Index option credit spreads

Discussion in 'Options' started by just21, May 4, 2005.

  1. MTE

    MTE

    You can estimate it by hand (i.e. with a calculator). Just divide volatility by the square root of time, that will give you 1 standard deviation for the required period, then just multiply by 2 to get 2 standard deviations.
     
    #11     May 26, 2005