Simple excel formulas to get a one standard deviation moves up and down
Add the price, expiation date, Implied Volatility
% move =Vol/Square Root of Time
1SD Stock move = Price* % move value
1 SD Stock price down =Stock Price -% move value
1 SD Stock price up =Stock Price +% move value
Add the price, expiation date, Implied Volatility
Square Root of Time | |||
Number of Trading Days (Daily) | 252 | 16 | |
Number of Trading Weeks (Weekly) | 52 | 7.2 | |
Number of Trading Months (Monthly) | 12 | 3.5 |
% move =Vol/Square Root of Time
1SD Stock move = Price* % move value
1 SD Stock price down =Stock Price -% move value
1 SD Stock price up =Stock Price +% move value
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