Calculating Expected Stock Move Using Options Straddles in Python

„Options can be used to predict a stock’s expected move. This can be used as a proxy for risk in a particular security. The calculation uses the 68–95–99.7 rule to estimate the probability of the expected move. This means that 68%, 95%, and 99.7% of the values fall within one standard deviation, two standard deviations, or three standard deviations, respectively. We will use straddle prices to estimate the possible range of the stock move. But first, let’s define the straddle.”

Piotr Szymański, https://medium.datadriveninvestor.com/calculating-expected-stock-move-using-options-straddles-in-python-40523a66839c