<!-- End Google Tag Manager (noscript) --> <div class="body-wrapper float-menu gdlr-header-solid" data-home="https://winterhavencapital.com" > <header class="gdlr-header-wrapper" id="gdlr-header-wrapper"> <!-- top navigation --> <!-- logo --> <div id="gdlr-header-substitute" ></div> <div class="gdlr-header-inner"> <div class="gdlr-header-container container"> <!-- logo --> <div class="gdlr-logo"> <a class="gdlr-solid-logo" href="https://winterhavencapital.com" > <img src="https://i1.wp.com/winterhavencapital.com/wp-content/uploads/2019/10/Picture1.png?fit=886%2C887&ssl=1" alt="" width="886" height="887" /> </a> <div class="gdlr-responsive-navigation dl-menuwrapper" id="gdlr-responsive-navigation" ><button class="dl-trigger">Open Menu</button><ul id="menu-primary" class="dl-menu gdlr-main-mobile-menu"><li id="menu-item-10" class="menu-item menu-item-type-custom menu-item-object-custom menu-item-10"><a href="/">Home</a></li> <li id="menu-item-223" class="menu-item 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status-publish format-standard has-post-thumbnail hentry category-uncategorized tag-featured"> <div class="gdlr-standard-style"> <div class="gdlr-blog-thumbnail"> <a href="https://i0.wp.com/winterhavencapital.com/wp-content/uploads/2019/08/0B74CF43-DD18-45FD-A440-C631ECB323B9.png?fit=1200%2C675&ssl=1" data-rel="fancybox" ><img src="https://i0.wp.com/winterhavencapital.com/wp-content/uploads/2019/08/0B74CF43-DD18-45FD-A440-C631ECB323B9.png?resize=750%2C330&ssl=1" alt="" width="750" height="330" /></a> </div> <div class="blog-content-wrapper" > <header class="post-header"> <h1 class="gdlr-blog-title">Breakeven Analysis: Model Time and Volatility</h1> <div class="gdlr-blog-info gdlr-info"><span class="gdlr-sep">/</span><div class="blog-info blog-date"><span class="gdlr-head">Date</span><a href="https://winterhavencapital.com/2019/08/21/">21 Aug 2019</a></div><span class="gdlr-sep">/</span><div class="blog-info blog-author"><span class="gdlr-head">Posted By</span><a href="https://winterhavencapital.com/author/davidlovetheking/" title="Posts by David Love" rel="author">David Love</a></div><span class="gdlr-sep">/</span><div class="blog-info blog-comment"><span class="gdlr-head">Comment</span><a href="https://winterhavencapital.com/2019/08/21/breakeven-analysis-model-time-and-volatility-2/#respond" >0</a></div><span class="gdlr-sep">/</span><div class="blog-info blog-category"><span class="gdlr-head">Categories</span><a href="https://winterhavencapital.com/category/uncategorized/" rel="tag">Uncategorized</a></div><div class="clear"></div></div> <div class="clear"></div> </header><!-- entry-header --> <div class="gdlr-blog-content"> <p class="has-background has-very-light-gray-background-color"><strong>The profit if the strategy is closed prior to expiry can optionally be displayed for five dates (time slices) simultaneously on the payoff diagram. </strong>The impact of volatility changes <em>after</em> the deal has been entered into but <em>prior</em> to expiry can then be dynamically modelled by clicking a spin button. The results are shown graphically, as above, and also in table form. </p> <p class="has-background has-very-light-gray-background-color">In the tables the original strategy, the adjusted strategy, and the difference between them (ie the volatility impact) are shown next to each other for each of the five discrete dates to expiry. Negative impacts are shown in red thereby making it easy to see the impacts of changes in volatility on volatility-sensitive strategies such as calendar spreads and strangles.</p> <p class="has-background has-very-light-gray-background-color">A breakeven analysis is produced for each of the five time-slices showing all breakeven points and the probabilities of falling within the breakeven bands. The impact of future changes in volatility on the breakeven points can be dynamically modelled. In the example pictured above – which has two breakeven points – the analysis would show the probability of falling below the lower point, the probability of being between the lower and the upper point, and the probability of being above the upper point, for each of the six time slices between now and expiry.</p> <div class='sharedaddy sd-block sd-like jetpack-likes-widget-wrapper jetpack-likes-widget-unloaded' id='like-post-wrapper-158260802-208-5f0aa9dd500d3' data-src='https://widgets.wp.com/likes/#blog_id=158260802&post_id=208&origin=winterhavencapital.com&obj_id=158260802-208-5f0aa9dd500d3' data-name='like-post-frame-158260802-208-5f0aa9dd500d3'><h3 class="sd-title">Like this:</h3><div class='likes-widget-placeholder post-likes-widget-placeholder' style='height: 55px;'><span class='button'><span>Like</span></span> <span class="loading">Loading...</span></div><span class='sd-text-color'></span><a class='sd-link-color'></a></div></div> <div class="gdlr-single-blog-tag"> <div class="blog-info blog-tag"><i class="fa fa-tag"></i><a href="https://winterhavencapital.com/tag/featured/" rel="tag">featured</a></div><div class="clear"></div> </div> </div> <!-- blog content wrapper --> </div> </article><!-- #post --> <div class="gdlr-social-share"> <span class="social-share-title">Share Post:</span> <a href="http://www.facebook.com/share.php?u=https://winterhavencapital.com/2019/08/21/breakeven-analysis-model-time-and-volatility-2/" target="_blank"> <img src="https://winterhavencapital.com/wp-content/themes/finanza/images/dark/social-icon/facebook.png" alt="facebook-share" width="32" height="32" /> </a> <a href="https://plus.google.com/share?url=https://winterhavencapital.com/2019/08/21/breakeven-analysis-model-time-and-volatility-2/" onclick="javascript:window.open(this.href,'', 'menubar=no,toolbar=no,resizable=yes,scrollbars=yes,height=400,width=500');return false;"> <img src="https://winterhavencapital.com/wp-content/themes/finanza/images/dark/social-icon/google-plus.png" alt="google-share" width="32" height="32" /> </a> <a href="http://www.linkedin.com/shareArticle?mini=true&url=https://winterhavencapital.com/2019/08/21/breakeven-analysis-model-time-and-volatility-2/&title=Breakeven%20Analysis%3A%20Model%20Time%20and%20Volatility" target="_blank"> <img src="https://winterhavencapital.com/wp-content/themes/finanza/images/dark/social-icon/linkedin.png" alt="linked-share" width="32" height="32" /> </a> <a href="http://twitter.com/home?status=Breakeven Analysis: Model Time and Volatility - 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