volatility is expressed as an annual rate

when prices change are assumed to be normally distributed, the continuous

compounding of these price changes will cause the prices at maturity to be log
normally distributed. (skewed to the upside because of greater rate of return in term
of absolute terms.
2 assumptions dans le model BS
1. continuous time model, assume vol constant over life of the option and
continuously compounded.
theses two assumption mean that the possible price of S at expiration of the opion
are log normally distributed
it also explain why option with higher strike carry more value than the other one,
in absolute term lognormal distribution assumption allows for greater upside price
movement than downside.
lognormal solve problem of pricing with log +infinite = +infinite instead of log -infinite
=0
correspond to real option payof
p64

contract = x100
for a weekly : divide by 7.2 such as ; 28% (vol) / 7.2 x $45 = 1.75price
change weekly
in the same way for daily instead of divide by 7.2 use 16 (because
square root of 256 trading days is 16)

for eurodollar contract . for calculate volatility, use 100- price of contract
(100-93=7 where 7 is input as price for forecasting a correct volatility
note . 100 is representing a barrier such as 0 for normal underlying and
commodities. can't price above

Volatility ; we want a volatility expressed in days or weeks or months

such as expiration of options instead of a annual volatility.
solution : volatility is proportionate to the square root of the time

Gamma ; gamma is long for long options and shorts for shorts options,
such as
long put : short delta (-) and positive gamma
theta is the value of loss to the option such as 0.57 =
vega ; sensitivity on changes in volatility

video tasty sell iron condor : only when implied volatility >50% with a
managing win profit prob >80% instead of 67% for