Options: Calculating the 1 Sigma Expected Range for SPX

Discussion in 'Options' started by ondafringe, Oct 15, 2022.

  1. ondafringe

    ondafringe

    Getting data from TOS.

    In the back of my mind, I was thinking 0DTE might be too short term to get *reasonably* realistic results, especially as the trading day progresses. Still not sure of the answer.

    And, in my spreadsheet, I'm actually using time remaining, as opposed to days. But that generates other problems, at least to my way of thinking:

    0DTE expires at the close of RTH... so 24 hours prior would be the beginning of the day... so at the open of RTH, there is only 6.5 hours left until expiration... so now we are dealing with (6.5/24)/365. lol

    And the reason I feel this is a valid pursuit, at least from my limited perspective, is because it can help determine whether the targeted short strike on a credit spread falls outside of a given sigma range, which, in turn, can assist in the decision-making process, which, in turn again, might occur with only an hour or so left before expiry.

    This whole thing was brought about by the following resource, which provides real-time 1 and 2 sigma ranges for SPX throughout the trading day... and my attempt to determine whether the ranges provided are *reasonably* accurate.

    https://0dtespx.com/?date=2022-10-14

    Not only that, I don't want to become dependent on something that may not be available in the future. I would much rather work the calculations myself.

    Anyway, thanks, again, for your input. I really appreciate it! :)
     
    #21     Oct 16, 2022