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On Jun 3, 10:51pm, Ronald McEwan wrote:
>
> This is useful for estimating expected price ranges when trying to
> determine which strike price to select for option trading. Most of the
> percentage price change distribution is around 5% (with CSCO and INTC
> over 10%). By this I think that over the next 20 days 5% swings in the
> OEX and the underlying stocks would not be unexpected.
With VIX at 25/so, would this indicate that expected one month volatility is
about +/-7% with a 70% confidence?
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