SPY Volatility 01 June 2022

SPY Volatility 01 June 2022
The current percentile of SPY is around 71.4%
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 +-7.95$ movement

For this we can assume close to 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 413+7.95 ~= 420.95
BOT 413-7.95 ~= 405.05
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 0.8% which translates into a +- 3.3$ movements.
And this comes with a 65-70% probability based on the last years.
TOP 413+3.3 ~= 416.3 => as an entry point for long where we can use the opening price as a stop loss
BOT 413-3.3 ~= 409.7 => as an entry point for short where we can use the opening price as a stop loss