SPX/ES Volatility 01 June 2022

1 thg 6, 2022

SPX/ES Volatility 01 June 2022
The current percentile of SPX/ES is around 74%
Based on this, we can expect that the market is going to be below the daily volatility, 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 loss