Price target probability calculator
CryptoKeyhole’s price target calculator gives the chance that a coin touches a price at least once, and the chance it ends beyond it, within the days you choose, from the volatility you give or, on Pro, the options market’s own.
- Ends beyond the target
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- One-sigma range
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- Two-sigma range
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- Move needed
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How it works
With volatility σ a year and t the days divided by 365, the distance to the target is d = |ln(target ÷ price)| ÷ (σ√t). The chance of touching it at least once is about 2 × N(−d), with N the standard normal distribution.
The chance of ending above a target K at the end of the period is N((ln(price ÷ K) − σ²t ÷ 2) ÷ (σ√t)), the same model with the volatility drag; below it, one minus that. The ranges are the price times e^(±σ√t) and e^(±2σ√t).
Questions
How is the probability worked out?
From the distance to the target in log terms and the volatility over the period, as if the price moved as a random walk with no drift (the usual model behind option prices). The chance of touching a level at least once is about twice the chance of ending beyond it.
Which volatility should I use?
Implied volatility, the move the options market prices, is the best single guess for the weeks ahead; Pro accounts can fill in the market’s one-month at-the-money figure for BTC and ETH. Bitcoin’s has mostly ranged between 35% and 80% a year.
Is this a forecast?
No. It describes how far prices of this volatility usually wander, not where this coin will go. Crypto prices jump more often than the model assumes, so the tails are fatter in practice.
Why is touching more likely than ending above?
A price that ends below the target may still have touched it on the way. For a level above today’s, every path that ends above it touched it, and many that end below did too.
Prices filled from CryptoKeyhole’s daily closes; the options market’s implied volatility is CryptoKeyhole’s ATM chart (Pro). Not advice.