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Aspiring listed options trader
Relentless quant developer
Zealous chupacabra hunter


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
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.