Calculating 2 Standard Deviation Move through IV

Discussion in 'Options' started by deltahedge, Apr 20, 2011.

  1. Hey Everyone,

    I was wondering how we could calculate the 2 standard deviation move in an underlying by using IV. Everyone and their mom knows about the 1 standard deviation calculation which is simply:

    Price of Underlying X IV X sqrt (Calendar Trading Days/365)

    If someone could direct me how to modify it for other standard deviations/confidence intervals that would be really appreciated.

    Thanks in advance :)
  2. If you get 1SD - just multiply it times 2.
  3. I have news for you. You decide if they are good or bad news:

    The distribution is not normal. Therefore you have a tail on one side of the "bulk" and another tail on the other. Both are fat tails, but one is fatter than the other.:cool:
  4. :p

    I feel REALLY dumb right about now :/
  6. spindr0


    Do you have a web link for helping with that???

  7. Not fair spindr0 :p

    Usually I ask some pretty good questions. This time I got hosed and asked a pretty silly one.
  8. spindr0


    Don't take it too seriously. At one point or another most of us typo something or say something silly or incoherent. When you get older, you'll do it more often ... and you'll care a whole lot less :)