Once again I dropped the ball and neglected to give you folks a post on option contract divined predictions over the next few months (and years). Operating from the school of better late than never, I've gone numbers as of last Friday, 6/29/2012, when the S&P 500 closed at 1362.16. I neglected it right on into July, from the publishing date - but I'll attempt to get July numbers at the proper time (options expiration day is on the 20th).
Predicting the S&P 500 Closing Price From Contract Trading Prices
Remember, this method of predicting closing prices uses the currently trading price of put and call contracts at various dates in the future to derive what the expected closing price will be at a certain date. All samples are tuned to fall into a 75% confidence range (12.5% of the time we'd expect to close above and 12.5% below), and only contracts which account for more than .5% of the daily volume (and have .015% or greater open interest) are counted in our model.
As you can see, there's a bit of a hitch in options pricing on the December 2014 contracts right now - perhaps the more risky among you readers might arbitrage the puts and the calls and bring them back into line? The model appreciates your help, and I'm sure the firms appreciate your money.
Political Calculations
It's coming upon that time where predictions - especially those which relate to dates right around November - start to become particularly interesting. For what it's worth, call contracts are pricing in a slight bump after November, while put contracts signal a slight decline. Neither is very optimistic - as you can see from the table.
| 07/20/12 | 08/17/12 | 09/21/12 | 10/19/12 | 12/21/12 | 01/18/13 | 03/15/13 | 06/21/13 | 12/20/13 | 01/17/14 | 12/19/14 | |
| Put High | 1360 | 1368.44 | 1361.21 | 1365 | 1345 | 1355 | 1360 | 1408.59 | 1391.4 | 1938.97 | 1210.71 |
| Put Med | 1343.4 | 1327.82 | 1311.56 | 1302.08 | 1240 | 1240.4 | 1260 | 1248.27 | 1239.74 | 1251.38 | 1062.07 |
| Put Low | 1280 | 1238 | 1210 | 1190.62 | 1100.45 | 1120.07 | 1100 | 1134.2 | 905.54 | 1095 | 840.9 |
| Call High | 1378.33 | 1399.11 | 1420 | 1417.65 | 1450 | 1425 | 1500 | 1431.67 | 1535.86 | 1395 | 1561.15 |
| Call Med | 1360 | 1352.02 | 1362.31 | 1358.52 | 1380 | 1361.89 | 1400 | 1378.32 | 1354.89 | 1290.09 | 1347.17 |
| Call Low | 1333.38 | 1311.46 | 1320 | 1318.67 | 1300.39 | 1301.85 | 1331.35 | 1290.37 | 1244.1 | 1205 | 1196.83 |
Take that for what you will - but a flat market through the end of October - with 1417.65 the most optimistic (75% top) closing price predicted, in this case on the call side, it will have interesting effects on the Presidential (and sub-office) races.
Don't hold your breath everyone, the most optimistic reading I can give is we're probably in for a choppy market!
And links to our previous prediction articles (check our work!):
What do you think about the predictions for S&P closing prices in the future? How do you think various types of markets affect President Obama? Mitt Romney? In a flat market, who do you think wins the presidency?
