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seen May 31 at 16:34

Feb
1
comment How to calculate implied volatility and greeks in Bull Put Spread option strategy?
Thank you Freddy. My Bull Put Spreads are with narrow strikes. (one after another). It seems like short term solution: Highest volatility value out of both strikes should be used but in long term I should probably include a screener for the lower volatility leg too.
Feb
1
comment How to calculate implied volatility and greeks in Bull Put Spread option strategy?
I need this to be able to screen bull put spreads by single volatility parameter. Will I just use which ever volatility of both legs is the highest? There seems to be no 100% correct solution here but what is the most correct? Average or highest of two or volatility of long or short leg?
Feb
1
comment How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Да, Алексей ;) I want to use IV. Do you know how to change this script to use option implied volatility rather then historical volatility?
Jan
31
comment How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
The only problem this script uses historical annual stock volatility and i would like to use option implied volatility. Do you know how to change this script to use option implied volatility rather then historical annual volatility?
Jan
31
comment How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Thanks Aleksey! That's a bit longer then one line. But should work if no simpler solution exist.