Bought my very first option today. Something cheap, fully expecting to lose most of it as a form of tuition to the school of experience.
Based the selection on a Monte Carlo simulation of possible options values given historical drift and volatility. I tried both volatility over the last 5 years, as well as volatility over the last 30 days, and I'm kinda shocked how volatile TSLA still is, despite having calmed down a bit.
For 5 years, I'm getting a daily μ of 0.0016 and a σ of 0.0373, and getting simulated underlying stock values after 5 weeks of trading like:
Min. 1st Qu. Median Mean 3rd Qu. Max.
334.9 695.0 771.0 780.0 855.7 1436.2
And for 30 days, I'm getting a daily μ of 0.0050 and a σ of 0.020, and getting simulated underlying stock values after 5 weeks like:
Min. 1st Qu. Median Mean 3rd Qu. Max.
575.7 778.8 823.0 825.6 869.3 1149.0
Is anyone else attempting similar simulations? And if so, how are your parameters coming out? I know TSLA is in a period of relative calm right now, but honestly I would be scared to sell a covered call expiring 5 weeks out for any strikes less than 850 knowing that it going ITM is just outside of the 75th percentile of possibilities!