ES Journal Archive (2006 - 2008)

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Tricky action here. One more long 1342.25, stop at 1339.00 - based on 60/30min charts - no point looking at the smaller ones, they show nothing but garbage (at least for me).
 
Quote from smilingsynic:

Are these probabilities that these areas will be TOUCHED, or areas at which price will CLOSE? Big difference.
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SS, I think the correct interpretation of Wasabis analysis is that the percentages are probability that the market will reverse *if* the market gets there. Which is why the probabilities are higher at levels farther away from the current close.
 
Quote from RsX:

Tricky action here.
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Horrible, first day they've traded like this in a while, just pauses for a while and spikes up and down in 1 handle gaps.

Reminds me of '07 ugh
 
Quote from smilingsynic:

70% range = 1370.75-1333
80% range = 1375.25-1328.50
90% range = 1382-1322

Yes, I know how they're used (I've seen Kevin Haggerty's material), but the odds that a certain price will be touched are different than the odds that price will close for the day at that level.

Above are my calculations for the day based on a spreadsheet I wrote based on Brownian motion. They are the odds, based on the VIX, that price will at least TOUCH certain levels.

70% does not mean that the odds are 70% that price will touch. Rather, the odds are 70% that price will NOT touch those levels.
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Interesting work. Yes, the numbers I presented were based on Haggerty's work. As I said, it been years since I looked at V-bands. If memory serves, according to Haggerty, the levels represent reversal probabilities only.

You mentioned "touching" and "closing" twice. Forgive me, but I don't recall what relevance Haggerty placed on same.
 
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