prob.btwn {optionstrat}

Probability Between

Description

Calculates the probability of the underlying asset value falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

prob.btwn(spot, lower, upper, asd = 0, dsd = 0, dte = 0, mean = 0,
  p, quantile = FALSE, tradedays = 262)

Arguments

spot

Current price of the underlying asset

lower

Lower price of the range

upper

Upper price of the range

asd

Annualized standard deviation of the underlying returns

dsd

Daily standard deviation of the underlying returns (Annual vol/sqrt(256)), used as an alternative to the asd parameter in conjuction with the dte parameter

dte

Days until expiration, designated time frame

mean

The average daily price movement, default = 0

p

Designated probability

quantile

Logical. If True, calculates the probable price range

tradedays

Number of trade days in a year, default = 262

Details

This function has two separate possible operations: 1. Calculates the probability of the underlying asset value falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the probable price range, given a set probability

Value

Returns a probability (if quantile = FALSE), Returns a data.frame (if quantile = TRUE)

Examples

prob.btwn(spot = 100, lower = 90, upper = 110, mean = 0, dsd = 0.01, dte = 45)
prob.btwn(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)