Hey Smash! thanks for the detailed analysis, great prep as always!
I use something similar to you for weekly extremes, its called close-to close volatility bands, usually the difference in relation to your weekly extreme level is +/- 10pts. Are you callculating your levels based on last settelments. Thanks
Thanks Art, appreciate it! The levels are initially anchored off the previous settlement, but there’s more nuance involved. The models incorporate a range of data points, along with contextual and structural considerations, which can lead to differing distances between the upper and lower extremes.
Thanks as always! Should be an interesting week.
Hey Smash! thanks for the detailed analysis, great prep as always!
I use something similar to you for weekly extremes, its called close-to close volatility bands, usually the difference in relation to your weekly extreme level is +/- 10pts. Are you callculating your levels based on last settelments. Thanks
Thanks Art, appreciate it! The levels are initially anchored off the previous settlement, but there’s more nuance involved. The models incorporate a range of data points, along with contextual and structural considerations, which can lead to differing distances between the upper and lower extremes.
Thank you very much!
Buenos dias, Smashelito. Spero che tu stai bene y muchas gracias per il bollettino della settimana prossima.
Per favore, mira al SMASHLEVEL 5,550.00. Mi pare che non è corretto.
Abbi un buon fine settimana.
These are es levels correct?
I trade spx and write a daily plan that I post on substack
It would be nice if there was an easy way to convert your levels into spx and see how they compare with my gamma based levels