July 20, 2009
S&P500 Option Volatility Scorecard
As I wrote in my last S&P500 Option Volatility Report, I predicted that volatility in S&P500 options would close higher on this past Friday than the Friday before that. The results are in this morning and sure enough the prediction was correct! Last Friday’s historical volatility close was 0.214090, UP from 0.213821 the Friday before that.
For this week’s prediction, you have to read my S&P500 Option Volatility tweet (you can follow me on Twitter here), I will be keeping score on Monday mornings to see if this model truly is 60% accurate for predicting the direction of volatility.
