Formula for theoretical options returns

[Brennen81]

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]

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.