Model intraday scenarios by simulating price paths with time-dependent volatility and option decay.
Theory: Underlying follows Geometric Brownian Motion
(dS/S = −½σ²dt + σ√dt·Z).
Options are repriced at each step with Black–Scholes using remaining time to expiry.
An optional U–shaped intraday volatility profile (empirical: ~1.22× at open, 0.80×
at lunch, 1.13× at close) scales σ through the day. Monte Carlo over N paths
yields the P&L distribution and Greeks evolution.
Re-marks option IV intraday so vega P&L emerges when profile rises.
Prob. of Profit
--
Exp. P&L
--
Avg Win
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Avg Loss
--
Profit Factor
--
Sharpe (est)
--
Probability ITM
--%
Probability of expiring In The Money
Probability of Touch
--%
Chance of touching price at any point
Configure your strategy legs on the left, set your market parameters, and hit the run button to analyze your risk.