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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | May 21 at 15:09 | |
| stats | profile views | 12 |
Aspiring listed options trader
Relentless quant developer
Zealous chupacabra hunter
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Feb 21 |
awarded | Popular Question |
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May 13 |
accepted | Option trading API other than Interactive Brokers |
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Mar 24 |
comment |
Heuristics for calculating theoretical probabilities of being ITM at time T for listed options @ glyphard: What you are saying is correct, but I'm interested in the prob of success of a trade (breaking even or better at expiration). I'd like to heuristically imply this prob for a straddle/strangle. I should be able to imply it from the attributes (prices of diff strikes etc.) of the surrounding options, since they can be used to imply the risk-neutral distribution for the underlying. I'm wondering if there is a heuristic, just like in my example for spreads. Regards |
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Mar 24 |
revised |
Heuristics for calculating theoretical probabilities of being ITM at time T for listed options added 188 characters in body |
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Mar 24 |
comment |
Heuristics for calculating theoretical probabilities of being ITM at time T for listed options @ TheBridge: Correct, I'm looking for a risk-neutral probability, which makes an option (combo) a fair bet. |
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Mar 23 |
awarded | Student |
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Mar 23 |
awarded | Scholar |
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Mar 23 |
asked | Heuristics for calculating theoretical probabilities of being ITM at time T for listed options |
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Feb 15 |
awarded | Supporter |
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Feb 12 |
awarded | Editor |
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Feb 12 |
revised |
Option trading API other than Interactive Brokers added 4 characters in body |
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Feb 11 |
asked | Option trading API other than Interactive Brokers |
