You may be making it way too complicated for what you're try to accomplish. Thinkorswims's platform is free and I trust their calculations since they were developed by some really smart guys. If you're building out your own Excel sheet for an API the best route is to simply decide what calculation method you want to use (there are a bazillion ways to calculate an options price) and plug it in directly for your calculations.
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Probability and Std Deviations
- Thread starter Brighton
- Start date
Thinkorswims's platform is free and I trust their calculations since they were developed by some really smart guys.
One of the really smart guys you refer to (Tom Sosnoff) favourite expressions is "Nothing is as expensive as free!"
Is it realistic for Index Option Strikes that TOS indicates that OTM Put strikes have approximately twice probability of expiring ITM as equidistant OTM Call strikes?
Then again ... the boys at LTCM were pretty smart guys ...
It was Tom Preston who developed most of the formulas. All options software is going to have bugs (especially in fast markets). I LOVE that book and that's exactly the point I was trying to make about everything being too theoretical.
From flys, in this case, since you are doing it bucket by bucket.Implied Prob Distribution from Vertical Spread prices?
It was Tom Preston who developed most of the formulas. All options software is going to have bugs (especially in fast markets). I LOVE that book and that's exactly the point I was trying to make about everything being too theoretical.
It's a software bug that generates OTM Put Probs twice OTM Call Probs?
OK I'll let you confuse the guy a little more since you think you have a better solution.
OK I'll let you confuse the guy a little more since you think you have a better solution.
It was you who said you agreed with the TOS calculations ... and then suggested might be a software bug .... which one you going for?
I didn't say it that way and when someone asks a question you should kind of tone your answer down so the person can understand rather then confuse them more. No need to be rude and all uppity.
I didn't say it that way and when someone asks a question you should kind of tone your answer down so the person can understand rather then confuse them more. No need to be rude and all uppity.
Apologies if tone of messages mis-interpreted .... so ... I'll ask question again ... nicely
From flys, in this case, since you are doing it bucket by bucket.
Hi sle,
This one?
Prices of State-Contingent Claims Implicit in Option Prices. Douglas T. Breeden; Robert H. Litzenberger. The Journal of Business, Vol. 51, No. 4 (Oct., 1978)
http://faculty.baruch.cuny.edu/lwu/890/BreedenLitzenberger78.pdf
would the pdf be smooth if you use flys?
in general, how would the pnl be explained when you long/short at the strikes of discrepancies between implied pdf and your "calculated" pdf
thanks,
lcs