VaR Delta Normal Method

Stock / Currency Price

Volatility
Days
Trd Yr
Confidence level - Probability
Delta of Option
1 day Vol
Multi Day Vol
Standard Deviation
Target for Probabilities
Volatility Points
Upside
DownSide
Probability to Standard Deviation
Standard Deviation to Probability
Probability of the price being below Target Price
Probability of the price being above Target Price
Probability of the price being reached at some point during the time frame
Standard Deviation for the Time Period

Calculate Probability of a Stock Bei

Inputs
$

1.1250
16.0%
81
256
84%
-1.00
1.00%
9.000%
0.9998150936
1.22623
$

(0.1012)
1.02377
1.22623
84.13% 0.999815
1
84.13%
83.08%
16.92%
33.84%
9.000%

50.00 Current stock price

20.00% Annual log normal standard dev
22 Actual Time period in # of days,
256 Time period in days # of 256, #
48.00 Target Price (may be above or b

Results

24.31% Probability of the price being below T

75.69% Probability of the price being above T
48.63% Probability of the price being reached
5.86% Standard Deviation for the Time Perio
$ 10.12
$(0.1012)
Required inputs are:

The current stock pri

The annual log norm
The time period in w
Target Price

Assumptions: The log normal distribution i

This calculator is useful in order to estimat

at the end of the given period.
It is also useful for calculating the probabil
a particular profit target will be achieved

ty of a Stock Being at or Exceeding Target Price

normal standard deviation of the stock -Volatility

period in # of days, weeks or months
in days # of 256, # of weeks 52, # of months 12
(may be above or below current stock price)

the price being below Target Price

the price being above Target Price
the price being reached at some point during the time frame

0.25

ation for the Time Period

he current stock price

he annual log normal standard deviation of the stock
he time period in weeks
arget Price

normal distribution is used with the Reflection Principle

l in order to estimate the probabilty that a stock will be at a given price level

ulating the probabilty that a stop loss at a particular level will be hit or that