lol diarrhea mouth found his pswd. Iterations... eigenvalues... you're using it wrong. He can see his D1 risk by stressing it ATM using local vol. WTF is your point, exactly? Tennessee on the brain? @raVar, does your name rhyme with Hosea Askew?
If you can't dazzle 'em with brilliance, baffle 'em with bullshit. Oh, they care! They just may not know. The probability of a given move is the basic calculation. POP is just the P(move) done to the break-even point. (Interpolate as necessary.) P(OTM) is the P(move) to a particular strike. P(ITM) is P(OTM) minus 1. There is no difference to any introductory confidence-interval lecture, in choosing how far out of a move to evaluate. These all depend on a context-driven volatility to mark σ (or σ²) from your favorite summary statistics course. No differences; no magic, beyond that. And no need to wank about with European vs American options (excuse me, "barriers") when there's 50 years of academic papers cutting the differences to zero. Or, in the alternative, you could just check spread prices. "D'Oh!"
McGinnis, you clearly proved that you're retarded. An American barrier is a touch, double touch/DNT, etc. A delimited bet that pays upon touching the barrier. A Euro barrier is a digital. Terminal payoff. Does not pay until expiration. An IC is a discrete Euro barrier. You're applying spurious shit (prob of both strike-touches) which necessitated your beating. Interpolation, you say! What method? Cspline? You interpolate to BE? How's that? Or you could simply price the strip of verticals until you find one that is trading at your short entry. Nah, interpolation. Or maybe stress it in your front-end? Noooo. Cool story, Bro. Continue with the keyboard diarrhea. I'll send an PDF of internet lexicon as apparently this is your introduction to IOW. As in IOW you're clueless as usual.
https://www.elitetrader.com/et/thre...egularly-questions.337456/page-4#post-4955853 Whattsa matter, Dullwittio (who needs to unblock, copy a message, spew a reply, and then reblock, because he's still sucking ball-shrinking steroids and lacks a backbone to post under his own name, poor child, and lacks the character to admit it has no idea how to communicate beyond Trump-like spit-ups of slurs to Russian posers and the occasional transvestite [its best/likely targets...} ??? "Awwwwww!" In the meantime, a two-tail test remains a two-tail test. You fail. Get over it. (Everyone else has.) If you wish to argue the point, there are plenty of forums for you to go and try your luck. "Good luck wit' dat." But, being wrong, you've got a hill to climb, m'kay? European? American? It's in the marketplace, buddy-boy. (Emphasis on boy. Oi.) It's priced in. (Ever hear of that? Try trading sometime.) It's also in the academic literature. (I know -- that's mean: you can't read, which is why you have to re-read posts 15 or 16 times to "respond" multiple times with your incoherence. Hey -- not our fault. It's not right for you to subject us to your own self-loathing.) Meh. Sorry for sticking to the issue.
To the OP,would you please show the trade strikes that went against you..I am very familiar with IC's,but the descriptive terms thrown around are "new" to me...When you say a 10d IC,does that mean each short leg has a delta of 10?? And the 1:9 you reference is the R/R ratio,selling a 10 point IC for 1 dollar?? Im sure you aware that these IC's are just a bunch of butterflys stacked on each other...Would you be kind enough to simply list the strikes,Underlying price and DTE??