Calculating Probability of Expiry Out of the Money

Discussion in 'Index Futures' started by Greenfuji, May 3, 2004.

  1. I have been trading various index's for a while now by selling different strikes far away from the money with the aim of letting them expire worthless. The process so far has been a guessing game as to what strike to sell.

    I have been trying to use various techniques to determine the probability of a strike expiring worthless. Does anybody know of a technique or can point me in the right direction?
  2. signals


    I cannot say anything more eloquent than what Paul Michaud stated in this dissertation:

    The probablility of an option finishing in the money