Tuesday, March 28, 2017

How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)


I am looking for one line formula ideally in Excel to calculate stock move probability based on option implied volatility and time to expiration?


I have already found a few complex samples which took a full page of data to calculate. Is it possible to simplify this calculation in one line formula with the following variables:




  1. Current stock price

  2. Target Target Price

  3. Calendar Days Remaining

  4. Percent Annual Volatility

  5. Dividend=0, Interest Rate=2%

  6. Random value to get something similar to Monte Carlo model?


I need these results:




  1. Probability of stock being above Target Price in %

  2. Probability of stock being below Target Price in %


similar to optionstrategist.com/calculators/probability


Any recommendations?




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