ThinkOrSwim's Probability OTM, ITM, of Touching Calculator

Delta is a shortcut most traders will use but I wouldnt hang my hat on just that! If it were so good you wonder why they would bother calculating the VIX...
 
There is like a million ways of doing it, depending on what your are trying to achieve. Personally, I think using a risk-neutral probability is the least useful, since it does not really provide you with any _relative_ value, but simply converts implied vol to probability.
 
Quote from heiasafari:

Delta is a shortcut most traders will use but I wouldnt hang my hat on just that! If it were so good you wonder why they would bother calculating the VIX...
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Here's some of today's calculations:

AAPL August 600 Calls:
Delta: .36
Prob. ITM: 31.46%
Impl Vol: 30.20%

AAPL August 620 Calls:
Delta: .25
Prob. ITM: 21.75%
Impl Vol: 29.50%

:confused:
 
Must be 3 different formulas for sure. Some of those numbers are pretty far apart.
Don't know what the pros and cons are for each, but all 3 are probably (!) OK for a rough guide at least.
Thanks again everyone for your comments!
:cool:
 
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