The S&P has topped !!

[rubberbird]

Quote from just21:

$100,000, i'll toss you for it!

jokes aside, you erred in your calculation. What you don't factor in is the time premium. For example, The S&P june 1300 calls trade for $30. The June 1350 calls trade for $11. Now what does that tell you?

If you really think it's a 66% chance of the S&P staying in between 1240 and 1300 until end of June, you should sell those calls, and the puts all day long. You'd be rich! The odds are in your favor, according to you.

 

[just21]

I was using 20 day historical volatility for the ODDS cone. Should I increase that?

I will atrribute "I'll toss you for it" to Kerry Packer, the richest Australian until he died recently. Apparently he said it to a loudmouth, at the tables in vegas, who boasted about being worth $100 million.

 

[rubberbird]

Quote from just21:

I was using 20 day historical volatility for the ODDS cone. Should I increase that?

I would think so.

another way to put it, if you think its only 1/3 that the S&P will hit either 1300 or 1240, you're saying it's a 2/3 probability that it stays in a range of 1240-1300 until 7/1/06. Does it seem logical to you that the odds are 66% that it trades in this narrow range until the end of June? No way.

 

[just21]

I changed the volatility to 182 days and get 28% odds.

 

[rubberbird]

Quote from rubberbird:

another way to put it, if you think its only 1/3 that the S&P will hit either 1300 or 1240, you're saying it's a 2/3 probability that it stays in a range of 1240-1300 until 7/1/06. Does it seem logical to you that the odds are 66% that it trades in this narrow range until the end of June? No way.

sir, stop with your stupid computer generated probabilites, and think of what I say above. try to think logically about what you are asserting.

If you raise the "volatility" rate, the odds should go UP, not down, on whether the S&P will hit 1300 or 1240, so you really don't know what you're asserting if you now come in with a lower probability. Please think rationally about this, if you are able. Does any of this make sense to you?

 

[esmjb]

i dont know about all this other stuff, but 97.5% chance of it trading 1300 by june seems high. i'll sell that number.

 

[rubberbird]

Quote from esmjb:

i dont know about all this other stuff, but 97.5% chance of it trading 1300 by june seems high. i'll sell that number.

great, so you agree with me!

so sell 100's of June 1300 calls @ 30, and 100's of June 1350 calls @ 11

you're going to be rich! now don't tell me it isn't that easy...

 

[just21]

So how are calculating 97.5%, from the delta?

 

[esmjb]

i dont know what the delta is on those calls you speak of (maybe 50 for the 1300) but i am certain they are quite lower than the 97.5% prob you spoke of so i would rather sell your 97.5 delta then those options.

 

[rubberbird]

Quote from esmjb:

i dont know what the delta is on those calls you speak of (maybe 50 for the 1300) but i am certain they are quite lower than the 97.5% prob you spoke of so i would rather sell your 97.5 delta then those options.

OK, what your probability for the S&P NOT seeing 1300 thru 7/1/06?