeKing has a slightly nicer one:
http://www.ivolatility.com/custom/pbc/
Thanks Steve gee, yes i was refering to actual stock volatility NOT implied vol bc that could be totally distorted. Also one thing im interested in finding is the most recent volatility lets say the 30 day vol because the annual vol may be misleading if the stock is currently going through some turbulence.
You can get IV and SV info at ivolatility.com with a free registration. Your broker would have it too.
I wouldn't say IV is "distorted". SV looks back in time and IV is the market's prediction of future volatility. The market is right in this prediction a surprising amount of the time.
I wouldn't say IV is "distorted". SV looks back in time and IV is the market's prediction of future volatility. The market is right in this prediction a surprising amount of the time.
Why not plug in your SV assumption instead of IV, figure out the delta, and then prob expiring roughly is the the delta, probability of touch is roughly 2x the delta.
The person saying IV is accurate obviously doesn't buy SPX puts, or if they do they won't have any money left in short order...
The person saying IV is accurate obviously doesn't buy SPX puts, or if they do they won't have any money left in short order...
The Trade King calculator has annualized HV (SV) for various terms in the 'implied volatility' box. It might not be obvious at first but scroll down and you'll see it. Also, you can enter your own volatility by selecting "custom."