SPX/ES, SPY & QQQ Volatility on 02 June 2022

exlux99
2022-08-31

1.SPX /ES Volatility $S&P 500(.SPX)$

The current percentile ofSPX/ES is around 71.83%.
The current impliedvolatilityis around 26.05 -> which translates into a daily movement of 1.64%
At the same time, this translates in an aproximate +-67$ movement
For this we can assume close to 85% 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 4100
TOP 4100 + 65 ~= 4165
BOT 4100 - 65 ~= 4035
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 0.41% which translates into a +- 20$ movements.
And this comes with a 75-80% probability based on the last years.
TOP 4100 + 20 ~= 4120=> as an entry point for long where we can use the opening price as a stop loss
BOT 4100 - 20 ~= 4080 => 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 ofSPYis around 68.25%.
The current impliedvolatilityis around 26.05 -> which translates into a daily movement of 1.64%
At the same time, this translates in an aproximate +-7$ movement
For this we can assume close to 90% 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 410
TOP 410 + 7 ~= 417
BOT 410 - 7 ~= 403
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 0.43% which translates into a +- 2$ movements.
And this comes with a 70-80% probability based on the last years.
TOP 410 + 2 ~= 412 => as an entry point for long where we can use the opening price as a stop loss
BOT 410 - 2 ~= 408 => as an entry point for short where we can use the opening price as a stop loss3.QQQ Volatility $Invesco QQQ Trust(QQQ)$

The current percentile ofQQQis around 72.22%.
The current impliedvolatilityis around 33.01 -> which translates into a daily movement of 2.08%
At the same time, this translates in an aproximate +-6.5$ movement
For this we can assume close to 85-90% 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 306
TOP 306 + 6.5 ~= 312.5
BOT 306 - 6.5 ~= 299.5
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 0.53% which translates into a +- 1.6$ movements.
And this comes with a 75-80% probability based on the last years.
TOP 306 + 1.6 ~= 307.6 => as an entry point for long where we can use the opening price as a stop loss
BOT 306 - 1.6 ~= 304.4 => as an entry point for short where we can use the opening price as a stop loss

https://www.tradingview.com/chart/QQQ/0XNefMzl-QQQ-Volatility-02-June-2022/

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