If you have a good ATM IV value, you can use this for the 1 sigma move down (EMDwnp) and up (EMUpp). # Where V is the ATM IV, you would set NumSTDs to 1, TimeinDays is a real), is likely close enough for very short durations where you can ignore interest rates. EMDwnp=math.exp(-V*NumSTDs*((TimeinDays/365.25)**(.5)))-1 EMUpp=math.exp(V*NumSTDs*((TimeinDays/365.25)**(.5)))-1 Multiply each by the SPOT price to convert from % to value!
Thanks for your input, but I'm focused on 0DTE, or 1DTE from prior close. Even though a Saturday calculation would technically be 2DTE, I figured that would throw things off too much due to the weekend.
Okay... First I had to figure out what language you were speaking... turned out to be Python... then had to dig into Python to decipher math.exp()... I think I got that figured out... then converted the code over to a spreadsheet formula... and came up with: 3585*(POWER(2.718282,(0.2643*1*POWER(1/365.25,0.5)))-1) = 49.92 3585*(POWER(2.718282,(-0.2643*1*POWER(1/365.25,0.5)))-1) = -49.24 Which then gave me an estimated range of: 3535.76 to 3634.92 Assuming no mistakes, that result is only pennies different from the estimated range in my IV calculation (see first post in this thread) of: 3535.40 to 3634.60 And that leads me to believe that IV is the way to go, BUT... It still doesn't explain *why* these IV-calculated ranges, which are supposed to reflect 1 sigma, are so far off from the 16 delta p/c strikes, which are also supposed to reflect 1 sigma. That's just driving me nuts!! lol
I took a look at that, but I'm still pretty new to this options game and that looked a bit over my head.
You gave data of Friday at close and wanted a prediction for the spot range at expiration on Monday. From Friday close to Monday open are at least 2 calendar days (and yes my calcs use calendar days, ie. year has 365 days). So I gave the result for 2 and 3 days. Do you mean you wanted to close it (or let it expire) on Saturday? How? Isn't the market closed? Or is this maybe handled differently than usual?
I am no expert, but you have the wind against you on a few fronts here! 1) You are likely using data from more than one source/derivation (delta's VS IV's) {error magnitude is greatly increased due to apples/oranges} 2) You are trying to estimate very short term movement. Very short term IV is noisy and may not be reliable. (This may be a lingering issue for you in accurate projection of expected movement for these short terms using IV!) 3) You are dealing with IV projection thru non-trading days, so use of trading time instead of calendar time may may be worth considering. -- Note the IV for a Monday Expiration implies trading days instead of calendar days was used in the option pricing! Note: I do not do 0DTE trades, so have not developed/verified good approach to what you seek, and only pointing to things I have observed that are a bit problematic. -- I think your response of "That's just driving me nuts!" is justified and indicates you are thinking! This is a very interesting subject, and since your using SPX, good data is available to help. Please continue to post you questions/progress -- I expect you are not alone in your quest!
Yeah, it got a little confusing. The entire exercise was probably invalid, but the only data I had was from Friday's close. Will revisit this when SPX options start trading again this evening.