Help with formula

fishfillet · December 4th, 2009, 4:08 am

Hi all,I was looking at this website for calculating stock price probability (http://www.optionstrategist.com/free/an ... index.html)If I enter the parameters as follows:Stock Price : 9705Target Price : 9883Calendar Days: 1Volatility : 30and hit "Calculate", I get a probability of 12.3%.could anyone please tell me what is the formula used incomputing this number? I have a feeling it's very simple and straight forward but couldn't remember. Thanks!!

PierreG · December 4th, 2009, 10:13 am

I guess they use the normal cumulative distribution with mean log(9705) and volatility 0.30/sqrt(365) computed at point log(9883). The probability of being lower than the target is the ncd and the probability of being upper is 1-ncd.You can get this result by using Excel. Compute NORMDIST(LN(9883),LN(9705),0.30/sqrt(365),TRUE).