Previous close: SPY 128.56 Tues Mar 15, 2011
THE PROBABILITIES FOR SPY CLOSE 2 DAYS LATER:
Very near our highest probability 128, which Option Wizard® put at 54% probability. Doesn't mean SPY couldn't have closed at 136 or 118, it could have. Theoretically. But where should we put our confidence? Where should we place our positions.
Btw, I mentioned this exercise to a colleague as I was doing it. He is a financial engineer, Chicago firm, fan of fat tails, black swans, and N. Taleb. He scoffed. I understood, he had/has a point.
Still, even in a week (a prior month) of
- Big moves, bull & bear
- Aftermath: Earthquake, 5th worst
- Aftermath: Tsunami
- Ongoing and raging and worsening nuclear catastrophe