What happens when you take options prices, treat the current trading price as your 'key', and take the range of differences between the current trading price of various contracts and that new, 'key' price?
Well, in our experience, an interesting series... but not necessarily an accurate prediction of where the market is headed. In fact - this series has been a disappointment, and over the months where we've actually reviewed "market" predictions, it has lost to a coin-flip in predicting direction and magnitude (note: we actually use a 75% bound, so we should see 75% victories if this series was perfectly accurate).
What Are We Measuring?
Well, first, we like to use the S&P 500 in the form of the ETF SPX - that's our bread and butter, and we even built a reinvestment calculator on the S&P 500.
We've delved into the topic a few more times, almost serendipitously on Seeking Alpha - and one explanation sticks out for why it's not a predictive series: it's an insurance trade. Sort of like VIX, it's possible, or even likely, that a lot of the traffic in options on the S&P 500 doesn't come from grandmas writing covered calls, but in large institutions protecting their ETFs and Mutual Fund holdings.
With that in mind, we suppose that these numbers are still worthy - except, now, we present them for a more capitalistic reason - if you're clever enough, you can make money selling insurance to this market. We'll leave that part up to you, but as for the information: here are where the deviations from our S&P 500 'key' price are saying about the future!
How to Read These Charts
Medians should be obvious, and highs and lows are the 75% error band - if this data was predictive (we told you it probably isn't, remember?) future prices would fall into the bands 75% of the time. Your job is to figure out what to do with the data now that you have it - it is slightly different for calls and puts.
Puts
Calls
And, if you want to see some hard numbers:
| 06/20/14 | 07/18/14 | 08/15/14 | 09/19/14 | 10/17/14 | 12/19/14 | 01/16/15 | 03/20/15 | 06/19/15 | 12/18/15 | 01/15/16 | 12/16/16 | |
| Put High | 1937.50 | 1940.00 | 1938.18 | 1932.36 | 1945.00 | 1921.35 | 1935.00 | 2201.11 | 1955.00 | 2441.00 | 1959.22 | 2225.00 |
| Put Medium | 1925.04 | 1900.00 | 1897.84 | 1865.00 | 1890.28 | 1842.00 | 1683.51 | 1830.00 | 1875.00 | 1889.17 | 1790.06 | 1841.22 |
| Put Low | 1880.00 | 1830.00 | 1819.11 | 1710.26 | 1740.86 | 1720.00 | 1353.81 | 1712.32 | 1408.57 | 1512.87 | 1659.01 | 1659.21 |
| 06/20/14 | 07/18/14 | 08/15/14 | 09/19/14 | 10/17/14 | 12/19/14 | 01/16/15 | 03/20/15 | 06/19/15 | 12/18/15 | 01/15/16 | 12/16/16 | |
| Call High | 1961.88 | 1960.00 | 1977.76 | 1980.00 | 1988.04 | 1990.37 | 1975.00 | 2000.00 | 2001.19 | 2190.96 | 1992.58 | 2025.00 |
| Call Median | 1940.00 | 1940.00 | 1940.76 | 1932.05 | 1932.43 | 1921.82 | 1937.81 | 1921.43 | 1915.00 | 1815.06 | 1847.91 | 1875.00 |
| Call Low | 1930.00 | 1910.00 | 1918.01 | 1880.00 | 1842.56 | 1860.24 | 1895.00 | 1845.00 | 1710.00 | 1625.00 | 1778.24 | 1575.00 |
(Numbers retrieved Saturday, June 14).
Okay, go off and do something with it!
