Formula for theoretical options returns

Brennen81 · Jan 2, 2017

Hello,

I was wondering if anyone knew of a formula that if given a stock return scenario, it would give you a potential option return? One must exist because many trading program can give you this information live. I am looking to use this in historical data returns in Excel.

For example. XYZ went up 0.45% during the a time period of the day. Is there a formula where I would enter some variables for the option (days trading left, time value, IV, etc) where I would see the potential outcome?

Thanks!
B

seekingTruth16 · Jan 3, 2017

Brennen81 said:
Hello,

I was wondering if anyone knew of a formula that if given a stock return scenario, it would give you a potential option return? One must exist because many trading program can give you this information live. I am looking to use this in historical data returns in Excel.

For example. XYZ went up 0.45% during the a time period of the day. Is there a formula where I would enter some variables for the option (days trading left, time value, IV, etc) where I would see the potential outcome?

Thanks!
B

Do you mean the Black-Scholes option pricing formula? You could use it as a guide, of course if XYZ moved 0.45% your implied vol may change too.

Formula for theoretical options returns

Brennen81

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seekingTruth16

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