Monte Carlo Probability Calculator

This option probability calculator can be used to determine the probability the stock will ever break upper and/or lower price limits during the time specified. Most other option probability calculators will only calculate probability at option expiration. In order to manage an option position in real time, you need to know the probability of price hitting your upper and lower price limits any time while you hold the position.

Instructions

Get Symbol

if you need stock and option data, enter a stock symbol here and a pop up window will appear containing current stock and option prices

Trials

enter the number of cycles through the time period you want to calculator to perform. Ten thousand is a reasonable number that results in good modeling with a tolerable execution time. In the results section, you can monitor the model's volatility and how closely it matches your entered volatility. Increase the number of trials if there is too much difference between your specified volatility and the model volatility.

Asset Price

enter the current or starting price of the asset

Upside Price

enter the price above asset price you want to test

Downside Price

enter the price below asset price you want to test

Volatility

enter volatility as a percentage. This can be current volatility or your forecast of volatility.

Trading Days

enter number of trading days to model. It is assumed there are 5 trading days per week. If you use the calendar, this number will be entered by the program.

Annual Trading Days

enter number of trading days in a year

Interest Rate

enter the current risk free interest rate as a percentage. Check Use if asset is stock and uncheck if futures.