SPX/ES & SPY Volatility on 01 June 2022

exlux99
2022-08-31

1.SPX/ES Volatility$S&P 500(.SPX)$

The current percentile of SPX/ES is around 74%
Based on this, we can expect that the market is going to be below the dailyvolatility, which is around 1.92%,
which at the same time translates in an aproximate +-80$ movement
For this we can assume close to 90-95% probability of efficiency based on the last years data.
Based on this our channel for today is going to be, assuming the opening price is 4130
TOP 4130+80 ~= 4210
BOT 4130-80 ~= 4050
This strategy is perfectly suited for an iron condor
At the same for those that are looking for entry points in case they want to go long call/put or a reverse iron condor,
instead of normal iron condor we can make use of next data:
Based on the last years, we can expect that the asset is going to move more than 0.75% which translates into a +- 30$ movements.
And this comes with a 65-70% probability based on the last years.
TOP 4130+30 ~= 4160 => as an entry point for long where we can use the opening price as a stop loss
BOT 4130-30 ~= 4100 => as an entry point for short where we can use the opening price as a stop loss2.SPY Volatility  $SPDR S&P 500 ETF Trust(SPY)$

The current percentile of SPY is around 71.4%
Based on this, we can expect that the market is going to be below the dailyvolatility, which is around 1.92%,
which at the same time translates in an aproximate +-7.95$ movement
For this we can assume close to 95% probability of efficiency based on the last years data.
Based on this our channel for today is going to be, assuming the opening price is 4130
TOP 413+7.95 ~= 420.95
BOT 413-7.95 ~= 405.05
This strategy is perfectly suited for an iron condor
At the same for those that are looking for entry points in case they want to go long call/put or a reverse iron condor,
instead of normal iron condor we can make use of next data:
Based on the last years, we can expect that the asset is going to move more than 0.8% which translates into a +- 3.3$ movements.
And this comes with a 65-70% probability based on the last years.
TOP 413+3.3 ~= 416.3 => as an entry point for long where we can use the opening price as a stop loss
BOT 413-3.3 ~= 409.7 => as an entry point for short where we can use the opening price as a stop loss

https://www.tradingview.com/u/exlux99/

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Comments

  • powerbert
    2022-09-05
    powerbert
    It may drop further due to recession and interest rates going up.
  • yeetmin76
    2022-09-05
    yeetmin76
    Thanks for sharing
  • EY12
    2022-09-05
    EY12
    hi
  • Hann Soo
    2022-09-05
    Hann Soo
    ok
  • TonyYew
    2022-09-05
    TonyYew
    [Like]
  • Lee SL
    2022-09-05
    Lee SL
    good
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