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MILESCFA
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My name is Miles Hoffman and I trade options with an emphasis on selling them. My focus is on trading index options, although I do trade options on individual stocks (despite being bitten by the "Black Swan" of specific risk, I can not resist attractive returns - or stories - where... More
  • Calculating probabilities using the VIX (aka "manual labor") 0 comments
    Mar 1, 2010 2:17 PM

    The interesting article below shows how to calculate the expected SPX range 30 days into the future using the vix...

    seekingalpha.com/article/191161-practical-use-of-vix-for-s-p-500-investors


    I'm fairly sure ThinkorSwim's "automatic" calculation is the same (note: all option-type software/brokers should be able to provide the same info instantly)...

    ThinkorSwim's "80% 30-day" range    (click to enlarge) 



    Note that the downside 10% probablity is slightly closer (79 pts vs 82) and this reflects the "skew" in implied volatilities in options.


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