ThinkOrSwim's Probability OTM, ITM, of Touching Calculator

Delta is a shortcut most traders will use but I wouldnt hang my hat on just that! If it were so good you wonder why they would bother calculating the VIX...

 

whazzup?

 

Here at last!! Help!!

 

There is like a million ways of doing it, depending on what your are trying to achieve. Personally, I think using a risk-neutral probability is the least useful, since it does not really provide you with any _relative_ value, but simply converts implied vol to probability.

 

Here's some of today's calculations:

AAPL August 600 Calls:
Delta: .36
Prob. ITM: 31.46%
Impl Vol: 30.20%

AAPL August 620 Calls:
Delta: .25
Prob. ITM: 21.75%
Impl Vol: 29.50%

 

Must be 3 different formulas for sure. Some of those numbers are pretty far apart.
Don't know what the pros and cons are for each, but all 3 are probably (!) OK for a rough guide at least.
Thanks again everyone for your comments!

 

One little bump in implied volatility is going to mess up all of your numbers.

 

Did they do this stuff back in 1973 with slide rules?
:eek:

 

Lol! I think they did, actually.

 

But my point is this: You do realize a small change in IV will change everything else, right?