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July 27, 2009

S&P500 Option Volatility Scorecard

The results are in this morning and the prediction was wrong this time!  Last Friday’s historical volatility close was 0.1444, DOWN from 0.214090  the Friday before that.  For the last two predictions the model made, I had one correct and one wrong.

For this week’s prediction, you have to read my S&P500 Option Volatility tweet (you can follow me on Twitter here), I will continue to keep score on Monday mornings to see if this model truly is 60% accurate for predicting the direction of volatility.

This entry was posted on Monday, July 27th, 2009 at 5:25 am and is filed under Neural Nets, Options. You can follow any responses to this entry through the RSS 2.0 feed.You can skip to the end and leave a response. Pinging is currently not allowed.

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