/***************************************************************************
*
* Compute Probability of ITM for the particular displayed option
*
* ************************************************************************/
public void ComputeProbITM()
{
if (Equity != EquityType.Option)
{
return;
}
if (iv == null || Strike == null || UnderlyingPrice == null || ExpiryDate == null)
{
frmPos.m_Log.Log(ErrorLevel.logERR, string.Format("ComputeProbITM unable to compute Prob ITM for {0}", Ticker));
return;
}
double vol = (double)iv / Math.Sqrt(252);
double K = (double)Strike;
double S = (double)UnderlyingPrice;
int DaysToExpire = (int)Utils.ComputeDaysToExpire(ExpiryDate);
frmPos.m_Log.Log(ErrorLevel.logDEB, string.Format("ComputeProbITM {0}: iv: {1:F6} strike: {2:N} underlying: {3:F4} days to expiry {4} side {5}", Ticker, vol, K, S, DaysToExpire, DisplayCall()));
double variance = vol * vol;
double d2 = Math.Log(S / K, Math.E);
d2 += -variance / 2 * DaysToExpire;
d2 /= vol;
d2 /= Math.Sqrt(DaysToExpire);
if ((bool)!IfCall)
{
ProbITM = Phi.phi(-d2) * 100;
}
else
{
ProbITM = Phi.phi(d2) * 100;
}
if ((EmailNotifications & Utils.enNEAR_ITM) == Utils.enNEAR_ITM)
{
if (ProbITM > 30.0 && ProbITM < 50.0)
{
string note = string.Format("Option {0} {1} {2} strike {3} is ITM {4:F2}", Ticker, DisplayCall(), IfSell ? "Sell" : "Buy", Strike, ProbITM);
EmailBrian(note, new TimeSpan(3, 0, 0));
}
}
if ((EmailNotifications & Utils.enITM) == Utils.enITM)
{
if (ProbITM >= 50.0)
{
string note = string.Format("Option {0} {1} {2} strike {3} is ITM {4:F2}", Ticker, DisplayCall(), IfSell ? "Sell" : "Buy", Strike, ProbITM);
EmailBrian(note, new TimeSpan(1, 0, 0));
}
}
}
/***************************************************************
*
* ComputeProbITM for given option
*
* ************************************************************/
private void ComputeProbITM(OptionInfo opt)
{
if (opt.ImpliedVolatility == null)
{
m_Log.Log(ErrorLevel.logERR, string.Format("BESTSTRANGLE ComputeProbITM unable to compute Prob ITM for {0}, strike {1}", opt.Ticker, opt.Strike.ToString()));
return;
}
double vol = (double)opt.ImpliedVolatility / Math.Sqrt(365);
double K = opt.Strike;
double S = opt.UndPrice;
/* If the underlying price is 0
* ----------------------------
* then fetch the last price from the database. This sometimes happens off-hours for some
* reason.... the underlying price is not returned */
if (S == 0.0)
{
m_Log.Log(ErrorLevel.logERR, string.Format("BESTSTRANGLE ComputeProbITM underlying strike price is undefined. {0}, strike {1}", opt.Ticker, opt.Strike.ToString()));
return;
}
// DateTime Expires = DateTime.ParseExact (opt.Expiry, "yyyyMMdd", CultureInfo.InvariantCulture);
DateTime Expires = opt.Expiry;
int DaysToExpire = (Expires - DateTime.Now).Days;
double variance = vol * vol;
double d2 = Math.Log(S / K, Math.E);
d2 += -variance / 2 * DaysToExpire;
d2 /= vol;
d2 /= Math.Sqrt(DaysToExpire);
if (!opt.IfCall)
{
opt.ProbITM = Phi.phi(-d2);
}
else
{
opt.ProbITM = Phi.phi(d2);
}
}
