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When it comes to these types of forecasts I really am shortsighted and
prefer to look only one day ahead. Tuesday's type move occurs less than
4.6% of the time and is not generally followed the next day with an
equivalent or greater move. I would put the probabilities in favor of 704
to 706 on the OEX with a lessor chance of 697 to 701 for Wednesday. IF we
have another day like Tuesday, then 692 is worst case. This is totally
based on one historical day of data and implied volatility as measured by
VIX. As best I can tell from Clyde's swing machine 692 is where 7/21 ends
and 7/22 begins, so what we have here is the forward looking implied
volatility projection agreeing with the historical statistical projection
for worst case scenario.
BobR
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