#6455

blackfin
Participant

Hi Steve,

This are the probabilities I get for random walk with no trend, for various hours and 40pips TP. But I got this by using ~15bp 5minute volatility, the article says the 5min vol is ~10bp. I was wondering if you could confirm the exact volatility you used for the curves?

hr P(S>TP)
1 0.2898402
2 0.4541886
4 0.5966454
6 0.6656599
12 0.7599524
18 0.8029973
24 0.8289543

Thanks