Calculating daily underlying move from options volatility?
Calculating daily underlying move from options volatility?
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Ted Graham · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Ted Graham
Original post: https://quant.stackexchange.com/questions/40815
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
My broker has provided a risk report that shows our options book shocked at various standard deviation moves of the underlying.
Their report has the future at $66.64, ATM Vol at 23.74% with 2 days remaining (I believe they are using a 365 day calendar).
How do I get to their 1 standard deviation move of $2.19?
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Ted Graham Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/40815 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. My broker has provided a risk report that shows our options book shocked at various standard deviation moves of the underlying. Their report has the future at $66.64, ATM Vol at 23.74% with 2 days remaining (I believe they are using a 365 day calendar). How do I get to their 1 standard deviation move of $2.19?
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