Seeking Alpha

MILESCFA's  Instablog

Send Message
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...

    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.

Back To MILESCFA's Instablog HomePage »

Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.

Comments (0)
Track new comments
Be the first to comment
Full index of posts »
Latest Followers

Latest Comments

Posts by Themes
Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.